Patent ID: 7546270

Claim:
A method, implemented via programmed instructions embodied on a computer-readable medium, for estimating economic risk associated with a group of loans according to a set of values of a first variable associated with the group of loans, wherein the first variable corresponds to a predetermined time period during the pendency of the group of loans, the method comprising: determining via a processor executing the programmed instructions, a statistical dependency structure between a predetermined first distribution of values of a second variable associated with the group of loans and a predetermined second distribution of values of the second variable associated with the group of loans, wherein the statistical dependency structure is based on a Gaussian copula function; determining via a processor executing the programmed instructions, the set of values of the first variable using the statistical dependency structure; and estimating via a processor executing the programmed instructions, the economic risk associated, with the group of loans based on the set of values of the first variable associated with the group of loans.