Patents by Inventor Shinghoi Lee

Shinghoi Lee has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).

  • Patent number: 7853519
    Abstract: There are provided new structural default models for modeling the likely default of publicly traded companies. In a first embodiment, the invention is straight-forward to implement and allows the capture of some important ingredients of the actual default, including positive short-term CDSs. In a second embodiment them model is somewhat more versatile and complex. Provided is a very efficient method for dealing with the timing of a default boundary, that is, jumps in the company's value, etc. Further provided is a process using Fast Fourier Transform matrix processing for processing the structural default models in a computationally efficient manner.
    Type: Grant
    Filed: October 5, 2006
    Date of Patent: December 14, 2010
    Assignee: Credit Suisse Securities (USA) LLC
    Inventors: Alexander Lipton, Jonathan Z. Song, Shinghoi Lee
  • Patent number: 7818242
    Abstract: A system for modeling a basket of securities containing a plurality of securities is provided and includes a default/recovery model database for storing default/recovery data regarding the plurality of securities. Also included is a default simulation engine for calculating a default time for at least one of the plurality of securities based on the default/recovery data. Finally, a cash flow engine is included for generating cash flows for the basket of securities based on the default times.
    Type: Grant
    Filed: June 24, 2010
    Date of Patent: October 19, 2010
    Assignee: Morgan Stanley
    Inventors: Shinghoi Lee, Peter Cotton, Zhifeng Zhang, Kin Pang
  • Publication number: 20100262439
    Abstract: A system for modeling a basket of securities containing a plurality of securities is provided and includes a default/recovery model database for storing default/recovery data regarding the plurality of securities. Also included is a default simulation engine for calculating a default time for at least one of the plurality of securities based on the default/recovery data. Finally, a cash flow engine is included for generating cash flows for the basket of securities based on the default times.
    Type: Application
    Filed: June 24, 2010
    Publication date: October 14, 2010
    Applicant: Morgan Stanley
    Inventors: Shinghoi Lee, Peter Cotton, Zhifeng Zhang, Kin Pang
  • Patent number: 7774255
    Abstract: A system for modeling a basket of securities containing a plurality of securities is provided and includes a default/recovery model database for storing default/recovery data regarding the plurality of securities. Also included is a default simulation engine for calculating a default time for at least one of the plurality of securities based on the default/recovery data. Finally, a cash flow engine is included for generating cash flows for the basket of securities based on the default times.
    Type: Grant
    Filed: October 17, 2002
    Date of Patent: August 10, 2010
    Assignee: Morgan Stanley
    Inventors: Shinghoi Lee, Peter Cotton, Zhifeng Zhang, Kin Pang
  • Patent number: 7236951
    Abstract: There are provided new structural default models for modeling the likely default of publicly traded companies. In a first embodiment, the invention is straight-forward to implement and allows the capture of some important ingredients of the actual default, including positive short-term CDSs. In a second embodiment the model is somewhat more versatile and complex. Provided is a very efficient method for dealing with the timing of a default boundary, that is, jumps in the company's value, etc. Further provided is a process using Fast Fourier Transform matrix processing for processing the structural default models in a computationally efficient manner.
    Type: Grant
    Filed: March 8, 2004
    Date of Patent: June 26, 2007
    Assignee: Credit Suisse First Boston LLC
    Inventors: Alexander Lipton, Jonathan Z. Song, Shinghoi Lee
  • Publication number: 20070027786
    Abstract: There are provided new structural default models for modeling the likely default of publicly traded companies. In a first embodiment, the invention is straight-forward to implement and allows the capture of some important ingredients of the actual default, including positive short-term CDSs. In a second embodiment them model is somewhat more versatile and complex. Provided is a very efficient method for dealing with the timing of a default boundary, that is, jumps in the company's value, etc. Further provided is a process using Fast Fourier Transform matrix processing for processing the structural default models in a computationally efficient manner.
    Type: Application
    Filed: October 5, 2006
    Publication date: February 1, 2007
    Inventors: Alexander Lipton, Jonathan Song, Shinghoi Lee
  • Publication number: 20050021452
    Abstract: There are provided new structural default models for modeling the likely default of publicly traded companies. In a first embodiment, the invention is straight-forward to implement and allows the capture of some important ingredients of the actual default, including positive short-term CDSs. In a second embodiment the model is somewhat more versatile and complex. Provided is a very efficient method for dealing with the timing of a default boundary, that is, jumps in the company's value, etc. Further provided is a process using Fast Fourier Transform matrix processing for processing the structural default models in a computationally efficient manner.
    Type: Application
    Filed: March 8, 2004
    Publication date: January 27, 2005
    Inventors: Alexander Lipton, Jonathan Song, Shinghoi Lee
  • Publication number: 20030115125
    Abstract: A system for modeling a basket of securities containing a plurality of securities is provided and includes a default/recovery model database for storing default/recovery data regarding the plurality of securities. Also included is a default simulation engine for calculating a default time for at least one of the plurality of securities based on the default/recovery data. Finally, a cash flow engine is included for generating cash flows for the basket of securities based on the default times.
    Type: Application
    Filed: October 17, 2002
    Publication date: June 19, 2003
    Inventors: Shinghoi Lee, Peter Cotton, Zhifeng Zhang, Kin Pang