Patent ID: 8521566
Filing Date: 2013-08-27
Classification: G06Q

Abstract:
1. A method of providing a fully automated computerized facility for the buying, selling, or pricing of debt-based derivatives that comprises: providing an automated system amongst a plurality of automated computer engines known as “SAEJ” operating on one or more computer processors over a communication system or network that takes into account many aspects of risk control and includes soliciting from responding SAEJ engines of automatic real-time price quotations, without manual intervention, in response to a buy, sell, or pricing request received from an initiating computer processor; inputting selected aspects of financial risk control and other parameters to one or more of the SAEJ engines in the SAEJ automated system in order to provide transparency and risk control; evaluating risk controls after inputting to the SAEJ engines a default risk evaluation of one or more of reference entities, primary insurance companies, and secondary insurance companies; determining, by one or more of the SAEJ engines, a real-time price quotation; and selecting, by a controlling computer processor or the initiating computer processor in response to the received price quotations, a winning bid and either determining pricing or transacting purchase or sale of the debt-based derivative based on the winning bid; wherein SAEJ computer processor determination of automatic real-time price quotations includes optimizations which consider at least one of the following constraints: where K L is a lower bound of differential risk exposure target, K H is a higher bound of differential risk exposure target, V t is cumulated notional value up to time t, K t is average dollar-weight default risk to time t, v is newly requested credit default swap (CDS) notional value, k is newly requested CDS default risk, and K 0 is default risk at origin; where D L is a lower bound of weighted global duration target, D H is a higher bound of weighted global duration target, V t is cumulated notional value up to time t, D t is weighted duration up to time t, v is newly requested CDS notional value, and d is newly requested CDS duration; where S L x is a lower bound of weighted reference entity diversification index target, S H x is a higher bound of weighted reference entity diversification index target, V t is cumulated notional value up to time t, S t x is weighted diversification index up to time t, v is newly requested CDS notional value, and s x is newly chosen reference entity diversification index; and where R L x is a lower bound of weighted primary insurance company rating target, R H x is a higher bound of weighted primary insurance company rating target, V t is cumulated notional value up to time t, R t x is weighted rating for primary insurance companies up to time t, v is newly requested CDS notional value, r x is eligible primary insurance company rating vector, and y is primary insurance company selection vector.