	US 7,526,446 B2
	System and methods for valuing and managing the risk of credit instrument portfolios
Scott Aguais, Newmarket (Canada); Barry Belkin, Westchester, Pa. (US); Victoria Farber, Richmond Hill (Canada); Lawrence R. Forest, Jr., McLean, Va. (US); Alexander Kreinin, Thornhill (Canada); Dan Rosen, Toronto (Canada); and Steve Suchower, Malvern, Pa. (US)
Assigned to Algorithmics International, Bridgetown (Barbados)
Filed on Jan. 17, 2002, as Appl. No. 10/51,905.
Application 10/051905 is a continuation in part of application No. 10/044071, filed on Jan. 10, 2002, abandoned.
Prior Publication US 2003/0135450 A1, Jul. 17, 2003
Int. Cl. G06Q 40/00 (2006.01)

U.S. Cl. 705—38 [705/37; 705/36; 705/35]

16 Claims

1. A no-arbitrage-based system for valuing one or more credit instruments, said system comprising:

a) a database having a machine readable storage medium for storing credit instrument data;

b) a first calibration engine connected to said database, wherein said first calibration engine generates calibration parameters from said credit instrument data and current market data, said credit instrument data comprising market data;

C) a second pricing engine connected to said database and said first calibration engine, wherein said second pricing engine is configured to use said calibration parameters to value said one or more credit instruments according to no-arbitrage financial principles, wherein at least one of a net present value and a par-spread is calculated for each of said one or more credit instruments using current market data;

d) a third engine connected to said second pricing engine for performing simulation-based computations in which a plurality of scenarios are applied to market data to generate a plurality of valuation and exposure measures;

e) a fourth risk engine connected to said second pricing engine and said third engine for computing a plurality of risk and reward metrics from said valuation and exposure measures; and

f) a report generator connected to said fourth risk engine for generating reports for use in managing risk; and

g) wherein acts performed by said first calibration engine, said second pricing engine said third engine, said fourth risk engine and said report generator are configured to execute on a computer.