| 摘要 |
STL(0), STL(X) and ESTL(X) are processes for determining unique measures of risk for fixed income derivatives and securities. The processes are based on determining this unique concept of risk for a given outer capital structure layer and then combining that risk measure with the average of a similar risk measure of securities referenced by that capital structure repetitively until a base reference level is reached. In particular, a storage device comprises computer-executable instructions for determining risk of a financial instrument which is affected by or offered as a plurality of tranches. The computer-executable instructions, when executed on a programmable computer: identify a width, W, of a given tranche of the instrument; identify an attachment ratio, A, of the given tranche; and determine a liability ratio of the tranche by subtracting the attachment ratio from unity; and determine a simple tranche leverage value, STL(0), of the tranche by dividing the liability ratio by the width. |
