发明申请
- 专利标题: METHOD, SYSTEM AND PROGRAM FOR CREDIT RISK MANAGEMENT UTILIZING CREDIT EXPOSURE
- 专利标题(中): 信用风险管理的方法,系统和程序
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申请号: PCT/US2004/030620申请日: 2004-09-16
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公开(公告)号: WO2005029274A2公开(公告)日: 2005-03-31
- 发明人: MIRI, John , HEATH, Corey , SILHAVY, Mark , ABASSI, Misbah , MECHE, Eddie , HAYNIE, Cynthia , REID, Dan , BELSHAW, Jarod , FARLEY, Samuel, Jesse , HENDRICKS, Colin , KAISHARIS, Paul
- 申请人: ROME CORPORATION
- 申请人地址: 1601 South Mopac Expressway, Suite 250, Austin, TX 78746 US
- 专利权人: ROME CORPORATION
- 当前专利权人: ROME CORPORATION
- 当前专利权人地址: 1601 South Mopac Expressway, Suite 250, Austin, TX 78746 US
- 代理机构: YUDELL, Craig
- 优先权: US60/503,429 20030916; US60/503,422 20030916
- 主分类号: G06F
- IPC分类号: G06F
摘要:
Software aggregates and integrates credit exposure data across accounting, trading and operational systems within an energy trading organization. A comprehensive model of exposure to all counterparties, across all of their divisions and subsidiaries, is then assembled, enabling the creation of a hierarchical view of each counterparty that models its real-world parent-child relationships, and taking into account netting, setoff, and margin requirements, collateral requirements and contract terms, internal and external views of exposure and liquidity, and risk concentrations based on both system and user-defined risk categories. After aggregating the exposure information, credit, transactions, risk and other properties are determined at any level in the hierarchy and then the system presents a comprehensive, detailed, real-time, enterprise-wide view of current exposure, collateral requirements and outlays for both a company and its counterparties. Walkforward views of potential credit exposure taking into account current and future prices and volumes are also provided.