System and method for modelling pricing of securities such as expected risk, rate of return and default loss

摘要

A computer system is for measuring the credit risk of an asset, estimating the covariance of returns of securities, estimating the correlation of securities, applying an option theoretic model of a firm and relating a price or value of a plurality of securities associated with an underlying asset, the rate of return on the securities and the risk attributes of the securities is disclosed. Specifically when system relates a price or value of a plurality of securities associated with an underlying asset, the rate of return on the securities and the risk attributes of the securities, the system comprises: a computer-readable memory; a risk analysis unit; a risk pricing unit; a financial modelling unit and a user interface device operative to exchange information with a user. The risk analysis unit is operative to designate that a priced risk factor incorporated in the risk premium for each security is the volatility of returns, measured over discrete time. The risk pricing unit is operative to: determine a risk premium incorporated in the rate of return for each security; and designate that the price per unit of this risk factor is the same for two or more of the securities. The financial modelling unit is operative to define a model comprising data representing relationships between the risk premiums determined for each security and store the model in the computer-readable memory.