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1.发明申请METHODS AND SYSTEMS FOR GENERATING TRANSITION PROBABILITY MATRICES THROUGH AN OPTIMIZATION FRAMEWORK 有权通过优化框架生成过渡可行性矩阵的方法和系统公开(公告)号：US20110246386A9
公开(公告)日：2011-10-06
申请号：US12336360
申请日：2008-12-16
申请人： Sean Coleman Keenan , Vishwanath Avasarala , Jason Wayne Black , Kete Chalermkraivuth , John Andrew Ellis , Radu Neagu , Rajesh Vankat Subbu , Jingjiao Zhang
发明人： Sean Coleman Keenan , Vishwanath Avasarala , Jason Wayne Black , Kete Chalermkraivuth , John Andrew Ellis , Radu Neagu , Rajesh Vankat Subbu , Jingjiao Zhang
摘要： 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.
摘要翻译： 提供了一种用于生成优化的转移概率矩阵（OTPM）的方法。 该方法使用耦合到数据库的计算机系统来执行。 该方法包括在数据库中存储财务数据，包括义务人信用评级，使用存储在数据库内的财务数据为所选择的时间范围生成多期经验转移概率矩阵（ETPM），生成数学表达式以最小化目标ETPM之间的差异 值和候选OTPM值，以及从生成的数学表达式和存储在数据库中的财务数据计算OTPM，其中所计算的OTPM包括用于预测义务人的信用评级将迁移的可能性的优化转移概率值的第一组 在未来的第一个时间间隔内从一个信用状态到另一个信用状态。
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2.发明申请METHODS AND SYSTEMS FOR GENERATING TRANSITION PROBABILITY MATRICES THROUGH AN OPTIMIZATION FRAMEWORK 有权通过优化框架生成过渡可行性矩阵的方法和系统公开(公告)号：US20100153299A1
公开(公告)日：2010-06-17
申请号：US12336360
申请日：2008-12-16
申请人： Sean Coleman Keenan , Vishwanath Avasarala , Jason Wayne Black , Kete Chalermkraivuth , John Andrew Ellis , Radu Neagu , Rajesh Vankat Subbu , Jingjiao Zhang
发明人： Sean Coleman Keenan , Vishwanath Avasarala , Jason Wayne Black , Kete Chalermkraivuth , John Andrew Ellis , Radu Neagu , Rajesh Vankat Subbu , Jingjiao Zhang
摘要： 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.
摘要翻译： 提供了一种用于生成优化的转移概率矩阵（OTPM）的方法。 该方法使用耦合到数据库的计算机系统来执行。 该方法包括在数据库中存储财务数据，包括义务人信用评级，使用存储在数据库内的财务数据为所选择的时间范围生成多期经验转移概率矩阵（ETPM），生成数学表达式以最小化目标ETPM之间的差异 值和候选OTPM值，以及从生成的数学表达式和存储在数据库中的财务数据计算OTPM，其中所计算的OTPM包括用于预测义务人的信用评级将迁移的可能性的优化转移概率值的第一组 在未来的第一个时间间隔内从一个信用状态到另一个信用状态。
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