METHOD AND APPARATUS FOR MODELING ECONOMIC CONDITIONS AS APPLIED TO MULTIPLE RISK GRADES
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United States of America Patent
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Issued Date -
May 20, 2010
app pub date -
Nov 20, 2008
filing date -
Nov 20, 2008
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Abandoned
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Abstract
A computerized method includes scoring a plurality of loans, and banding the plurality of loans into risk pools on the basis of the scores associated with the plurality of loans. The computerized method also includes modeling a change in y-intercept and slope of the natural log of the odds to the loan scores relationship, using that predicted log odds to calculate the probability of default for the plurality of risk pools over time as a function of a set of macro-economic data. A machine readable medium provides instructions that, when executed by a machine, cause the machine to perform the above on a system for determining an amount of capital to hold in reserve for a plurality of loan risk pools and to set strategies for managing risk for a plurality of risk pools.
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