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Christian DaherBrooklyn, NY

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Christian Daher Phones & Addresses

Brooklyn, NY   

New York, NY   

35 W 92Nd St #PHD, New York, NY 10025   

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Christian Daher Photo 24

Partner

Location:
New York, NY
Industry:
Financial Services
Work:
Alphadyne Asset Management
Partner J.p. Morgan Jun 1993 - May 2005
Managing Director
Education:
Ecole Normale Supérieure 1986 - 1990
Christian Daher Photo 25

Christian Daher

Christian Daher Photo 26

Christian Daher

Location:
New York, NY
Industry:
Banking
Christian Daher Photo 27

Christian Daher

Christian Daher Photo 28

Christian Daher

Publications & IP owners

Us Patents

System And Method For Automatic Defeasance Of A Base Portfolio Of Credit Default Swaps

US Patent:
2009029, Dec 3, 2009
Filed:
May 26, 2009
Appl. No.:
12/472008
Inventors:
Philippe Khuong-Huu - New York NY, US
Jean-Pierre Lardy - Limoges, FR
Christian Daher - New York NY, US
International Classification:
G06Q 40/00
US Classification:
705 36 R, 705 37
Abstract:
A computer-implemented method for automatic defeasance of a base portfolio of credit default swaps, the base portfolio being held between a first counterpart and a second counterpart, including the steps of: receiving at a portfolio database trade data related to the base portfolio; identifying from the trade data at a matching engine trades that have at least one of matching core attributes and matching trade characteristics so as to compile the base portfolio; grouping at a sub-portfolio generator the identified trades into sub-portfolios; determining at a spread value engine a set of allowable spread values for each sub-portfolio; and for each sub-portfolio, generating at a defeasance portfolio engine a defeasance portfolio of credit default swaps comprising at the most two trades, each of the two trades having a spread value selected from the determined set of allowable spread values so that the defeasance portfolio replicates the base portfolio and minimizes gross notional of the defeasance portfolio.

System And Method For Automatic Defeasance Of A Base Portfolio Of Credit Default Swaps

US Patent:
2013027, Oct 17, 2013
Filed:
Jun 10, 2013
Appl. No.:
13/914255
Inventors:
Philippe KHUONG-HUU - New York NY, US
Jean-Pierre LARDY - Limoges, FR
Christian DAHER - New York NY, US
International Classification:
G06Q 40/06
US Classification:
705 36 R
Abstract:
A computer-implemented method for automatic defeasance of a base portfolio of swaps, the base portfolio being held between a first counterpart and a second counterpart, including the steps of: receiving at a portfolio database trade data related to the base portfolio; identifying from the trade data at a matching engine trades that have at least one of matching core attributes and matching trade characteristics so as to compile the base portfolio; grouping at a sub-portfolio generator the identified trades into sub-portfolios; determining at a spread value engine a set of allowable spread values for each sub-portfolio; and for each sub-portfolio, generating at a defeasance portfolio engine a defeasance portfolio of swaps comprising at the most two trades, each of the two trades having a spread value selected from the determined set of allowable spread values so that the defeasance portfolio replicates the base portfolio and minimizes gross notional of the defeasance portfolio.

Possible Relatives

Daniel H Daher  Edward G Daher  Elie S Daher  Elizabeth M Daher  George C Daher  Gregory S Daher  Christian M Johnson  Christian White  Christian W Jones 

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