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.
申请公布号
WO03067395(A2)
申请公布日期
2003.08.14
申请号
WO2003US03677
申请日期
2003.02.07
申请人
STRATEGIC ANALYTICS INC.;BREEDEN, JOSEPH, L.;SMITH, MICHAEL, A.;FRANKLIN, R., DAVID
发明人
BREEDEN, JOSEPH, L.;SMITH, MICHAEL, A.;FRANKLIN, R., DAVID