US 7,890,343 B1Granted

System and method for generating risk management curves

AssigneeJP Morgan Chase Bank

InventorsAnthony Iasello, Philip H. Jung, Samik Chandarana, Kapil Bhatia, Robert P. Machado, Jr., Doron Simon, Stephen Wayne Bennett, Chet Zhang, Gary Michelson, Paul Coolen, Mitchell Smith

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Abstract

Accurate risk management curves are generated for companies that have limited market information available to generate a risk management curve purely from the market information by allowing a pre-existing risk management curve (referred to as a “leader curve”) to be selected as a basis for generating a new risk management curve (referred to as a “target curve”). The leader curve may pertain to a company (referred to as the “leader company”) that has similar characteristics to the company for which the target curve is being generated (referred to as the “target company”). Further, any known differences between the leader company and the target company may be reflected in the target curve by incorporating any number of offsets between the leader curve and the target curve.

Claims18

Dependent claims

A method for generating a target financial risk management curve, using a computer, the method comprising the steps of:

selecting a pre-existing financial risk management curve as a leader curve of a first company using the computer, the leader curve including a plurality of points;
selecting at least one technique using at least a parameter required for generating the target financial risk management curve using the computer;
specifying an offset based on said selected technique for each of the plurality of points in the leader curve independently of other points of the plurality of points in the leader curve using the computer, said offset quantifying differences between the leader curve and the target financial risk management curve, wherein said target financial risk management curve includes a plurality of points offset from the leader curve by the offsets specified for the plurality of points in the leader curve;
and
modifying said leader curve to generate the target financial risk management curve for a second company using the computer;
wherein said second company has insufficient market information available to generate a target financial risk management curve based on said second company's market information, and said second company has similar characteristics to said first company.

3 more elements

Dependencies are inferred from the claim text.