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System and method for modelling pricing of securities such as expected risk, rate of return and default loss
System and method for modelling pricing of securities such as expected risk, rate of return and default loss
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机译:用于对诸如预期风险,收益率和违约损失之类的证券定价进行建模的系统和方法
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摘要
A computer system is for measuring the credit risk of an asset, estimating the covariance of returns of securities, estimating the correlation of securities, applying an option theoretic model of a firm and relating a price or value of a plurality of securities associated with an underlying asset, the rate of return on the securities and the risk attributes of the securities is disclosed. Specifically when system relates a price or value of a plurality of securities associated with an underlying asset, the rate of return on the securities and the risk attributes of the securities, the system comprises: a computer-readable memory; a risk analysis unit; a risk pricing unit; a financial modelling unit and a user interface device operative to exchange information with a user. The risk analysis unit is operative to designate that a priced risk factor incorporated in the risk premium for each security is the volatility of returns, measured over discrete time. The risk pricing unit is operative to: determine a risk premium incorporated in the rate of return for each security; and designate that the price per unit of this risk factor is the same for two or more of the securities. The financial modelling unit is operative to define a model comprising data representing relationships between the risk premiums determined for each security and store the model in the computer-readable memory.
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