Patent Document ID: 20100153299
Application ID: 12336360
Patent Flag: 0

Claim One:
1. A method for generating an optimized transition probability matrix (OTPM), said method performed using a computer system coupled to a database, said method comprising: storing in the database financial data including obligor credit ratings; generating multi-period empirical transition probability matrices (ETPMs) for a selected time horizon using the financial data stored within the database, wherein each generated ETPM includes transition probability values indicating a likelihood that a credit rating of an obligor will migrate from one credit state to another credit state during a time period included within the selected time horizon, the transition probability values included within the generated ETPMs are defined as target ETPM values; generating a mathematical expression to minimize a difference between target ETPM values and candidate OTPM values, wherein the mathematical expression is generated using an objective function including at least one of a probit transform function and an exponential function, and by applying predetermined constraints to the objective function; and calculating the OTPM from the generated mathematical expression and the financial data stored within the database, wherein the calculated OTPM includes a first set of optimized transition probability values for predicting a likelihood that a credit rating of an obligor will migrate from one credit state to another credit state during a first time interval in the future, wherein the calculating is performed by the computer.