Please download the dossier by clicking on the dossier button x
×

METHODS AND SYSTEMS FOR ASSESSING UNDERWRITING AND DISTRIBUTION RISKS ASSOCIATED WITH SUBORDINATE DEBT

  • US 20090307146A1
  • Filed: 06/09/2008
  • Published: 12/10/2009
  • Est. Priority Date: 06/09/2008
  • Status: Active Grant
First Claim
Patent Images

1. A method for assessing underwriting and distribution risks associated with a portfolio of subordinate debt, said method performed using a computer system coupled to a database, said method comprising:

  • storing in the database historical bond issue data for a period of time preceding and proceeding at least one historical liquidity event;

    generating a plurality of simulated subordinate debt warehouses using the computer and the historical bond issue data stored in the database;

    calculating a historical loss distribution based on the plurality of simulated subordinate debt warehouses generated, the historical loss distribution representing reduction in value of the bonds stored in the database from the at least one historical liquidity event; and

    determining a value at risk for a portfolio of subordinate debt resulting from a potential liquidity event by applying the historical loss distribution to the portfolio of subordinate debt, the value at risk representing a value that based on the historical loss distribution has a predetermined probability of eroding.

View all claims
  • 1 Assignment
Timeline View
Assignment View
    ×
    ×