Methods and systems for generating transition probability matrices through an optimization framework
US8249981B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Dec 16, 2008 |
| Grant date | Aug 21, 2012 |
| Priority date | — |
| Expiry date | Mar 2, 2031 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06N3/126
- WIPO fieldComputer technology
- WIPO sectorElectrical engineering
Abstract
A method for generating an optimized transition probability matrix (OTPM) is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database financial data including obligor credit ratings, generating multi-period empirical transition probability matrices (ETPMs) for a selected time horizon using the financial data stored within the database, generating a mathematical expression to minimize a difference between target ETPM values and candidate OTPM values, and calculating the OTPM from the generated mathematical expression and the financial data stored within the database, wherein the calculated OTPM includes a first set of optimized transition probability values for predicting a likelihood that a credit rating of an obligor will migrate from one credit state to another credit state during a first time interval in the future.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.