Lawrence R Forest, 762080 Mackinnon Ave, Cardiff By The Sea, CA 92007
Lawrence Forest Phones & Addresses
2080 Mackinnon Ave, Cardiff by the Sea, CA 92007 760-2302904 760-2302905
Cardiff, CA
1557 Mclean Commons Ct, McLean, VA 22101 703-3564286
Mc Lean, VA
Washington, DC
San Diego, CA
Mentions for Lawrence R Forest
Publications & IP owners
Us Patents
System And Methods For Valuing And Managing The Risk Of Credit Instrument Portfolios
US Patent:
2003013, Jul 17, 2003
Filed:
Jan 10, 2002
Appl. No.:
10/044071
Inventors:
Scott Aguias - Newmarket, CA
Barry Belkin - Westchester PA, US
Victoria Farber - Richmond Hill, CA
Lawrence Forest - McLean VA, US
Alexander Kreinin - Thornhill, CA
Dan Rosen - Toronto, CA
Steve Suchower - Malvern PA, US
Barry Belkin - Westchester PA, US
Victoria Farber - Richmond Hill, CA
Lawrence Forest - McLean VA, US
Alexander Kreinin - Thornhill, CA
Dan Rosen - Toronto, CA
Steve Suchower - Malvern PA, US
International Classification:
G06F017/60
US Classification:
705/038000
Abstract:
The present invention relates generally to a system of components, comprising an integrated architecture, which supports calibration of financial models, and the structuring, pricing, mark-to-market valuation, simulation, risk management, and reporting of a variety of credit instruments subject to both credit and market risk (e.g., interest rate, foreign exchange risk). Detailed instrument complexities may be accommodated, by modeling the underlying economic behavior driving the exercise of embedded options and other structural features of credit instruments by implementing detailed economic behavioral models. In one aspect of the present invention, the system comprises a database for storing credit instrument data, a first calibration engine for generating calibration parameters from the credit instrument data, a second pricing engine adapted to calculate the net present values and valuation metrics for the credit instruments by modeling the underlying economic behaviour driving the exercise of embedded options and other structural features of the credit instruments, a third engine for performing simulation-based computations, a fourth risk engine for computing risk and reward metrics, and a report generator for generating reports for use in managing risk.
System And Methods For Valuing And Managing The Risk Of Credit Instrument Portfolios
US Patent:
2003013, Jul 17, 2003
Filed:
Jan 17, 2002
Appl. No.:
10/051905
Inventors:
Scott Aguais - Newmarket, CA
Barry Belkin - Westchester PA, US
Victoria Farber - Richmond Hill, CA
Lawrence Forest - McLean VA, US
Alexander Kreinin - Thornhill, CA
Dan Rosen - Toronto, CA
Steve Suchower - Malvern PA, US
Barry Belkin - Westchester PA, US
Victoria Farber - Richmond Hill, CA
Lawrence Forest - McLean VA, US
Alexander Kreinin - Thornhill, CA
Dan Rosen - Toronto, CA
Steve Suchower - Malvern PA, US
International Classification:
G06F017/60
US Classification:
705/038000
Abstract:
The present invention relates generally to a system of components, comprising an integrated architecture, which supports calibration of financial models, and the structuring, pricing, mark-to-market valuation, simulation, risk management, and reporting of a variety of credit instruments subject to both credit and market risk (e.g., interest rate, foreign exchange risk). Detailed instrument complexities may be accommodated, by modeling the underlying economic behavior driving the exercise of embedded options and other structural features of credit instruments by implementing detailed economic behavioral models. In one aspect of the present invention, the system comprises a database for storing credit instrument data, a first calibration engine for generating calibration parameters from the credit instrument data, a second pricing engine adapted to calculate the net present values and valuation metrics for the credit instruments by modeling the underlying economic behaviour driving the exercise of embedded options and other structural features of the credit instruments, a third engine for performing simulation-based computations, a fourth risk engine for computing risk and reward metrics, and a report generator for generating reports for use in managing risk.
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