FINANCIAL INSTRUMENT PORTFOLIO
CREDIT EXPOSURE EVALUATION
Inventors: Nicholas John Lea, Oxfordshire (GB);
Henrik Rasmussen, London (GB)
Assignee: SunGard Systems International Inc.,
Notice: Subject to any disclaimer, the term of this patent is extended or adjusted under 35 U.S.C. 154(b) by 660 days.
Prior Publication Data
US 2005/0209940 Al Sep. 22, 2005
G06Q 40/00 (2006.01)
U.S. CI 705/36 R
Field of Classification Search 705/35,
705/36, 36 R, 37, 38 See application file for complete search history.
U.S. PATENT DOCUMENTS 5,784,696 A * 7/1998 Melnikoff 705/36 R
5,799,287 A * 8/1998 Dembo 705/36 R
6,061,662 A * 5/2000 Makivic 705/36 R
6,278,981 Bl* 8/2001 Dembo et al 705/36 R
7,171,385 Bl* 1/2007 Dembo et al 705/36 R
7,228,290 B2* 6/2007 Browne etal 705/36 R
2002 0123951 Al* 9/2002 Olsenetal 705/36
2002/0147671 Al* 10/2002 Sloan etal 705/36
2003/0110112 Al* 6/2003 Johnson et al 705/36
2004/0205018 Al* 10/2004 Degraafetal 705/37
A computer-implemented method evaluates credit exposure of a portfolio of financial instruments. A deal object is established for each instrument. The deal object comprises a representation of the instrument and a valuation function for representing how the value of the instrument is related to underlying market variables. Risk factor model are established with each model representing a market variable which may affect the value of the instruments. A deal parabolic function is established representing each deal object valuation function by operation of the deal object valuation function on each risk factor model to which it is sensitive. The coefficients of each deal parabolic function established at a same instant from the deal obj ects represented in the portfolio are summed in order to build a portfolio parabolic function approximating the overall portfolio value for that instant.
18 Claims, 3 Drawing Sheets