公开(公告)号：US20130226830A1

公开(公告)日：2013-08-29

申请号：US13407623

申请日：2012-02-28

申请人： Kete Long ,  Colin Craig McCulloch ,  Sean Coleman Keenan

发明人： Kete Long ,  Colin Craig McCulloch ,  Sean Coleman Keenan

IPC分类号： G06Q40/06

CPC分类号： G06Q40/00

摘要： Transactional risk and return analysis systems provided herein include a transaction database and a market database. The transaction database includes data regarding transactions with associated attributes and the market database includes market data. A portfolio model uses such data to estimate a risk prediction for each transaction. A risk prediction model is generated based on the portfolio model and estimates a risk prediction for a prospective transaction, and a case cash flow analyzer produces a risk-breakeven spread. A transaction evaluator uses the risk prediction model and the risk-breakeven spread to calculated transaction risk and return data for a prospective transaction.

摘要翻译： 本文提供的交易风险和回报分析系统包括交易数据库和市场数据库。 交易数据库包括关于具有关联属性的交易的数据，并且市场数据库包括市场数据。 投资组合模型使用这些数据来估计每笔交易的风险预测。 基于投资组合模型生成风险预测模型，并估计潜在交易的风险预测，案例现金流量分析仪产生风险承受偏差。 交易评估者使用风险预测模型和风险 - 盈亏平衡差来计算交易风险和预期交易的回报数据。

公开(公告)号：US09892461B2

公开(公告)日：2018-02-13

申请号：US12135884

申请日：2008-06-09

申请人： Tim Kerry Keyes ,  Sean Coleman Keenan ,  Charles Allred

发明人： Tim Kerry Keyes ,  Sean Coleman Keenan ,  Charles Allred

IPC分类号： G06Q40/00 ,  G06Q40/08 ,  G06Q40/06

CPC分类号： G06Q40/08 ,  G06Q40/06

摘要： 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.

公开(公告)号：US20100153299A1

公开(公告)日：2010-06-17

申请号：US12336360

申请日：2008-12-16

申请人： Sean Coleman Keenan ,  Vishwanath Avasarala ,  Jason Wayne Black ,  Kete Chalermkraivuth ,  John Andrew Ellis ,  Radu Neagu ,  Rajesh Vankat Subbu ,  Jingjiao Zhang

发明人： Sean Coleman Keenan ,  Vishwanath Avasarala ,  Jason Wayne Black ,  Kete Chalermkraivuth ,  John Andrew Ellis ,  Radu Neagu ,  Rajesh Vankat Subbu ,  Jingjiao Zhang

IPC分类号： G06Q40/00 ,  G06N5/02 ,  G06F15/18

CPC分类号： G06Q40/06 ,  G06N3/006 ,  G06N3/126 ,  G06N7/005

摘要： A method for generating an optimized transition probability matrix (OTPM) is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database financial data including obligor credit ratings, generating multi-period empirical transition probability matrices (ETPMs) for a selected time horizon using the financial data stored within the database, generating a mathematical expression to minimize a difference between target ETPM values and candidate OTPM values, and calculating the OTPM from the generated mathematical expression and the financial data stored within the database, wherein the calculated OTPM includes a first set of optimized transition probability values for predicting a likelihood that a credit rating of an obligor will migrate from one credit state to another credit state during a first time interval in the future.

摘要翻译： 提供了一种用于生成优化的转移概率矩阵（OTPM）的方法。 该方法使用耦合到数据库的计算机系统来执行。 该方法包括在数据库中存储财务数据，包括义务人信用评级，使用存储在数据库内的财务数据为所选择的时间范围生成多期经验转移概率矩阵（ETPM），生成数学表达式以最小化目标ETPM之间的差异 值和候选OTPM值，以及从生成的数学表达式和存储在数据库中的财务数据计算OTPM，其中所计算的OTPM包括用于预测义务人的信用评级将迁移的可能性的优化转移概率值的第一组 在未来的第一个时间间隔内从一个信用状态到另一个信用状态。

公开(公告)号：US08249981B2

公开(公告)日：2012-08-21

申请号：US12336360

申请日：2008-12-16

申请人： Sean Coleman Keenan ,  Vishwanath Avasarala ,  Jason Wayne Black ,  Kete Chalermkraivuth ,  John Andrew Ellis ,  Radu Neagu ,  Rajesh Venkat Subbu ,  Jingjiao Zhang ,  David Chienju Li

