Systems and methods for modeling credit risks of publicly traded companies
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United States of America Patent
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Dec 14, 2010
Grant Date -
Feb 1, 2007
app pub date -
Oct 5, 2006
filing date -
Jul 24, 2003
priority date (Note) -
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Abstract
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 them 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.
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