Morgan Stanley

Peter D Cotton

Zhifeng Zhang

Shinghoi Lee

Kin Pang

A computer-assisted method for evaluating a financial model. The method may include selecting a financial model describing a distribution of a first financial variable and representing the financial model in a probabilistic network. The model may also include deriving a refined financial model based on the probabilistic network and finding a value of a financial instrument based at least in part on the refined financial model. A property of the financial instrument may be described by the first financial variable. In various embodiments, the method may also include inferring a value of the first financial variable.

Systems and methods for analyzing financial models with probabilistic networks

A method for calculating pricing information for a financial instrument consisting of a plurality of underlying financial instruments that includes the steps of: calculating a default time vector for a plurality of default scenarios wherein each default time vector includes a measure of a likelihood of default for each of the plurality of underlying financial instruments; calculating one or more cash flows for a subset of the default scenarios thereby forming a training set; training a neural network with the training set; and using the neural network to estimate one or more cash flows for a remaining number of the plurality of default scenarios.

Intelligent simulation analysis method and system

A system for modeling a basket of securities containing a plurality of securities is provided and includes a default/recovery model database for storing default/recovery data regarding the plurality of securities. Also included is a default simulation engine for calculating a default time for at least one of the plurality of securities based on the default/recovery data. Finally, a cash flow engine is included for generating cash flows for the basket of securities based on the default times.

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New York, NY, United States of America

Peter D Cotton