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:
Aug. 21, 2012
Filed:
Dec. 16, 2008
Methods and systems for generating transition probability matrices through an optimization framework
Sean Coleman Keenan, Norwalk, CT (US);
Vishwanath Avasarala, Schenectady, NY (US);
Jason Wayne Black, Clifton Park, NY (US);
Kete Chalermkraivuth, Niskayuna, NY (US);
John Andrew Ellis, Niskayuna, NY (US);
Radu Neagu, Niskayuna, NY (US);
Rajesh Venkat Subbu, Clifton Park, NY (US);
Jingjiao Zhang, Seattle, WA (US);
David Chienju LI, Forest Hills, NY (US);
Sean Coleman Keenan, Norwalk, CT (US);
Vishwanath Avasarala, Schenectady, NY (US);
Jason Wayne Black, Clifton Park, NY (US);
Kete Chalermkraivuth, Niskayuna, NY (US);
John Andrew Ellis, Niskayuna, NY (US);
Radu Neagu, Niskayuna, NY (US);
Rajesh Venkat Subbu, Clifton Park, NY (US);
Jingjiao Zhang, Seattle, WA (US);
David Chienju Li, Forest Hills, NY (US);
GE Corporate Financial Services, Inc., Norwalk, CT (US);
Abstract
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.