Automated risk monitoring method and system

A monitoring device comprising:

• processing circuitry configured to:
• for each entity of a plurality of entities of a portfolio:
• extract one or more asset parameters of the entity,
• determine an asset distribution by stochastically evaluating the one or more asset parameters,
• determine a recovery rate in an event the entity defaults based on the asset distribution, the recovery rate indicating an expected percentage share of a loan that will be recovered from the entity in an event of default on the loan by the entity, and
• determine a threshold value based on the asset distribution, wherein default by the entity occurs when an asset parameter of the entity falls below the threshold value;
• perform a MonteCarlo simulation to identify one or more entities in the portfolio that have recovery rates that are probabilistically expected;
• and
• adjust the portfolio based on the recovery rates and the threshold values for the one or more entities identified in the MonteCarlo simulation.

A method, comprising:

• for each entity of a plurality of entities of a portfolio:
• extracting one or more asset parameters of the entity,
• determining an asset distribution by stochastically evaluating the one or more asset parameters,
• determining a recovery rate in an event the entity defaults based on the asset distribution, the recovery rate indicating an expected percentage share of a loan that will be recovered from the entity in an event of default on the loan by the entity, and
• determining a threshold value based on the asset distribution, wherein default by the entity occurs when an asset parameter of the entity falls below the threshold value;
• performing, by a computer, a MonteCarlo simulation to identify one or more entities in the portfolio that have recovery rates that are probabilistically expected;
• and
• adjusting the portfolio based on the recovery rates and the threshold values for the one or more entities identified in the MonteCarlo simulation.

A non-transitory computer readable medium including executable instructions, which when executed by a processor, cause the processor to perform a method comprising:

• for each entity of a plurality of entities of a portfolio:
• extracting one or more asset parameters of the entity,
• determining an asset distribution by stochastically evaluating the one or more asset parameters,
• determining a recovery rate in an event the entity defaults based on the asset distribution, the recovery rate indicating an expected percentage share of a loan that will be recovered from the entity in an event of default on the loan by the entity, and
• determining a threshold value based on the asset distribution, wherein default by the entity occurs when an asset parameter of the entity falls below the threshold value;
• performing, by a computer, a MonteCarlo simulation to identify one or more entities in the portfolio that have recovery rates that are probabilistically expected;
• and
• adjusting the portfolio based on the recovery rates and the threshold values for the one or more entities identified in the MonteCarlo simulation.