Patent ID: 7236951
Filing Date: 2007-06-26
Classification: G06Q

Abstract:
1. A method, using a computer, of calculating the financial status of a company, comprising the steps of: determining using a computer, the value of the company in accordance with a formula wherein N is a standard Poisson process with intensity λ, J is a normal variable with mean j and standard deviation k; W is a standard Wiener process, V is the value of the company, r is an interest rate, σ is a company volatility, λ is an intensity of jump arrival, t is a calendar time between today and maturity T; determining, using a computer, that the company defaults if at a sequence of discrete observational times t calculating a transitional probability density function (TPDF) for the value of the company conditional on no default occurring between time t=0 and an observational time t determining, using the TPDF, a transitional probability that the company will have a value of V