The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Feb. 02, 2010
Filed:
Jan. 18, 2006
Alfredo DE Diego Arozamena, New York, NY (US);
Cristina Polizu, Great Neck, NY (US);
Ming Tang, New York, NY (US);
Alfredo De Diego Arozamena, New York, NY (US);
Cristina Polizu, Great Neck, NY (US);
Ming Tang, New York, NY (US);
Standard & Poor's Financial Services LLC, New York, NY (US);
Abstract
A method for estimating future cash flows of an investment instrument (or portfolio of investment instruments) is performed by simulating past performance (i.e., cash flows) similar instruments based on actual data of past performance, using the simulated past performance to generate a distribution of possible future performance outcomes of the investment instrument, and using the distribution of possible future performance outcomes to make estimates of the expected cash flow from the investment instrument. In one embodiment, cash flow time series of private equity funds (J-curves) are simulated for fully-liquidated vintage years by scaling an aggregate net cash flow time series from a plurality of fully liquidated funds for that vintage year. The time series is scaled by scalar coefficients calculated based on statistics of the four parameters, internal rate of return, money multiple, depth of curve, and speed to depth, of the aggregated vintage fund J-curves.