System and method for portfolio valuation using an age adjusted delinquency rate

摘要

A system and method for determining performance characteristics of loan portfolios. The system and method employs a delinquency rate analysis to perform a valuation of a portfolio using a new statistic obtained by integrating the age effects with the delinquency rates. A fictitious vintage of loans known as a proxy vintage is created from historical industry data and the calculated average delinquency rate is assigned at all the ages. A portfolio's credit performance is then evaluated by combining the distribution of the variance of age with the historical vintage information. An equivalent base delinquency rate of a vintage is generated as a derived delinquency rate the portfolio would have had at a base age. Finally, an age adjusted delinquency rate is determined which is a weighted average of the equivalent base rates of all the vintages in a portfolio.