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Systems and methods for modeling credit risks of publicly traded companies

  • US 20070027786A1
  • Filed: 10/05/2006
  • Published: 02/01/2007
  • Est. Priority Date: 07/24/2003
  • Status: Active Grant
First Claim
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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 dVV=(r+λ

    )


    dt
    +σ







    dW
    -dN


    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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