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:
Sep. 25, 2012
Filed:
Jan. 24, 2007
Stephen J. Ahn, Yonkers, NY (US);
Oded Hauser, Matawan, NJ (US);
John J. Yao, New York, NY (US);
The Bank of New York Mellon Corporation, New York, NY (US);
Abstract
Systems and methods for measuring value-at-risk and profitability of hedging in relation to BMA debt obligations are provided using rigorous statistical solutions that address problems associated with municipalities involved in swap hedging face. Various embodiments permit users to quantify POL hedging basis risk through a VAR-style loss measurement and statistics measuring the profitability of a hedge, those statistics including gain durability and gain/loss ratio. Various aspects introduce significant innovation to risk management practices, particularly for tax-exempt issuers of debt. Certain embodiments of this disclosure facilitate better management of hedging risk, analysis of hedges using POL vs. BMA and provide guidance for analyzing the risk existing in an existing portfolio of POL swap hedges to better inform decision-making regarding use of hedging risk for profit or to lay off risk.