Patent ID: 11928633
Assignee: MCKINSEY & COMPANY, INC.
Field: IT methods for management (Electrical engineering)
Classification: CPC G | IPC G

Claim 9:
10. A computer-implemented method for simulating a risk model over time, the risk model corresponding to a model distribution function and including a hierarchical tree formed of component assumption objects having a parent-child relationship, wherein (i) assumption objects correspond to object distribution functions, (ii) a simulated value for a parent assumption object is based upon the distribution functions for the child assumption objects, and (iii) the assumption objects correspond to time functions, the method comprising:
sampling, by one or more processors, a value from the object distribution functions corresponding to the assumption objects;
calculating, by the one or more processors, an instantaneous assumption value for the assumption objects based on the sampled value for the assumption object and/or the sampled values for child assumption objects;
obtaining, by the one or more processors, an interval duration;
generating, by the one or more processors, a time-adjusted value for a plurality of time intervals of the obtained interval duration by applying the time function for the assumption objects to the respective instantaneous assumption values;
calculating, by the one or more processors, a time-adjusted assumption value for parent assumption objects based on the time-adjusted values for the assumption objects;
obtaining, by the one or more processors, a number of iterations of the risk model to simulate;
obtaining, by the one or more processors, the number of samples from the object distribution functions in accordance with a sampling function, wherein the samples respectively correspond to an iteration of the simulation;
performing, by the one or more processors using the corresponding samples, the number of iterations; and
applying, by the one or more processors, a regression analysis to outcomes of the iterated simulations to update the model distribution function corresponding to the risk model.