Mary Ellen Cole

US Patent:

8065214, Nov 22, 2011

Filed:

Sep 6, 2005

Appl. No.:

11/220011

Inventors:

Tim Kerry Keyes - West Redding CT, US
Mary Kennedy Cole - New York City NY, US
Sundeep Ruia - Norwalk CT, US

Assignee:

GE Corporate Financial Services, Inc. - Norwalk CT

International Classification:

G06Q 40/00

US Classification:

705 36R, 705 35

Abstract:

A method for predicting expected and unexpected loss outcomes for a portfolio of loans is provided. The loans are issued by a lender to a plurality of borrowers. The method includes recording key account and risk attributes for a historical portfolio of loans, recording actual default and loss information for each borrower included within the historical portfolio of loans, and comparing the key account and risk attributes with the actual default and loss information over a period of time. The method also includes selecting a sample of loans from the historical portfolio of loans to determine loss drivers based on the comparison of the key account and risk attributes with the actual default and loss information, building a regression tree based model representing relationships between the loss drivers, and expected and unexpected loss outcomes for the historical portfolio of loans, and predicting the expected and unexpected loss outcomes for a second portfolio of loans using the regression tree based model and the loss drivers for the second portfolio of loans.