Risk adjusted cash flow

A method of calculating an interest rate for a loan, the method comprising:

• receiving a credit score of a borrower, the credit score comprising a reference probability of default based on the credit score;
• receiving a historical timeseries of balance data of the borrower, based on the historical timeseries, modelling a plurality of future balances over a period of the loan;
• determining a probability of default based on a modelling of the plurality of future balances;
• transforming the historical timeseries into an implied timeseries by determining an implied probability of default based on a modelling of a plurality of future balances of the implied timeseries wherein the implied probability of default substantially equals the reference probability of default;
• based on the implied timeseries and modelling a plurality of payments, determining a worst-case plurality of future balances over the period of the loan and determining a worst-case probability of default;
• based on the implied timeseries, determining a best-case plurality of future balances over the period of the loan, a principal of the loan being added to the best-case plurality of future balances, and determining a best-case probability of default;
• calculating a weighted sum of the worst-case probability of default and the best-case probability of default and utilizing the weighted sum to calculate a risk adjusted interest rate for the loan.