Systems, methods and computer software related to pooled credit risk ...
US008781952B1
(12) United States Patent
(10) Patent N0.: (45) Date of Patent:
Biase (54)
SYSTEMS, METHODS AND COMPUTER
8,015,106 B2 * 8,266,053 B2 *
SOFTWARE RELATED TO POOLED CREDIT RISK AND FINANCIAL INSTRUMENT ALLOCATION
(76) Inventor: Lucio Biase, Jersey City, NJ (US) (*)
Notice:
U.S.C. 154(b) by 1140 days.
Jul. 15, 2014 Crawford et a1. ............. .. 705/38 Crawford et a1. ............. .. 705/38
2002/0055897 A1
5/2002 Shidler et a1.
2002/0099651 A1*
7/2002
2002/0116317 A1* 2003/0093360 A1*
8/2002 May 5/2003 May
2003/0220868
Subject to any disclaimer, the term of this patent is extended or adjusted under 35
9/2011 9/2012
US 8,781,952 B1
A1*
11/2003
2004/0024692 A1 *
2/2004
2004/0143535 2005/0080734 2005/0108128 2005/0108145
A1 A1 A1* A1*
2006/0036534
A1*
May .............................. .. 705/38
May
705/37 705/37 . . . . . . . . . . . . . . . . . . .
7/2004 Hirani et a1. 5/2005
Kastel et a1. .................. .. 705/35
5/2005 Kastelet a1. 2/2006
Hiraniet a1.
2006/0080214 A1*
(22) Filed:
2006/0129472 A1* 6/2006 Harrington 2006/0224491 A1 10/2006 Pinkava 2006/0224492 A1 10/2006 Pinkava 2006/0224493 A1*
10/2006
Provisional application No. 60/976,865, ?led on Oct. 2, 2007.
(51)
Int. Cl. G06Q 40/00 US. Cl.
(58)
(2012.01)
Primary Examiner * Mohammad Z Shaikh
(74) Attorney, Agent, or Firm * Greenberg Traurig, LLP
.................................................... .. 705/35445
(57)
See application ?le for complete search history.
ABSTRACT
One embodiment of the present invention is directed to a system related to pooled credit risk. Another embodiment of the present invention is directed to a method related to pooled credit risk. Another embodiment of the present invention is directed to computer software related to pooled credit risk. Another embodiment of the present invention is directed to a
References Cited U.S. PATENT DOCUMENTS 9/1998 7/2001 Sampson Silvermaneteta1. a1. ............ .. 705/37
?nancial instrument allocation optimization algorithm. In
6,304,858 B1
10/2001 Mosler et a1.
6,317,727 B1* 6,421,653 B1*
11/2001 May .......................... .. 705/36R 7/2002 May .......................... .. 705/36R
7,333,950 B2
Pinkava ........................ .. 705/37
(Continued) 705/38
CPC ............................. .. G06Q 40/04; G06Q 40/06
6,260,025 5,802,499 A B1**
................... .. 705/35
B0sco,Pearl, “RXM diagnoses credit risk ills”, Bank Systems & Technology, 32.9, Sep. 1995, pp. 1-4.*
.......................................................... ..
(56)
705/38
705/37
OTHER PUBLICATIONS
Field of Classi?cation Search USPC
. . . ..
(Continued)
(60)
USPC
705/37 .......
4/2006 Hausman et al. ..
Related US. Application Data
(52)
705/37
4/2005 Lynch et al.
(21) App1.No.: 12/244,417 Oct. 2, 2008
. . . ..
Turbeville et al. ............ .. 705/38
one example, the ?nancial instrument allocation optimization algorithm may relate to a maximum matching algorithm. In another example, the ?nancial instrument allocation optimi zation algorithm may relate to a maximum dispersion algo rithm.
2/2008 Shidler et a1.
7,530,490 B1*
5/2009
7,533,054 B2*
5/2009 Hausman et a1.
