Patent ID: 8812384

Claim:
A computer-implemented method, comprising: accessing, on a computing device, primary loan observations, wherein the primary loan observations include observations with respect to a primary set of loan variables and provide information about financial conditions of borrowers associated with multiple loans, wherein the variables of the primary set are correlated with default risk; accessing, on the computing device, secondary loan observations, wherein the secondary loan observations include observations with respect to a secondary set of loan variables and further provide information about the financial conditions of the borrowers, and wherein the variables of the secondary set are correlated with default risk; generating, on the computing device, a handle data structure based on primary loan observations and secondary loan observations, wherein each of a plurality of cells is defined by at least one of an interval with respect to a loan variable of the primary set and an interval with respect to a loan variable of the secondary set; individually categorizing each of the loans, wherein categorizing a loan includes associating the loan with one of the cells such that loans associated with a similar default risk are assigned to same cells, and wherein each of the individual categorizations is performed on the computing device and is based on one of the primary loan observations, one of the secondary loan observations, and the intervals that define the cells; generating a plurality of asset tranches such that each of the asset tranches is associated with at least one of the cells, and wherein at least one of the asset tranches includes a composite loan including two or more loans; determining that at least one of the loans is a changed loan, wherein a changed loan is a loan associated with a changed level of default risk, and wherein determining includes detecting changes in at least one of primary loan observations and secondary loan observations; reclassifying at least one of the changed loans by determining a new cell association based on changes in at least one of primary loan observations and secondary loan observations; monitoring trends associated with changes in default risk of the loans; making handle data structure modifications based on the detected changes; and generating one or more reports based on the monitored trends.