Unsteadiness compensation in valuation system and methods

Abstract

There is provided a data processing system and method for valuing a bundle of constructs that may individually fail, in case of a separation event causing the bundle of constructs to separate a failing construct from the bundle. A present value determination unit applies a predefined model to determine a present value of the bundle of constructs after having separated the failing construct from the bundle. Further, a static value determination unit determines a static value by reducing a static base number each time a separation event occurs. Furthermore, a calculation unit calculates a value of the bundle of constructs based on the determined present value and the determined static value. The calculation unit is adapted to calculate a sum of the determined present value and the determined static value. In an embodiment, the bundle of constructs is a basket of credit default swaps.

1 . A data processing system for valuing a bundle of constructs that may individually fail, in case of a separation event causing said bundle of constructs to separate a failing construct from the bundle, the system comprising:
 a present value determination unit adapted to apply a predefined model to determine a present value of said bundle of constructs after having separated said failing construct from the bundle;   a static value determination unit adapted to determine a static value by reducing a static base number each time a separation event occurs; and   a calculation unit adapted to calculate a value of said bundle of constructs based on the determined present value and the determined static value, said calculation unit being adapted to calculate a sum of the determined present value and the determined static value.   
     
     
         2 . The data processing system of  claim 1 , wherein said static value determination unit is adapted to reduce a current static value in case of a separation event by a value reflecting the weight of the failing construct in the bundle. 
     
     
         3 . The data processing system of  claim 1 , further comprising:
 a premium determination unit for determining a premium value being a repetitively updated resource amount usable for counterbalancing a transfer of a failure risk pertaining to the bundle of constructs,   wherein said calculation unit is adapted to calculate said value of said bundle of constructs further based on the determined premium value.   
     
     
         4 . The data processing system of  claim 3 , wherein said premium determination unit is adapted to determine said premium value by determining and accumulating premium subvalues for predefined time intervals. 
     
     
         5 . The data processing system of  claim 4 , wherein said premium determination unit is adapted to determine said premium subvalues based on the constructs still present in the bundle at the respective predefined time intervals. 
     
     
         6 . The data processing system of  claim 3 , wherein said calculation unit is adapted to calculate a sum of the determined present value, the determined static value, and the determined premium value. 
     
     
         7 . The data processing system of  claim 3 , wherein said bundle of constructs is a basket of credit default swaps. 
     
     
         8 . A data processing method for valuing a bundle of constructs that may individually fail, in case of a separation event causing said bundle of constructs to separate a failing construct from the bundle, the method comprising:
 applying a predefined model to determine a present value of said bundle of constructs after having separated said failing construct from the bundle;   determining a static value by reducing a static base number each time a separation event occurs; and   calculating a value of said bundle of constructs based on the determined present value and the determined static value, wherein calculating the value of said bundle of constructs comprises calculating a sum of the determined present value and the determined static value.   
     
     
         9 . The data processing method of  claim 8 , wherein determining the static value comprises reducing a current static value in case of a separation event by a value reflecting the weight of the failing construct in the bundle. 
     
     
         10 . The data processing method of  claim 8 , further comprising:
 determining a premium value being a repetitively updated resource amount usable for counterbalancing a transfer of a failure risk pertaining to the bundle of constructs,   wherein said value of said bundle of constructs is calculated further based on the determined premium value.   
     
     
         11 . The data processing method of  claim 10 , wherein said premium value is determined by determining and accumulating premium subvalues for predefined time intervals. 
     
     
         12 . The data processing method of  claim 11 , wherein said premium subvalues are determined based on the constructs still present in the bundle at the respective predefined time intervals. 
     
     
         13 . The data processing method of  claim 10 , wherein calculating said value of said bundle of constructs comprises calculating a sum of the determined present value, the determined static value, and the determined premium value. 
     
     
         14 . The data processing method of  claim 10 , wherein said bundle of constructs is a basket of credit default swaps. 
     
     
         15 . A computer readable storage medium storing instructions that, when executed on a computer, cause said computer to value a bundle of constructs that may individually fail, in case of a separation event causing said bundle of constructs to separate a failing construct from the bundle, by:
 applying a predefined model to determine a present value of said bundle of constructs after having separated said failing construct from the bundle;   determining a static value by reducing a static base number each time a separation event occurs; and   calculating a value of said bundle of constructs based on the determined present value and the determined static value, wherein calculating the value of said bundle of constructs comprises calculating a sum of the determined present value and the determined static value.