Finkemeier et a1. ........ .. 235/379
7,571,136 B2* 7,689,497 B2* 7,698,208 B2*
8/2009 May ............... .. 705/37 3/2010 May ....... .. 705/37 4/2010 Hiraniet a1. .................. .. 705/37
705/37
10 Claims, 19 Drawing Sheets
SETTLEMENT
1: FIXING
POSITION NUMBER
ACCOUNT
NOTIONAL(CONTRACTS)
FACING
1 2
|D(i) |D(ii)
3,000 -5,000
DIRECT(i) DIRECT(i)
3 4 5 s 7
DIRECT(i) DIRECT(ii) DIRECT(iii) DIRECT(iv) DIRECT(v)
-2,000 -0,000 2,000 7,000 -1,000
a
ID(I"Ii)
2,000
POOLED POOLED POOLED POOLED POOLED
CREDIT CREDIT CREDIT CREDIT CREDIT
DIRECT(v)
US 8,781,952 B1 Page 2
(56)
References Cited US. PATENT DOCUMENTS
2006/0224494 2007/0250433 2008/0059382 2008/0071664 2008/0313095
A1 10/2006 Pinkava A1* 10/2007 Bhat et 31‘ “““““““““““ H 705/37 A1* 3/2008 Burczyk ,,,,,,,,,,,,,,,,, H 705/36 R A1* 3/2008 Silverman et al. ............ .. 705/37 A1* 12/2008 Shalen ...................... .. 705/36 R
2009/0055303 A1*
2/2009
Callaway et al. ............. .. 705/37
OTHER PUBLICATIONS
Dean, Jerry F, “Business Credit”, 109.2, (Feb. 2007), p. 58.* Sees, Karl, “Digging deep into derivatives: trying to make life easier”, Balance Sheet, 2003, 11, 3, Proqeust Central, pp. 1-11.* * cited by examiner
US. Patent
Jul. 15, 2014
Sheet 1 0f 19
US 8,781,952 B1
N.5A15
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to
omnOom
PFoVm E
TOE
US. Patent
Jul. 15, 2014
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NTOE
US. Patent
Jul. 15, 2014
Sheet 13 0f 19
CONTRACT FOR A 5 YEAR CDS ON IBM
‘9
01%
N
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U
@1,m FIG.13
US 8,781,952 B1
US. Patent
Jul. 15, 2014
A X 10 0 10 10
A B c D E
C1 FINANCIAL INSTRUMENT I
5
5
I
B 10 x 5 10 10
c 0 15 x 10 10
C2 FINANCIAL INSTRUMENT ll
2
US 8,781,952 B1
D 10 10 10 x 10
E 10 10 10 10 X
Cn FINANCIAL INSTRUMENT III
3
2
I
B 3
Sheet 14 0119
'2 a 2
>
5 ‘
-
3 5
FIG.14
7
US. Patent
Jul. 15, 2014
Sheet 15 0f 19
US 8,781,952 B1
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Pl
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a
AU 2
Homnmax
>
US. Patent
Jul. 15, 2014
Sheet 16 0f 19
FIG.16
US 8,781,952 B1
US. Patent
Jul.15,2014
NSTRUMENT 1
Sheet170f19
INSTRUMENT 2
STEP —
FIG.17
US 8,781,952 B1
INSTRUMENT 3
US. Patent
Jul. 15, 2014
Sheet 18 0119
15:
US 8,781,952 B1
Y
FIG.18
(12) United States Patent
(10) Patent N0.: (45) Date of Patent:
Biase (54)
SYSTEMS, METHODS AND COMPUTER
8,015,106 B2 * 8,266,053 B2 *
SOFTWARE RELATED TO POOLED CREDIT RISK AND FINANCIAL INSTRUMENT ALLOCATION
(76) Inventor: Lucio Biase, Jersey City, NJ (US) (*)
Notice:
U.S.C. 154(b) by 1140 days.
Jul. 15, 2014 Crawford et a1. ............. .. 705/38 Crawford et a1. ............. .. 705/38
2002/0055897 A1
5/2002 Shidler et a1.
2002/0099651 A1*
7/2002
2002/0116317 A1* 2003/0093360 A1*
8/2002 May 5/2003 May
2003/0220868
Subject to any disclaimer, the term of this patent is extended or adjusted under 35
9/2011 9/2012
US 8,781,952 B1
A1*
11/2003
2004/0024692 A1 *
2/2004
2004/0143535 2005/0080734 2005/0108128 2005/0108145
A1 A1 A1* A1*
2006/0036534
A1*
May .............................. .. 705/38
May
705/37 705/37 . . . . . . . . . . . . . . . . . . .
7/2004 Hirani et a1. 5/2005
Kastel et a1. .................. .. 705/35
5/2005 Kastelet a1. 2/2006
Hiraniet a1.
2006/0080214 A1*
(22) Filed:
2006/0129472 A1* 6/2006 Harrington 2006/0224491 A1 10/2006 Pinkava 2006/0224492 A1 10/2006 Pinkava 2006/0224493 A1*
10/2006
Provisional application No. 60/976,865, ?led on Oct. 2, 2007.
(51)
Int. Cl. G06Q 40/00 US. Cl.
(58)
(2012.01)
Primary Examiner * Mohammad Z Shaikh
(74) Attorney, Agent, or Firm * Greenberg Traurig, LLP
.................................................... .. 705/35445
(57)
See application ?le for complete search history.
ABSTRACT
One embodiment of the present invention is directed to a system related to pooled credit risk. Another embodiment of the present invention is directed to a method related to pooled credit risk. Another embodiment of the present invention is directed to computer software related to pooled credit risk. Another embodiment of the present invention is directed to a
References Cited U.S. PATENT DOCUMENTS 9/1998 7/2001 Sampson Silvermaneteta1. a1. ............ .. 705/37
?nancial instrument allocation optimization algorithm. In
6,304,858 B1
10/2001 Mosler et a1.
