Systems and methods for modeling credit risks of publicly traded companies
First Claim
1. A method for calculating the financial status of a company, comprising the steps of:
- calculating the company'"'"'s value in accordance with the formula
wherein V is the value of the company, r is the risk neutral rate, λ
is the intensity of jump arrivals, σ
is the company'"'"'s volatility, N) is the standard Poisson process, W is the standard Wiener process, and t is a time between 0 and T, the maturity of the debt; and
using the company value to calculate a financial metric for the company.
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Accused Products
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 them 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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Citations
12 Claims
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1. A method for calculating the financial status of a company, comprising the steps of:
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calculating the company'"'"'s value in accordance with the formula
whereinV is the value of the company, r is the risk neutral rate, λ
is the intensity of jump arrivals,σ
is the company'"'"'s volatility,N) is the standard Poisson process, W is the standard Wiener process, and t is a time between 0 and T, the maturity of the debt; and
using the company value to calculate a financial metric for the company. - View Dependent Claims (2, 3, 4, 5)
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6. A system for calculating the financial status of a company, comprising:
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a processor;
a memory connected to the processor and storing instructions for controlling the operation of the processor;
the processor operative with the instructions in the memory to perform the steps of calculating the company'"'"'s value in accordance with the formula
whereinV is the value of the company, r is the risk neutral rate, λ
is the intensity of jump arrivals,σ
ar is the company'"'"'s volatility,N) is the standard Poisson process, W is the standard Wiener process, and t is a time between 0 and T, the maturity of the debt; and
using the company value to calculate a financial metric for the company. - View Dependent Claims (7, 8, 9, 10)
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11. A system for calculating the financial status of a company, comprising:
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means for calculating the company'"'"'s value in accordance with the formula
whereinV is the value of the company, r is the risk neutral rate, λ
is the intensity of jump arrivals,σ
is the company'"'"'s volatility,N) is the standard Poisson process, W is the standard Wiener process, and t is a time between 0 and T, the maturity of the debt; and
means for using the company value to calculate a financial metric for the company.
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12-44. -44. (canceled)
Specification