Account Portfolio Risk Characterization
AssigneeFair Isaac Corporation
InventorsMichael Raymond Cohen, Chenyang Lian, Lara D. Mercurio, Jeffrey A. Feinstein
Life of this patent
Estimating the term…
Abstract
Input characterizing one or more economic indicators and a portfolio of accounts can be used to estimate a portfolio level effect of the economic indicators on the portfolio of accounts is estimated. Based on this estimation, an account level effect of the economic indicators is simulated for each of the accounts. The overall affect of the simulated account level effects approximates the portfolio level effect. Simulated account level effects can thereafter be aggregated in order to characterize future risk for the portfolio of accounts. Related apparatus, systems, techniques and articles are also described.
Claims21
An article comprising a tangible machine-readable storage medium embodying instructions that when performed by one or more machines result in operations comprising:
- receiving input characterizing one or more economic indicators and a portfolio of accounts;
- estimating a portfolio level effect of the economic indicators on the portfolio of accounts;
- simulating an account level effect of the economic indicators for each of the accounts, an overall affect of the simulated account level effects approximating the portfolio level effect;
- and
- aggregating the simulated account level effects to enable a characterization of future risk for the portfolio of accounts.
A computer-implemented method comprising:
- receiving input characterizing one or more economic indicators and a portfolio of accounts;
- estimating a portfolio level effect of the economic indicators on the portfolio of accounts;
- simulating an account level effect of the economic indicators for each of the accounts, an overall affect of the simulated account level effects approximating the portfolio level effect;
- and
- aggregating the simulated account level effects to enable a characterization of future risk for the portfolio of accounts.
A computer-implemented method comprising:
- receiving input characterizing one or more economic indicators and a portfolio of accounts;
- estimating a portfolio level effect of the economic indicators on the portfolio of accounts;
- simulating an account level effect of the economic indicators for each of the accounts, an overall affect of the simulated account level effects approximating the portfolio level effect, the simulating comprising:
- defining a domain of possible variables to use in determining credit scores for the accounts in the portfolio, the domain of possible variables selected to approximate the portfolio level effect;
- and
- randomly generating a plurality of variables within the domain of possible variables;
- assigning each of the accounts with one or more of the randomly generated variables;
- and
- determining, for each account, a simulated credit score using the assigned randomly generated variables;
- and
- aggregating the simulated credit scores to enable a characterization of future risk for the portfolio of accounts.
Dependencies are inferred from the claim text.