公开(公告)号：WO2003067395A3

公开(公告)日：2003-08-14

申请号：PCT/US2003/003677

申请日：2003-02-07

Applicant: STRATEGIC ANALYTICS INC. ,  BREEDEN, Joseph, L. ,  SMITH, Michael, A. ,  FRANKLIN, R., David

Inventor： BREEDEN, Joseph, L. ,  SMITH, Michael, A. ,  FRANKLIN, R., David

IPC: G06F17/60

Abstract: 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 (200), and exogenous component (210) and vintage calibration parameters (212) for the portfolio. Known exogenous drivers are extracted from the exogenous component (210) 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.

公开(公告)号：WO2008045679A1

公开(公告)日：2008-04-17

申请号：PCT/US2007/079486

申请日：2007-09-26

Applicant: STRATEGIC ANALYTICS INC. ,  BREEDEN, Joseph, L.

Inventor： BREEDEN, Joseph, L.

IPC: G06Q40/00

CPC classification number: G06Q40/06 ,  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.

Abstract translation: 本发明涉及允许零售组合的管理者计算已经清除营销影响，生命周期，管理行为和季节性的表现时间序列的方法，仅留下由于环境而导致的绩效变化。 这些归一化系列可用于计算投资组合优化或计算投资组合级经济资本所需的协方差矩阵。 本发明适用于任何零售产品或分段，其中存储了葡萄酒级的演出时间序列。

公开(公告)号：WO2003067395A2

公开(公告)日：2003-08-14

申请号：PCT/US2003/003677

申请日：2003-02-07

Applicant: STRATEGIC ANALYTICS INC. ,  BREEDEN, Joseph, L. ,  SMITH, Michael, A. ,  FRANKLIN, R., David

Inventor： BREEDEN, Joseph, L. ,  SMITH, Michael, A. ,  FRANKLIN, R., David

IPC: G06F

CPC classification number: G06Q40/08

Abstract: 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.

Abstract translation: 披露与风险相关的零售贷款组合情景的产生。 选择的功能形式用于将复古性能数据分解成成熟组分，外源组分和组合的复古校准参数。 从外生成分中提取已知的外源性驱动因子以产生残留的外源成分。 计算剩余外生成分的月度变化，并测量剩余外生成分中每月变化的分布。 这些信息用于为剩余外部成分生成一些随机潜在的未来情景，最终用于为关键投资组合驱动者生成一些预测。