Patent ID: 7469227

Claim:
A method for modeling a retail lending portfolio comprising: providing vintage performance data for a retail lending portfolio, wherein the portfolio has at least one key portfolio driver; selecting a functional form that provides the relationship between the maturation aspects and exogenous aspects of the provided data; decomposing the provided data using the selected functional form to generate a portfolio maturation component, a portfolio exogenous component and at least one vintage calibration parameter, wherein the portfolio exogenous component includes at least one known exogenous driver; extracting the at least one known exogenous driver from the portfolio exogenous component to generate a residual exogenous component; computing monthly changes in the residual exogenous component; measuring the distribution of monthly changes in the residual exogenous component; generating a plurality of random potential future scenarios for the residual exogenous component using the measured distribution of monthly changes; generating a plurality of potential future scenarios for the exogenous component using the plurality of generated potential future scenarios for the residual exogenous component; and generating a plurality of forecasts for the at least one key portfolio driver using the plurality of exogenous scenarios.