Methods and systems for assessing underwriting and distribution risks associated with subordinate debt
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United States of America Patent
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Feb 13, 2018
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app pub date -
Jun 9, 2008
filing date -
Jun 9, 2008
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Abstract
A method for assessing underwriting and distribution risks associated with a portfolio of subordinate debt is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database historical bond issue data for a period of time preceding and proceeding at least one historical liquidity event and generating a plurality of simulated subordinate debt warehouses using the computer and the historical bond issue data stored in the database. The method also includes calculating a historical loss distribution based on the plurality of simulated subordinate debt warehouses generated. The method also includes determining a value at risk for a portfolio of subordinate debt resulting from a potential liquidity event by applying the historical loss distribution to the portfolio of subordinate debt.
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