INTELLIGENT SIMULATION ANALYSIS METHOD AND SYSTEM

摘要

A method for calculating pricing information for a financial instrument consisting of a plurality of underlying financial instruments that includes the steps of calculating a default time vector for a plurality of default scenarios wherein each default time vector includes a measure of a likelihood of default for each of the plurality of underlying financial instruments; calculating one or more cash flows for a subset of the default scenarios thereby forming a training set; training a neural network with the training set; and using the neural network to estimate one or more cash flows for a remaining number of the plurality of default scenarios.