METHODS AND SYSTEMS FOR ASSESSING UNDERWRITING AND DISTRIBUTION RISKS ASSOCIATED WITH SUBORDINATE DEBT
First Claim
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.
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Abstract
A method for assessing underwriting and distribution risks associated with a portfolio of subordinate debt is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database historical bond issue data for a period of time preceding and proceeding at least one historical liquidity event and generating a plurality of simulated subordinate debt warehouses using the computer and the historical bond issue data stored in the database. The method also includes calculating a historical loss distribution based on the plurality of simulated subordinate debt warehouses generated. The method also includes 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.
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Citations
30 Claims
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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:
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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 Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9)
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10. A system for assessing underwriting and distribution risks associated with a portfolio of subordinate debt, said system comprising a computer coupled to a database, said computer configured to:
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store in said database historical bond issue data for a period of time preceding and proceeding at least one historical liquidity event; generate a plurality of simulated subordinate debt warehouses using the historical bond issue data stored in said database; calculate 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 said database from the at least one historical liquidity event; and determine 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. - View Dependent Claims (11, 12, 13, 14, 15, 16)
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17. A server system for assessing underwriting and distribution risks associated with a portfolio of subordinate debt, said system comprising:
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a client system comprising a browser; a centralized database for storing information; and a server system configured to be coupled to said client system and said database, said server further configured to; store in said database historical bond issue data for a period of time preceding and proceeding at least one historical liquidity event; generate a plurality of simulated subordinate debt warehouses using the historical bond issue data stored in said database; calculate 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 said database from the at least one historical liquidity event; and determine 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. - View Dependent Claims (18, 19, 20, 21, 22, 23)
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24. A computer program embodied on a computer readable medium for assessing underwriting and distribution risks associated with a portfolio of subordinate debt, said program comprising at least one code segment that:
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stores in a database historical bond issue data for a period of time preceding and proceeding at least one historical liquidity event; generates a plurality of simulated subordinate debt warehouses using the historical bond issue data stored in the database; calculates 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 determines 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. - View Dependent Claims (25, 26, 27, 28, 29, 30)
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Specification