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WO2003067395A3 - Retail lending risk related scenario generation - Google Patents

Retail lending risk related scenario generation Download PDF

Info

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
Legal status (The legal status 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 status listed.)
Ceased
Application number
PCT/US2003/003677
Other languages
French (fr)
Other versions
WO2003067395A2 (en
Inventor
Joseph L Breeden
Michael A Smith
R David Franklin
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
Strategic Analytics Inc
Original Assignee
Strategic Analytics Inc
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 filed Critical Strategic Analytics Inc
Priority to AU2003217339A priority Critical patent/AU2003217339A1/en
Publication of WO2003067395A2 publication Critical patent/WO2003067395A2/en
Publication of WO2003067395A3 publication Critical patent/WO2003067395A3/en
Anticipated expiration legal-status Critical
Ceased legal-status Critical Current

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; 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

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.
PCT/US2003/003677 2002-02-08 2003-02-07 Retail lending risk related scenario generation Ceased WO2003067395A2 (en)

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 (en) 2003-08-14
WO2003067395A3 true WO2003067395A3 (en) 2004-04-01

Family

ID=27734465

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2003/003677 Ceased WO2003067395A2 (en) 2002-02-08 2003-02-07 Retail lending risk related scenario generation

Country Status (2)

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

Cited By (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US11461841B2 (en) 2018-01-03 2022-10-04 QCash Financial, LLC Statistical risk management system for lending decisions

Families Citing this family (5)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
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
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
US7835958B1 (en) * 2003-08-20 2010-11-16 Teradata Us, Inc. 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

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

Cited By (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US11461841B2 (en) 2018-01-03 2022-10-04 QCash Financial, LLC Statistical risk management system for lending decisions

Also Published As

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

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