Systems and methods for modeling credit risks of publicly...

Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance

Reexamination Certificate

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Reexamination Certificate

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10795541

ABSTRACT:
There are provided new structural default models for modeling the likely default of publicly traded companies. In a first embodiment, the invention is straight-forward to implement and allows the capture of some important ingredients of the actual default, including positive short-term CDSs. In a second embodiment the model is somewhat more versatile and complex. Provided is a very efficient method for dealing with the timing of a default boundary, that is, jumps in the company's value, etc. Further provided is a process using Fast Fourier Transform matrix processing for processing the structural default models in a computationally efficient manner.

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patent: 2004/0225598 (2004-11-01), Goldberg et al.
patent: WO 01/52121 (2001-07-01), None
Finkelstein, Valdimir, et al., “Credit Grades Technical Document”,Credit Grades Technical Document, RiskMetrics Group, Inc.,(May 2002), 1-52.
Hull, John, et al., “Merton's Model, Credit Risk and Volatility Skews”,Research Paper; Internet, (Feb. 25, 2003), 1-23.
Zhou, Chunsheng, “A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities”,Research Paper; Internet, (Mar. 1997), 1-47.
Merton, R. C., “Option Pricing when Underlying Stock Returns are Discontinuous”,WP 787-75, Academic Paper presented at American Finance Association, Dec. 1975, Massachusetts Institute of Technology.,(Apr. 1997), 1-25.

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