发明名称 |
SYSTEMS AND METHODS FOR MODELING CREDIT RISKS OF PUBLICLY TRADED COMPANIES |
摘要 |
There are provided new structural default models for modeling the likely default of publicly traded companies. In a first embodiment, the invention is straight-forward to implement and allows the capture of some important ingredients of the actual default, including positive short-term CDSs. In a second embodiment the model is somewhat more versatile and complex. Provided is a very efficient method for dealing with the timing of a default boundary, that is, jumps in the company's value, etc. Further provided is a process using Fast Fourier Transform matrix processing for processing the structural default models in a computationally efficient manner. |
申请公布号 |
WO2005010722(A3) |
申请公布日期 |
2006.02.16 |
申请号 |
WO2004US23720 |
申请日期 |
2004.07.22 |
申请人 |
CREDIT SUISSE FIRST BOSTON LLC;LIPTON, ALEXANDER;SONG, JONATHAN;LEE, SHINGHOI |
发明人 |
LIPTON, ALEXANDER;SONG, JONATHAN;LEE, SHINGHOI |
分类号 |
G06Q10/00 |
主分类号 |
G06Q10/00 |
代理机构 |
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代理人 |
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主权项 |
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地址 |
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