Methods and systems for modeling using classification and regression trees
AssigneeGE Capital Commercial Finance, Inc.
InventorTim Kerry Keyes
Life of this patent
Estimating the term…
Abstract
A method of valuation of large groups of assets using classification and regression trees is described. The method includes defining relevant portfolio segmentations, assessing performance of the classification and regression tree based model against a simple model and ranking all portfolio segments based upon performance of the models. Iterative and adaptive statistical evaluation of all assets and statistical inferences are used to generate the segmentations. The assets are collected into a database, grouped by credit variable, subdivided by ratings as to those variables and then rated individually. The assets are then regrouped and a collective valuation is established by cumulating individual valuations.
Claims30
A computer implemented method for grouping assets included within a portfolio of assets for valuation purposes using a classification and regression tree based model, said method comprising the steps of:
- receiving from a seller a proposal to sell a portfolio of assets, the assets included within at least one segment defined by the seller;
- computing sum of squared error (SSE) values for the at least one defined portfolio segment using the classification and regression tree based model and the computer, wherein the classification and regression tree based model generates at least one cluster of assets included within the portfolio of assets for valuing each non-underwritten asset included within the at least one cluster, each non-underwritten asset included within the at least one cluster is assigned a value based on an average value assigned to underwritten assets included within the at least one cluster;
- computing SSE values for the at least one defined portfolio segment using a simple model and the computer, wherein the simple model assigns a single value to all non-underwritten assets within the at least one defined portfolio segment based on a value assigned to at least one underwritten asset included within the at least one defined portfolio segment;
- computing an error ratio between the SSE values based on the classification and regression tree based model and the SSE values based on the simple model for the at least one defined portfolio segment using the computer;
- ranking the at least one defined portfolio segment based on the computed error ratio;
- and
- using the ranking by a potential buyer to determine an amount to offer for purchasing assets included within the at least one defined portfolio segment.
A system for grouping assets included within a portfolio of assets for valuation purposes using a classification and regression tree based model, said system comprising:
- a computer configured as a server and a database of asset portfolios;
- and
- at least one client system connected to said server through a network, said server configured to:
- receive from a seller a proposal to sell a portfolio of assets, the assets included within at least one segment defined by the seller;
- compute sum of squared error (SSE) values for the at least one defined portfolio segment using the classification and regression tree based model, wherein the classification and regression tree based model generates at least one cluster of assets included within the portfolio of assets for valuing each non-underwritten asset included with the at least one cluster, each non-underwritten asset included within the at least one cluster is assigned a value based on an average value assigned to underwritten assets included within the at least one cluster;
- compute SSE values for the at least one defined portfolio segment using a simple model, wherein the simple model assigns a single value to all non-underwritten assets within the at least one defined portfolio segment based on a value assigned to at least one underwritten asset included within the at least one defined portfolio segment;
- compute an error ratio between the SSE values based on the classification and regression tree based model and the SSE values based on the simple model for the at least one defined portfolio segment;
- rank the at least one defined portfolio segment based on the computed error ratio;
- and
- determine an amount to offer by a potential buyer for purchasing assets included within the at least one defined portfolio segment based on the ranking.
A computer configured for grouping assets included within a portfolio of assets for valuation purposes using a classification and regression tree based model, said computer including a database of portfolios of assets, said computer programmed to:
- receive from a seller a proposal to sell a portfolio of assets, the assets included within at least one segment defined by the seller;
- compute sum of squared error (SSE) values for the at least one defined portfolio segment using the classification and regression tree based model, wherein the classification and regression tree based model generates at least one cluster of assets included within the portfolio of assets for valuing each non-underwritten asset included within the at least one cluster, each non-underwritten asset included within the at least one cluster is assigned a value based on an average value assigned to underwritten assets included within the at least one cluster;
- compute SSE values for the at least one defined portfolio segment using a simple model, wherein the simple model assigns a single value to all non-underwritten assets within the at least one defined portfolio segment based on a value assigned to at least one underwritten asset included within the at least one defined portfolio segment;
- compute an error ratio between the SSE values based on the classification and regression tree based model and the SSE values based on the simple model for the at least one defined portfolio segment;
- rank the at least one defined portfolio segment based on the computed error ratio;
- and
- determine an amount to offer by a potential buyer for purchasing assets included within the at least one defined portfolio segment based on the ranking.
Dependencies are inferred from the claim text.