发明人： Sean Coleman Keenan ,  Vishwanath Avasarala ,  Jason Wayne Black ,  Kete Chalermkraivuth ,  John Andrew Ellis ,  Radu Neagu ,  Rajesh Venkat Subbu ,  Jingjiao Zhang ,  David Chienju Li

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06N3/006 ,  G06N3/126 ,  G06N7/005

摘要： A method for generating an optimized transition probability matrix (OTPM) is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database financial data including obligor credit ratings, generating multi-period empirical transition probability matrices (ETPMs) for a selected time horizon using the financial data stored within the database, generating a mathematical expression to minimize a difference between target ETPM values and candidate OTPM values, and calculating the OTPM from the generated mathematical expression and the financial data stored within the database, wherein the calculated OTPM includes a first set of optimized transition probability values for predicting a likelihood that a credit rating of an obligor will migrate from one credit state to another credit state during a first time interval in the future.

摘要翻译： 提供了一种用于生成优化的转移概率矩阵（OTPM）的方法。 该方法使用耦合到数据库的计算机系统来执行。 该方法包括在数据库中存储财务数据，包括义务人信用评级，使用存储在数据库内的财务数据为所选择的时间范围生成多期经验转移概率矩阵（ETPM），生成数学表达式以最小化目标ETPM之间的差异 值和候选OTPM值，以及从生成的数学表达式和存储在数据库中的财务数据计算OTPM，其中所计算的OTPM包括用于预测义务人的信用评级将迁移的可能性的优化转移概率值的第一组 在未来的第一个时间间隔内从一个信用状态到另一个信用状态。

公开(公告)号：US20110246386A9

公开(公告)日：2011-10-06

申请号：US12336360

申请日：2008-12-16

申请人： Sean Coleman Keenan ,  Vishwanath Avasarala ,  Jason Wayne Black ,  Kete Chalermkraivuth ,  John Andrew Ellis ,  Radu Neagu ,  Rajesh Vankat Subbu ,  Jingjiao Zhang

发明人： Sean Coleman Keenan ,  Vishwanath Avasarala ,  Jason Wayne Black ,  Kete Chalermkraivuth ,  John Andrew Ellis ,  Radu Neagu ,  Rajesh Vankat Subbu ,  Jingjiao Zhang

IPC分类号： G06Q40/00 ,  G06N5/02 ,  G06F15/18

CPC分类号： G06Q40/06 ,  G06N3/006 ,  G06N3/126 ,  G06N7/005

摘要： A method for generating an optimized transition probability matrix (OTPM) is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database financial data including obligor credit ratings, generating multi-period empirical transition probability matrices (ETPMs) for a selected time horizon using the financial data stored within the database, generating a mathematical expression to minimize a difference between target ETPM values and candidate OTPM values, and calculating the OTPM from the generated mathematical expression and the financial data stored within the database, wherein the calculated OTPM includes a first set of optimized transition probability values for predicting a likelihood that a credit rating of an obligor will migrate from one credit state to another credit state during a first time interval in the future.

摘要翻译： 提供了一种用于生成优化的转移概率矩阵（OTPM）的方法。 该方法使用耦合到数据库的计算机系统来执行。 该方法包括在数据库中存储财务数据，包括义务人信用评级，使用存储在数据库内的财务数据为所选择的时间范围生成多期经验转移概率矩阵（ETPM），生成数学表达式以最小化目标ETPM之间的差异 值和候选OTPM值，以及从生成的数学表达式和存储在数据库中的财务数据计算OTPM，其中所计算的OTPM包括用于预测义务人的信用评级将迁移的可能性的优化转移概率值的第一组 在未来的第一个时间间隔内从一个信用状态到另一个信用状态。

公开(公告)号：US20090307146A1

公开(公告)日：2009-12-10

申请号：US12135884

申请日：2008-06-09

申请人： Tim Kerry Keyes ,  Sean Coleman Keenan ,  Charles Allred

发明人： Tim Kerry Keyes ,  Sean Coleman Keenan ,  Charles Allred

IPC分类号： G06Q40/00

CPC分类号： G06Q40/08 ,  G06Q40/06

摘要： 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.

摘要翻译： 提供了一种评估与下属债务组合相关的承销和分配风险的方法。 该方法使用耦合到数据库的计算机系统来执行。 该方法包括在数据库中存储历史债券发行数据一段时间，并进行至少一个历史流动性事件，并使用计算机生成多个模拟次级债务仓库以及存储在数据库中的历史债券发行数据。 该方法还包括基于生成的多个模拟的下级债务仓库来计算历史损失分布。 该方法还包括通过将历史损失分配应用于下属债务投资组合来确定潜在流动性事件产生的下属债务组合的风险值。