Invention Application
- Patent Title: COVARIANCE OF RETAIL LOAN PRODUCT PERFORMANCES
- Patent Title (中): 零售贷款产品性能的协调
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Application No.: PCT/US2007/079486Application Date: 2007-09-26
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Publication No.: WO2008045679A1Publication Date: 2008-04-17
- Inventor: BREEDEN, Joseph, L.
- Applicant: STRATEGIC ANALYTICS INC. , BREEDEN, Joseph, L.
- Applicant Address: 2935 Rodeo Park Drive East Santa Fe, NM 87505 US
- Assignee: STRATEGIC ANALYTICS INC.,BREEDEN, Joseph, L.
- Current Assignee: STRATEGIC ANALYTICS INC.,BREEDEN, Joseph, L.
- Current Assignee Address: 2935 Rodeo Park Drive East Santa Fe, NM 87505 US
- Agency: PANIAGUAS, John, S.
- Priority: US11/546,153 20061011
- Main IPC: G06Q40/00
- IPC: G06Q40/00
Abstract:
The present invention relates to a method that allows managers of retail portfolios to compute performance time series that have been cleaned of marketing impacts, lifecycles, management actions, and seasonality, leaving only the performance changes due to the environment. These normalized series can be used to compute the necessary covariance matrices for portfolio optimization or computing portfolio-level economic capital. The invention applies to any retail product or segment where vintage-level performance time series are being stored.
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