System and methods for modeling credit risks of publicly traded companies
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[edit] Patent Title
System and methods for modeling credit risks of publicly traded companies
[edit] Patent Number
US Patent 7236951
[edit] 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 the 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.
[edit] Inventors
Lipton; Alexander (Chicago, IL), Song; Jonathan Z. (New York, NY), Lee; Shinghoi (New York, NY)
[edit] Assignee
Credit Suisse First Boston LLC (New York, NY)
[edit] Filed Date
March 8, 2004
[edit] Links
Full Patent Information [1]
