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

Claim 17:
18. A non-transitory computer-readable medium storing computer executable instructions thereon, the instructions, when executed by one or more processors, simulate 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 object distribution functions for the child assumption objects, and (iii) the assumption objects correspond to time functions, wherein to simulate the risk model, the instructions, when executed, cause the one or more processors to:
sample a value from the object distribution functions corresponding to the assumption objects;
calculate 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;
obtain an interval duration;
generate 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;
calculate, a time-adjusted assumption value for parent assumption objects based on the time-adjusted values for the assumption objects;
obtain a number of iterations of the risk model to simulate;
obtain 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;
perform, using the corresponding samples, the number of iterations; and
apply a regression analysis to outcomes of the iterated simulations to update the model distribution function corresponding to the risk model.