Back to results
US 8,074,873 B1Granted
Systems and methods to perform credit valuation adjustment analyses
AssigneeGoldman, Sachs & Co.
InventorsMarkus Finkemeier, Yongshan Huang, Arun Palakurthy, Philippe Khuong-huu, Michael Stanley, Michael Fisher, Andrew Hudis, Jonathan Loflin
Life of this patent
Estimating the term…
Abstract
Systems and methods are provided to perform credit valuation adjustment analyses.
Claims11
A processor implemented method of providing credit valuation adjustment, comprising:
- receiving current market data from a market data source;
- identifying information associated with an existing credit position or a proposed credit position involving a first party and counterparties;
- calculating on a processor net present value of expected future losses based on a default of each of the counterparties or of expected future gains based on a default of the first party;
- calculating predictions of default probabilities associated with each of the credit positions;
- and
- generating on the processor a report and output the net present value of an expected future credit loss or gain of an overall credit position.
3 more elements
A computer implemented method of credit valuation adjustment analysis, comprising:
- receiving information associated with an existing credit position involving a first party and counterparties;
- receiving information associated with a proposed credit position involving the first party and counterparties;
- calculating on a processor a first net present value of expected future losses based on a default of each of the counterparties and a second net present value of expected future gains based on a default of the first party;
- the calculation of the first and second net present values comprising:
- receiving current market data from a market data source;
- performing a monte carlo simulation to generate a series of cash flows associated with each of the existing and proposed credit positions;
- and
- generating predictions of default probabilities associated with each of the existing and proposed credit positions;
- summing the first and second net present values on the processor to identify a third net present value of an expected future credit loss and gain of an overall credit position including both the existing credit position and the proposed credit position;
- and
- outputting the identified third net present value.
8 more elements
A computer system implemented method of providing credit valuation adjustment, comprising:
- receiving information associated with an existing credit position involving a first party and counterparties;
- receiving information associated with a proposed credit position involving the first party and counterparties;
- determining on the computer system a net present value of an expected future credit loss or gain of an overall credit position including both the existing credit position and the proposed credit position, the determining comprising:
- receiving current market data from a market data source;
- performing a statistical analysis to generate a series of cash flows associated with each of the existing and proposed credit positions;
- generating predictions of default probabilities associated with each of the existing and proposed credit positions;
- and
- calculating the net present value of the expected future credit loss or gain of the overall credit position based on the generated predictions of default probabilities.
5 more elements
Dependencies are inferred from the claim text.