Inventors:
Sean Coleman Keenan - Norwalk CT, US
Vishwanath Avasarala - Schenectady NY, US
Jason Wayne Black - Clifton Park NY, US
Kete Chalermkraivuth - Niskayuna NY, US
John Andrew Ellis - Niskayuna NY, US
Radu Neagu - Niskayuna NY, US
Rajesh Venkat Subbu - Clifton Park NY, US
Jingjiao Zhang - Seattle WA, US
David Chienju Li - Forest Hills NY, US
Assignee:
GE Corporate Financial Services, Inc. - Norwalk CT
International Classification:
G06Q 40/00
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.