Rapid valuation of portfolios of assets such as financial instruments
First Claim
1. A computer-implemented method for rapid valuation of asset portfolios using a portfolio valuation system, the portfolio valuation system including a computer coupled to a database, said method comprising the steps of:
- valuating assets in a portfolio individually by segmenting the portfolio of assets into three valuation portions and by;
fully underwriting each asset included within a first portion of the asset portfolio for computing a value for each asset included within the first portion of the asset portfolio including underwriting in a full cash manner to generate a full value table, and underwriting in a partial cash manner to generate a partial value table,storing in the database asset data acquired from fully underwriting the first portion including the computed value and descriptive attribute variables for each asset included within the first portion,grouping and underwriting a sample of assets included within a second portion of the asset portfolio for valuation purposes based on the asset data acquired from the fully underwriting of the first portion and stored in the database, andusing the computer to statistically infer a value for each asset included within a third portion of the asset portfolio based on the asset data acquired from the fully underwriting of the first portion and stored in the database;
listing the asset values individually in relational tables;
aggregating to desired groups or tranches for bidding purposes; and
optimizing the bid pricing for desired risk/return tolerance.
5 Assignments
0 Petitions
Accused Products
Abstract
A method of valuation of large groups of assets by partial full underwriting, partial sample underwriting and inferred values of the remainder using an iterative and adaptive supervised and unsupervised statistical evaluation of all assets and statistical inferences drawn from the evaluation and applied to generate the inferred asset values. Individual asset values are developed and listed in realtional tables so that individual asset values can be rapidly taken from the tables and quickly grouped in any desired or prescribed manner for bidding purposes. The assets are collected into a database, divided into categories by credit variable, subdivided by ratings as to those variables and then rated individually. The assets are then regrouped according to a bidding grouping and a collective valuations established by cumulating the individual valuations.
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Citations
42 Claims
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1. A computer-implemented method for rapid valuation of asset portfolios using a portfolio valuation system, the portfolio valuation system including a computer coupled to a database, said method comprising the steps of:
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valuating assets in a portfolio individually by segmenting the portfolio of assets into three valuation portions and by; fully underwriting each asset included within a first portion of the asset portfolio for computing a value for each asset included within the first portion of the asset portfolio including underwriting in a full cash manner to generate a full value table, and underwriting in a partial cash manner to generate a partial value table, storing in the database asset data acquired from fully underwriting the first portion including the computed value and descriptive attribute variables for each asset included within the first portion, grouping and underwriting a sample of assets included within a second portion of the asset portfolio for valuation purposes based on the asset data acquired from the fully underwriting of the first portion and stored in the database, and using the computer to statistically infer a value for each asset included within a third portion of the asset portfolio based on the asset data acquired from the fully underwriting of the first portion and stored in the database; listing the asset values individually in relational tables; aggregating to desired groups or tranches for bidding purposes; and optimizing the bid pricing for desired risk/return tolerance. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 40)
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14. A portfolio valuation system for rapid valuation of asset portfolios, said system comprising:
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a computer configured as a server and further configured with a database of asset portfolios and to enable valuation process analytics; at least one client system connected to said server through a network, said server configured to; value assets in a portfolio individually; segment the portfolio of assets into three valuation portions; fully underwrite each asset included within a first portion of the asset portfolio for computing a value for each asset included within the first portion including underwriting in a full cash manner to generate a full value table, and underwriting in a partial cash manner to generate a partial value table; store in the database asset data acciuired from fully underwriting the first portion including the computed value and descriptive attribute variables for each asset included within the first portion; group and underwrite a sample of assets included within a second portion of the asset portfolio for valuation purposes based on the asset data acquired from the fully underwriting of the first portion and stored in the database; statistically infer a value for each asset included within a third portion of the asset portfolio based on the asset data acciuired from the fully underwriting of the first portion and stored in the database; list the asset values individually in tables; aggregate to desired groups or tranches for bidding purposes; and optimize the bid pricing for desired risk/return tolerance. - View Dependent Claims (15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 41)
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27. A computer for rapid valuation of asset portfolios, said computer including a database of asset portfolios and configured to enable valuation process analytics, said computer programmed to:
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value assets in a portfolio individually; segment the portfolio of assets into three valuation portions; fully underwrite each asset included within a first portion of the asset portfolio for computing a value for each asset included within the first portion including underwriting in a full cash manner to generate a full value table, and underwriting in a partial cash manner to generate a partial value table; store in the database asset data acquired from fully underwriting the first portion including the computed value and descriptive attribute variables for each asset included within the first portion; group and underwrite a sample of assets included within a second portion of the asset portfolio for valuation purposes based on the asset data acquired from the fully underwriting of the first portion and stored in the database; statistically infer a value for each asset included within a third portion of the asset portfolio based on the asset data acquired from the fully underwriting of the first portion and stored in the database; list the asset values individually in tables; aggregate to desired groups or tranches for bidding purposes; and optimize the bid pricing for desired risk/return tolerance. - View Dependent Claims (28, 29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 39, 42)
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Specification