Title:
構造化金融性能監視指標
Document Type and Number:
Japanese Patent JP2004528611
Kind Code:
A
Abstract:
A method for assessing and dynamically rating transactions ( 180 ) for structured finance transactions. The method assesses the deviation ( 170 ) from a payment promise to be expected from securities backed by pools of assets of various forms ( 100 ), the securities being issued in a plurality of tranches ( 125 ). The liabilities of the transaction, including triggers and external form of credit enhancement, are taken into account precisely to compute the deviation from the payment promise to be expected by liability holders. Data representing the structure of the transaction and the current state of the asset pool are received ( 100 ). A Markov chain formalism ( 150 ) is applied on the received data, and a cash flow model is constructed to predict the cash flow performance ( 180 ) of the asset pool.
Inventors:
Leynes, Sylvine
Lute Lodge, Anne, Elaine
Lute Lodge, Anne, Elaine
Application Number:
JP2002512884A
Publication Date:
September 16, 2004
Filing Date:
July 16, 2001
Export Citation:
Assignee:
Leynes, Sylvine
International Classes:
G06Q90/00; G06Q20/10; G06Q20/40; G06Q40/00; (IPC1-7): G06F17/60
Attorney, Agent or Firm:
Teruo Akimoto