Apparatus, method and system for determining credit derivative indices and estimating credit derivative credit curves, and a credit calculator for valuing credit derivatives based on the credit curves

A method for determining at least one estimated financial attribute of at least one entity of a population, the method comprising:

• providing financial attribute data for entities of the population, wherein the financial attribute data is for a period of time, and the period of time includes a particular day and prior days;
• determining a conditional index for the particular day and for a particular entity based on a relationship of prior conditional indices, actual financial attribute data for the particular day and actual financial attribute data for the prior days by calculating a maximum likelihood estimator for the conditional index for the particular day;
• determining an unconditional index representing an average level of the financial attribute data for the entities of the population;
• and
• determining the at least one estimated financial attribute for the at least one entity based on the unconditional index.

An apparatus for determining at least one estimated financial attribute of at least one entity of a population, the apparatus comprising:

• a first arrangement to provide financial attribute data for entities of the population, wherein the financial attribute data is for a period of time, and the period of time includes a particular day and prior days;
• a second arrangement to determine a conditional index for the particular day and for a particular entity based on a relationship of prior conditional indices, actual financial attribute data for the particular day and actual financial attribute data for the prior days by calculating a maximum likelihood estimator for the conditional index for the particular day;
• a third arrangement to determine an unconditional index representing an average level of the financial attribute data for the entities of the population;
• and
• a fourth arrangement to determine the at least one estimated financial attribute for the at least one entity based on the unconditional index.

A computer-readable storage medium including program code for determining at least one estimated financial attribute of at least one entity of a population, the program code being executable in a processor arrangement to perform the following:

• providing financial attribute data for entities of the population, wherein the financial attribute data is for a period of time, and the period of time includes a particular day and prior days;
• determining a conditional index for the particular day and for a particular entity based on a relationship of prior conditional indices, actual financial attribute data for the particular day and actual financial attribute data for the prior days by calculating a maximum likelihood estimator for the conditional index for the particular day;
• determining an unconditional index representing an average level of the financial attribute data for the entities of the population;
• and
• determining the at least one estimated financial attribute for the at least one entity based on the unconditional index.