WO2003067395A3 - Creation de scenarios portant sur le risque de credit de detail - Google Patents

Creation de scenarios portant sur le risque de credit de detail Download PDF

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Publication number
WO2003067395A3
WO2003067395A3 PCT/US2003/003677 US0303677W WO03067395A3 WO 2003067395 A3 WO2003067395 A3 WO 2003067395A3 US 0303677 W US0303677 W US 0303677W WO 03067395 A3 WO03067395 A3 WO 03067395A3
Authority
WO
WIPO (PCT)
Prior art keywords
component
exogenous
residual
exogenous component
portfolio
Prior art date
Application number
PCT/US2003/003677
Other languages
English (en)
Other versions
WO2003067395A2 (fr
Inventor
Joseph L Breeden
Michael A Smith
R David Franklin
Original Assignee
Strategic Analytics Inc
Joseph L Breeden
Michael A Smith
R David Franklin
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Strategic Analytics Inc, Joseph L Breeden, Michael A Smith, R David Franklin filed Critical Strategic Analytics Inc
Priority to AU2003217339A priority Critical patent/AU2003217339A1/en
Publication of WO2003067395A2 publication Critical patent/WO2003067395A2/fr
Publication of WO2003067395A3 publication Critical patent/WO2003067395A3/fr

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/08—Insurance

Landscapes

  • Business, Economics & Management (AREA)
  • Accounting & Taxation (AREA)
  • Finance (AREA)
  • Engineering & Computer Science (AREA)
  • Development Economics (AREA)
  • Economics (AREA)
  • Marketing (AREA)
  • Strategic Management (AREA)
  • Technology Law (AREA)
  • Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • General Physics & Mathematics (AREA)
  • Theoretical Computer Science (AREA)
  • Steroid Compounds (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)

Abstract

L'invention concerne un procédé de création de scénarios portant sur le risque de crédit de détail pour un portefeuille. Une forme fonctionnelle choisie est utilisée pour décomposer des données de performances d'époque en un élément de maturation, un élément exogène et des paramètres d'étalonnage d'époque pour ledit portefeuille. Des pilotes exogènes connus sont extraits dudit élément exogène pour créer un élément exogène résiduel. Les changements mensuels dudit élément exogène résiduel sont calculés, et la répartition desdits changements mensuels d'élément exogène résiduel est mesurée. Ces informations sont ensuite utilisées pour créer plusieurs scénarios futurs potentiels pour l'élément exogène résiduel, et créer ainsi plusieurs prévisions pour des pilotes de portefeuilles clés.
PCT/US2003/003677 2002-02-08 2003-02-07 Creation de scenarios portant sur le risque de credit de detail WO2003067395A2 (fr)

Priority Applications (1)

Application Number Priority Date Filing Date Title
AU2003217339A AU2003217339A1 (en) 2002-02-08 2003-02-07 Retail lending risk related scenario generation

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
US35512302P 2002-02-08 2002-02-08
US60/355,123 2002-02-08

Publications (2)

Publication Number Publication Date
WO2003067395A2 WO2003067395A2 (fr) 2003-08-14
WO2003067395A3 true WO2003067395A3 (fr) 2004-04-01

Family

ID=27734465

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2003/003677 WO2003067395A2 (fr) 2002-02-08 2003-02-07 Creation de scenarios portant sur le risque de credit de detail

Country Status (2)

Country Link
AU (1) AU2003217339A1 (fr)
WO (1) WO2003067395A2 (fr)

Families Citing this family (6)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US7835958B1 (en) * 2003-08-20 2010-11-16 Teradata Us, Inc. Life-time value financial processing in a relational database management system
US7844515B1 (en) * 2003-08-20 2010-11-30 Teradata Us, Inc. Net present value forecast for life-time value financial processing in a relational database management system
US7835959B1 (en) * 2003-08-20 2010-11-16 Teradata Us, Inc. Future value attrition for life-time value financial processing in a relational database management system
US7844516B1 (en) * 2003-08-20 2010-11-30 Teradata Us, Inc. Future value propensity for life-time value financial processing in a relational database management system
US7844526B1 (en) * 2003-08-20 2010-11-30 Teradata Us, Inc. Net present value attrition for Life-Time Value financial processing in a relational database management system
US11461841B2 (en) 2018-01-03 2022-10-04 QCash Financial, LLC Statistical risk management system for lending decisions

Citations (4)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US6078904A (en) * 1998-03-16 2000-06-20 Saddle Peak Systems Risk direct asset allocation and risk resolved CAPM for optimally allocating investment assets in an investment portfolio
US6236973B1 (en) * 1999-06-02 2001-05-22 Greg Dillard Apparatus and method for providing collateral construction loan insurance coverage
US6275814B1 (en) * 1996-11-27 2001-08-14 Investment Strategies Network Investment portfolio selection system and method
US20010029482A1 (en) * 2000-04-10 2001-10-11 Integrate Online, Inc. Online mortgage approval and settlement system and method therefor

Patent Citations (4)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US6275814B1 (en) * 1996-11-27 2001-08-14 Investment Strategies Network Investment portfolio selection system and method
US6078904A (en) * 1998-03-16 2000-06-20 Saddle Peak Systems Risk direct asset allocation and risk resolved CAPM for optimally allocating investment assets in an investment portfolio
US6236973B1 (en) * 1999-06-02 2001-05-22 Greg Dillard Apparatus and method for providing collateral construction loan insurance coverage
US20010029482A1 (en) * 2000-04-10 2001-10-11 Integrate Online, Inc. Online mortgage approval and settlement system and method therefor

Also Published As

Publication number Publication date
WO2003067395A2 (fr) 2003-08-14
AU2003217339A1 (en) 2003-09-02
AU2003217339A8 (en) 2003-09-02

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