Invention Grant
- Patent Title: Loan option model
- Patent Title (中): 贷款期权模式
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Application No.: US10864623Application Date: 2004-06-09
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Publication No.: US07707101B2Publication Date: 2010-04-27
- Inventor: Ashish Misra , Zhifeng Zhang , Andrew Todd Ulmer , Frank S. Accetta
- Applicant: Ashish Misra , Zhifeng Zhang , Andrew Todd Ulmer , Frank S. Accetta
- Applicant Address: US NY New York
- Assignee: Morgan Stanley
- Current Assignee: Morgan Stanley
- Current Assignee Address: US NY New York
- Agency: K&L Gates LLP
- Main IPC: G06Q40/00
- IPC: G06Q40/00
Abstract:
Systems and techniques for operating on data to value an instrument include representing an account include accessing a transition matrix including probabilities for a borrower transitioning from one credit rating to another; determining for each credit rating whether a borrower will stand or exercise a loan option; valuing the loan option; and determining a present value of the instrument.
Public/Granted literature
- US20050144117A1 Loan option model Public/Granted day:2005-06-30
Information query
