Patent ID: 8515862
Filing Date: 2013-08-20
Classification: G06Q

Abstract:
1. A computer-implemented method for validating a credit risk model, comprising: accessing, using one or more data processors, historical loan performance data including a plurality of records, wherein a record includes a plurality of borrower attributes and a default attribute associated with a loan, wherein the default attribute identifies whether a borrower defaulted on making payments associated with the loan, and wherein the plurality of borrower attributes includes both quantitative and qualitative components; dividing, using the one or more data processors, each of the borrower attributes into a plurality of borrower attribute levels, wherein dividing the qualitative components includes quantizing the qualitative components into a discrete number of levels; combining two or more borrower attribute levels; generating, using the one or more data processors, a handle data structure including one record for each combination of borrower attribute levels, wherein the handle data structure represents a set of unified metrics including all possible combinations of covariate patterns, wherein the handle data structure is associated with a joint distribution of risk characteristics, and wherein a default probability is assigned to each record using default attributes from the historical loan performance data; generating, using the one or more data processors, a credit risk model, wherein the credit risk model associates a risk level measurement with each record in the handle data structure; and performing one or more validation operations on the credit risk model to determine whether the credit risk model is acceptable for use in a production environment.