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:
Dec. 14, 2010
Filed:
Oct. 05, 2006
Alexander Lipton, Chicago, IL (US);
Jonathan Z. Song, New York, NY (US);
Shinghoi Lee, New York, NY (US);
Alexander Lipton, Chicago, IL (US);
Jonathan Z. Song, New York, NY (US);
Shinghoi Lee, New York, NY (US);
Credit Suisse Securities (USA) LLC, New York, NY (US);
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 them 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.