Patent ID: 7881994

Claim:
Machine readable media having stored therein a set of instructions that when executed cause a computer to implement a process for determining a probability of an adverse event in connection with a plurality of loans, the plurality of loans having varying amounts of loan data available, the process comprising: constructing a first mathematical model for use with loans for which loan data is available for a set of explanatory variables, the set of explanatory variables including variables that relate to risk characteristics of the loan, risk characteristics of collateral for the loan, and risk characteristics of a borrower associated with the loan; constructing a second mathematical model for use with loans for which at least some of the loan data for the set of explanatory variables is not available, including estimating the probability of the adverse event for a first group of loans for which the loan data is available for the set of explanatory variables using the first mathematical model, iteratively estimating the probability of the adverse event for the first group of loans using the second mathematical model, selecting an optimal set of weighting coefficients for the second mathematical model, the optimal set of coefficients being selected so as to minimize errors in outputs generated by the second mathematical model for the first group of loans relative to outputs generated by the first mathematical model for the first group of loans, and storing a set of error values, the set of error values relating to the errors in the outputs generated by the second mathematical when using the optimal set of coefficients relative to the outputs generated by the first mathematical model; and estimating the probability of the adverse event for a second group of loans using the second mathematical model, wherein at least some loan data for the set of explanatory variables is not available for the second group of loans, and wherein estimating the probability of the adverse event for the second group of loans includes randomly drawing error values from the set of error values and adjusting the outputs of the second mathematical model for the second group of loans in accordance with the randomly drawn error values, the randomly drawn error values causing a distribution of the probability values produced by the second mathematical model for the second group of loans to more closely match a distribution of the probability values produced by the first mathematical model for the first group of loans.