System and method for improving rating and modeling of asset backed securities
OwnerRichard F. Clementsinventor
Life of this patent
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Abstract
The present invention provides a computer-based system for evaluating risk in asset backed securities (ABS) comprising: a database containing data associated with an asset pool of an ABS; a computer having a processor for executing software and being adapted to establish a communication link with an external provider of electronic data and to receive a first data set associated with an asset pool of an ABS, the first data set including credit score data related to the asset pool; and a migratory pattern predictive model application executed by the processor and adapted to analyze at least a part of the first data set, including the credit score data, and to determine a rating concerning the relative risk associated with the ABS.
Claims18
A computer-implemented method comprising:
- (a) identifying by a processor an asset backed security (ABS);
- (b) automatically collecting by a processor a first set of data related to the ABS at a first time, the first set of data comprising types of data including at least one of a Fair Isaac Corporation (FICO) score, Vantage Consumer Credit Score, Experian credit score, Transunion credit score, Equifax credit score, and primary and secondary borrower information;
- (c) automatically assigning by a processor a first score to the ABS based on the first set of data;
- (d) automatically collecting by a processor a second set of data related to the ABS at a second time, the second set of data comprising types of data including at least one of a Fair Isaac Corporation (FICO) score, Vantage Consumer Credit Score, Experian credit score, Transunion credit score, Equifax credit score, and primary and secondary borrower information;
- (e) automatically determining by a processor a migratory pattern associated with the ABS based at least in part on comparing the first set of data and the second set of data;
- (f) based a at least in part on the migratory pattern associated with the ABS, automatically assigning by a processor a second score to the ABS;
- and
- (g) storing by a processor the second score.
A system for assigning a score to an asset backed security (ABS), the system comprising:
- a processor and a memory;
- a securities identification module adapted to identify an ABS;
- a data collection module adapted to automatically collect a first set of data related to the ABS at a first time, the first set of data comprising types of data including at least one of a Fair Isaac Corporation (FICO) score, Vantage Consumer Credit Score, Experian credit score, Transunion credit score, Equifax credit score, and primary and secondary borrower information, and further adapted to automatically collect a second set of data related to the ABS at a second time, the second set of data comprising types of data including at least one of a Fair Isaac Corporation (FICO) score, Vantage Consumer Credit Score, Experian credit score, Transunion credit score, Equifax credit score, and primary and secondary borrower information;
- a first securities scoring module adapted to automatically assign a first score to the ABS based on the first set of data;
- a migratory pattern determination module adapted to automatically determine a migratory pattern associated with the ABS based at least in part on comparing the first set of data and the second set of data;
- a second securities scoring module adapted to automatically assign, based at least in part on the migratory pattern associated with the ABS, a second score to the ABS;
- and
- a storage module adapted to store the second score.
A computer program for assigning a score to an asset backed security (ABS), the computer program being embodied in a tangible computer-readable medium and configured for execution on a computer having an associated processor, memory, display, and input device, the computer program comprising:
- a first code set stored in the memory and when executed by a processor adapted to identify an ABS;
- a second code set stored in the memory and when executed by a processor adapted to automatically collect a first set of data related to the ABS at a first time, the first set of data comprising types of data including at least one of a Fair Isaac Corporation (FICO) score, Vantage Consumer Credit Score, Experian credit score, Transunion credit score, Equifax credit score, and primary and secondary borrower information;
- automatically assigning by a processor a first score to the ABS based on the first set of data;
- a third code set stored in the memory and when executed by a processor adapted to automatically collect a second set of data related to the ABS at a second time, the second set of data comprising types of data including at least one of a Fair Isaac Corporation (FICO) score, Vantage Consumer Credit Score, Experian credit score, Transunion credit score, Equifax credit score, and primary and secondary borrower information;
- a fourth code set stored in the memory and when executed by a processor adapted to automatically determine a migratory pattern associated with the ABS based at least in part on comparing the first set of data and the second set of data;
- a fifth code set stored in the memory and when executed by a processor adapted to, based at least in part on the migratory pattern associated with the ABS, automatically assign a second score to the ABS;
- and
- a sixth code set stored in the memory and when executed by a processor adapted to store the second score.
Dependencies are inferred from the claim text.