Ge Corporate Financial Services, Inc.

Sundeep Ruia

Tim Kerry Keyes

Mary Kennedy Cole

A method for predicting expected and unexpected loss outcomes for a portfolio of loans is provided. The loans are issued by a lender to a plurality of borrowers. The method includes recording key account and risk attributes for a historical portfolio of loans, recording actual default and loss information for each borrower included within the historical portfolio of loans, and comparing the key account and risk attributes with the actual default and loss information over a period of time. The method also includes selecting a sample of loans from the historical portfolio of loans to determine loss drivers based on the comparison of the key account and risk attributes with the actual default and loss information, building a regression tree based model representing relationships between the loss drivers, and expected and unexpected loss outcomes for the historical portfolio of loans, and predicting the expected and unexpected loss outcomes for a second portfolio of loans using the regression tree based model and the loss drivers for the second portfolio of loans.

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Norwalk, CT, United States of America

Sundeep Ruia