专利快速检索-快速检索全球专利，免费商用专利数据库-IPRDB

1. 发明申请

US20080177673A1 METHODS FOR MEASURING HEDGING VALUE-AT-RISK AND PROFITABILITY 有权
标题翻译：用于测量对冲值 - 风险和利润的方法
公开(公告)号：US20080177673A1
公开(公告)日：2008-07-24
申请号：US11626665
申请日：2007-01-24
申请人： Stephen J. AHN , Oded Hauser , John J. Yao
发明人： Stephen J. AHN , Oded Hauser , John J. Yao
IPC分类号： G06Q40/00
CPC分类号： G06Q40/08 , G06Q40/06
摘要： Systems and methods for measuring value-at-risk and profitability of hedging in relation to BMA debt obligations are provided using rigorous statistical solutions that address problems associated with municipalities involved in swap hedging face. Various embodiments permit users to quantify POL hedging basis risk through a VAR-style loss measurement and statistics measuring the profitability of a hedge, those statistics including gain durability and gain/loss ratio. Various aspects introduce significant innovation to risk management practices, particularly for tax-exempt issuers of debt. Certain embodiments of this disclosure facilitate better management of hedging risk, analysis of hedges using POL vs. BMA and provide guidance for analyzing the risk existing in an existing portfolio of POL swap hedges to better inform decision-making regarding use of hedging risk for profit or to lay off risk.
摘要翻译：使用严格的统计解决方案提供了衡量与BMA债务相关的风险和风险的对冲价值的系统和方法，以解决涉及掉期对冲市场的问题。各种实施例允许用户通过VAR风格的损失测量和衡量对冲的盈利能力的统计量来衡量POL对冲基础风险，这些统计包括增益耐久性和收益/损失率。各方面对风险管理做法，特别是免税发行人的债务进行了重大创新。本公开的某些实施例有助于更好地管理对冲风险，使用POL与BMA分析套期保值，并提供指导，用于分析现有投资组合中的交换对冲风险中存在的风险，以更好地通知关于使用套期保值风险进行利润的决策; 解除风险。

2. 发明授权

US08275686B2 Methods for measuring hedging value-at-risk and profitability 有权
标题翻译：衡量套期保值风险和盈利能力的方法
公开(公告)号：US08275686B2
公开(公告)日：2012-09-25
申请号：US11626665
申请日：2007-01-24
申请人： Stephen J. Ahn , Oded Hauser , John J. Yao
发明人： Stephen J. Ahn , Oded Hauser , John J. Yao
IPC分类号： G06Q40/00
CPC分类号： G06Q40/08 , G06Q40/06
摘要： Systems and methods for measuring value-at-risk and profitability of hedging in relation to BMA debt obligations are provided using rigorous statistical solutions that address problems associated with municipalities involved in swap hedging face. Various embodiments permit users to quantify POL hedging basis risk through a VAR-style loss measurement and statistics measuring the profitability of a hedge, those statistics including gain durability and gain/loss ratio. Various aspects introduce significant innovation to risk management practices, particularly for tax-exempt issuers of debt. Certain embodiments of this disclosure facilitate better management of hedging risk, analysis of hedges using POL vs. BMA and provide guidance for analyzing the risk existing in an existing portfolio of POL swap hedges to better inform decision-making regarding use of hedging risk for profit or to lay off risk.
摘要翻译：使用严格的统计解决方案提供了衡量与BMA债务相关的风险和风险的对冲价值的系统和方法，以解决涉及掉期对冲市场的问题。各种实施例允许用户通过VAR风格的损失测量和衡量对冲的盈利能力的统计量来衡量POL对冲基础风险，这些统计包括增益耐久性和收益/损失率。各方面对风险管理做法，特别是免税发行人的债务进行了重大创新。本公开的某些实施例有助于更好地管理对冲风险，使用POL与BMA分析套期保值，并提供指导，用于分析现有的POL掉期对冲组合中存在的风险，以更好地通知关于使用套期保值风险进行利润的决策; 解除风险。

你已经成功收藏专利！

检索式保存成功!

IPRDB

热门服务

关于我们

友情链接

联系方式