公开(公告)号：US07765139B2

公开(公告)日：2010-07-27

申请号：US11848227

申请日：2007-08-30

申请人： Timothy J. Breault ,  Ulrich A. Bruns ,  John Delmonico ,  Shelly X. Ennis ,  Ruilong He ,  Glenn B. Jones ,  WeiCheng Liu ,  Elaine C. Marino ,  Arun R. Pinto ,  Meghan A. Steach ,  Agus Sudjianto ,  Naveen G. Yeri ,  Benhong Zhang ,  Zhe Zhang ,  Tony Nobili ,  Shuchun Wang ,  Hungjen Wang ,  Aijun Zhang

发明人： Timothy J. Breault ,  Ulrich A. Bruns ,  John Delmonico ,  Shelly X. Ennis ,  Ruilong He ,  Glenn B. Jones ,  WeiCheng Liu ,  Elaine C. Marino ,  Arun R. Pinto ,  Meghan A. Steach ,  Agus Sudjianto ,  Naveen G. Yeri ,  Benhong Zhang ,  Zhe Zhang ,  Tony Nobili ,  Shuchun Wang ,  Hungjen Wang ,  Aijun Zhang

IPC分类号： G06Q40/00

CPC分类号： G06Q30/02 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： A data driven and forward looking risk and reward appetite methodology for consumer and small business is described. The methodology includes customer segmentation to create pools of homogeneous assets in terms of revenue and loss characteristics, forward looking simulation to forecast expected values and volatilities of revenue and loss, and risk and reward optimization of the portfolio. One methodology used for modeling revenue and loss is a generalized additive effect decomposition model to fit historical data. Based on the model, a segmentation procedure is performed, which allows for creation of groups of customers with similar revenue and loss characteristics. An estimation procedure for the model is developed and a simulation strategy to forecast and simulate revenue and loss volatility is developed. Efficient frontier curves of risk (e.g., return volatility) and reward (e.g., expected return) are created for the current portfolio under various economic scenarios.

摘要翻译： 描述了消费者和小企业的数据驱动和前瞻性风险和奖励食欲方法。 该方法包括客户细分，以便在收入和损失特征方面创建同质资产池，前瞻性模拟以预测收益和损失的预期值和波动率，以及投资组合的风险和报酬优化。 用于建模收入和损失的一种方法是广义加和效应分解模型，以适应历史数据。 基于该模型，执行分割程序，其允许创建具有类似收入和损失特征的客户群体。 开发了模型的估计程序，并开发了一种预测和模拟收入和损失波动性的模拟策略。 在各种经济情景下为当前投资组合创建有效的边际风险曲线（例如回报波动性）和报酬（例如预期收益）。

公开(公告)号：US20090063361A1

公开(公告)日：2009-03-05

申请号：US11848227

申请日：2007-08-30

申请人： Timothy J. Breault ,  Ulrich A. Bruns ,  John Delmonico ,  Shelly X. Ennis ,  Ruilong He ,  Glenn B. Jones ,  WeiCheng Liu ,  Elaine C. Marino ,  Arun R. Pinto ,  Meghan A. Steach ,  Agus Sudjianto ,  Naveen G. Yeri ,  Benhong Zhang ,  Zhe Zhang ,  Tony Nobili ,  Shuchun Wang ,  Hungjen Wang ,  Aijun Zhang

发明人： Timothy J. Breault ,  Ulrich A. Bruns ,  John Delmonico ,  Shelly X. Ennis ,  Ruilong He ,  Glenn B. Jones ,  WeiCheng Liu ,  Elaine C. Marino ,  Arun R. Pinto ,  Meghan A. Steach ,  Agus Sudjianto ,  Naveen G. Yeri ,  Benhong Zhang ,  Zhe Zhang ,  Tony Nobili ,  Shuchun Wang ,  Hungjen Wang ,  Aijun Zhang

IPC分类号： G06Q40/00

CPC分类号： G06Q30/02 ,  G06Q40/00 ,  G06Q40/025 ,  G06Q40/06

摘要： A data driven and forward looking risk and reward appetite methodology for consumer and small business is described. The methodology includes customer segmentation to create pools of homogeneous assets in terms of revenue and loss characteristics, forward looking simulation to forecast expected values and volatilities of revenue and loss, and risk and reward optimization of the portfolio. One methodology used for modeling revenue and loss is a generalized additive effect decomposition model to fit historical data. Based on the model, a segmentation procedure is performed, which allows for creation of groups of customers with similar revenue and loss characteristics. An estimation procedure for the model is developed and a simulation strategy to forecast and simulate revenue and loss volatility is developed. Efficient frontier curves of risk (e.g., return volatility) and reward (e.g., expected return) are created for the current portfolio under various economic scenarios.

摘要翻译： 描述了消费者和小企业的数据驱动和前瞻性风险和奖励食欲方法。 该方法包括客户细分，以便在收入和损失特征方面创建同质资产池，前瞻性模拟以预测收益和损失的预期值和波动率，以及投资组合的风险和报酬优化。 用于建模收入和损失的一种方法是广义加和效应分解模型，以适应历史数据。 基于该模型，执行分割程序，其允许创建具有类似收入和损失特征的客户群体。 开发了模型的估计程序，并开发了一种预测和模拟收入和损失波动性的模拟策略。 在各种经济情景下为当前投资组合创建有效的边际风险曲线（例如回报波动性）和报酬（例如预期收益）。