6,317,727 B1* 6,421,653 B1*
11/2001 May .......................... .. 705/36R 7/2002 May .......................... .. 705/36R
7,333,950 B2
Pinkava ........................ .. 705/37
(Continued) 705/38
CPC ............................. .. G06Q 40/04; G06Q 40/06
6,260,025 5,802,499 A B1**
................... .. 705/35
B0sco,Pearl, “RXM diagnoses credit risk ills”, Bank Systems & Technology, 32.9, Sep. 1995, pp. 1-4.*
.......................................................... ..
(56)
705/38
705/37
OTHER PUBLICATIONS
Field of Classi?cation Search USPC
. . . ..
(Continued)
(60)
USPC
705/37 .......
4/2006 Hausman et al. ..
Related US. Application Data
(52)
705/37
4/2005 Lynch et al.
(21) App1.No.: 12/244,417 Oct. 2, 2008
. . . ..
Turbeville et al. ............ .. 705/38
one example, the ?nancial instrument allocation optimization algorithm may relate to a maximum matching algorithm. In another example, the ?nancial instrument allocation optimi zation algorithm may relate to a maximum dispersion algo rithm.
2/2008 Shidler et a1.
7,530,490 B1*
5/2009
7,533,054 B2*
5/2009 Hausman et a1.
Finkemeier et a1. ........ .. 235/379
7,571,136 B2* 7,689,497 B2* 7,698,208 B2*
8/2009 May ............... .. 705/37 3/2010 May ....... .. 705/37 4/2010 Hiraniet a1. .................. .. 705/37
705/37
10 Claims, 19 Drawing Sheets
SETTLEMENT
1: FIXING
POSITION NUMBER
ACCOUNT
NOTIONAL(CONTRACTS)
FACING
1 2
|D(i) |D(ii)
3,000 -5,000
DIRECT(i) DIRECT(i)
3 4 5 s 7
DIRECT(i) DIRECT(ii) DIRECT(iii) DIRECT(iv) DIRECT(v)
-2,000 -0,000 2,000 7,000 -1,000
a
ID(I"Ii)
2,000
POOLED POOLED POOLED POOLED POOLED
CREDIT CREDIT CREDIT CREDIT CREDIT
DIRECT(v)
US 8,781,952 B1 Page 2
(56)
References Cited US. PATENT DOCUMENTS
2006/0224494 2007/0250433 2008/0059382 2008/0071664 2008/0313095
A1 10/2006 Pinkava A1* 10/2007 Bhat et 31‘ “““““““““““ H 705/37 A1* 3/2008 Burczyk ,,,,,,,,,,,,,,,,, H 705/36 R A1* 3/2008 Silverman et al. ............ .. 705/37 A1* 12/2008 Shalen ...................... .. 705/36 R
2009/0055303 A1*
2/2009
Callaway et al. ............. .. 705/37
OTHER PUBLICATIONS
Dean, Jerry F, “Business Credit”, 109.2, (Feb. 2007), p. 58.* Sees, Karl, “Digging deep into derivatives: trying to make life easier”, Balance Sheet, 2003, 11, 3, Proqeust Central, pp. 1-11.* * cited by examiner
US. Patent
Jul. 15, 2014
Sheet 1 0f 19
US 8,781,952 B1
N.5A15
>
to
omnOom
PFoVm E
TOE
US. Patent
Jul. 15, 2014
=2:
:8:amPOE520H.3jo9_:msciEea.2 >
NTOE
US. Patent
Jul. 15, 2014
Sheet 13 0f 19
CONTRACT FOR A 5 YEAR CDS ON IBM
‘9
01%
N
?
U
@1,m FIG.13
US 8,781,952 B1
US. Patent
Jul. 15, 2014
A X 10 0 10 10
A B c D E
C1 FINANCIAL INSTRUMENT I
5
5
I
B 10 x 5 10 10
c 0 15 x 10 10
C2 FINANCIAL INSTRUMENT ll
2
US 8,781,952 B1
D 10 10 10 x 10
E 10 10 10 10 X
Cn FINANCIAL INSTRUMENT III
3
2
I
B 3
Sheet 14 0119
'2 a 2
>
5 ‘
-
3 5
FIG.14
7
US. Patent
Jul. 15, 2014
Sheet 15 0f 19
US 8,781,952 B1
h
Pl
"omDwOaxm
a
AU 2
Homnmax
>
US. Patent
Jul. 15, 2014
Sheet 16 0f 19
FIG.16
US 8,781,952 B1
US. Patent
Jul.15,2014
NSTRUMENT 1
Sheet170f19
INSTRUMENT 2
STEP —
FIG.17
US 8,781,952 B1
INSTRUMENT 3
US. Patent
Jul. 15, 2014
Sheet 18 0119
15:
US 8,781,952 B1
Y
FIG.18
