The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Dec. 23, 2008
Filed:
Feb. 07, 2003
Joseph L. Breeden, Glorieta, NM (US);
Michael A. Smith, Phoenix, AZ (US);
R. David Franklin, Santa Fe, NM (US);
Joseph L. Breeden, Glorieta, NM (US);
Michael A. Smith, Phoenix, AZ (US);
R. David Franklin, Santa Fe, NM (US);
Strategic Analytics, Inc., Santa Fe, NM (US);
Abstract
Generation of risk-related retail lending portfolio scenarios is disclosed. A selected functional form is used to decompose vintage performance data into a maturation component, an exogenous component and vintage calibration parameters for the portfolio. Known exogenous drivers are extracted from the exogenous component to create a residual exogenous component. Monthly changes in the residual exogenous component are computed, and the distribution of monthly changes in the residual exogenous component is measured. This information is used to generate a number of random potential future scenarios for the residual exogenous component and, ultimately, for the generation of a number of forecasts for key portfolio drivers.