Ge Corporate Financial Services, Inc.

Jingjiao Zhang

Rajesh Venkat Subbu

Jason Wayne Black

Kete Chalermkraivuth

John Andrew Ellis

Sean Coleman Keenan

Radu Neagu

Vishwanath Avasarala

David Chienju Li

A method for generating an optimized transition probability matrix (OTPM) is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database financial data including obligor credit ratings, generating multi-period empirical transition probability matrices (ETPMs) for a selected time horizon using the financial data stored within the database, generating a mathematical expression to minimize a difference between target ETPM values and candidate OTPM values, and calculating the OTPM from the generated mathematical expression and the financial data stored within the database, wherein the calculated OTPM includes a first set of optimized transition probability values for predicting a likelihood that a credit rating of an obligor will migrate from one credit state to another credit state during a first time interval in the future.

Methods and systems for generating transition probability matrices through an optimization framework

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Seattle, WA, United States of America

Jingjiao Zhang