Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2007-06-26
2007-06-26
Borlinghaus, Jason M. (Department: 3693)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
Reexamination Certificate
active
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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Lee Shinghoi
Lipton Alexander
Song Jonathan Z.
Borlinghaus Jason M.
Brandt Jeffrey L.
Credit Suisse First Boston LLC
JLB Consulting, Inc.
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