CROSS REFERENCE TO RELATED APPLICATION

摘要

A system for modeling a basket of securities (1) containing a plurality of securities is provided and includes a default/recovery model database (5) for storing default/recovery data regarding the plurality of securities. Also included is a default simulation engine (7) for calculating a default time for at least one of the plurality of securities based on the default/recovery data. Finally, a cash flow engine (9) is included for generating cash flows for the basket of securities based on the default times.