G - Physics – 06 – Q
Patent
G - Physics
06
Q
G06Q 10/04 (2012.01)
Patent
CA 2713597
A data driven and forward looking risk and reward appetite methodology for consumer and small business is described. The methodology includes customer segmentation to create pools of homogeneous assets in terms of revenue and loss characteristics, forward looking simulation to forecast expected values and volatilities of revenue and loss, and risk and reward optimization of the portfolio. One methodology used for modeling revenue and loss is a generalized additive effect decomposition model to fit historical data. Based on the model, a segmentation procedure is performed, which allows for creation of groups of customers with similar revenue and loss characteristics. An estimation procedure for the model is developed and a simulation strategy to forecast and simulate revenue and loss volatility is developed. Efficient frontier curves of risk (e.g., return volatility) and reward (e.g., expected return) are created for the current portfolio under various economic scenarios.
Breault Timothy J.
Chen Jie
Chorba Michael
Hudson Daniel
Mihaylov Kaloyan
Bank Of America Corporation
Smart & Biggar
LandOfFree
Risk and reward assessment mechanism does not yet have a rating. At this time, there are no reviews or comments for this patent.
If you have personal experience with Risk and reward assessment mechanism, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Risk and reward assessment mechanism will most certainly appreciate the feedback.
Profile ID: LFCA-PAI-O-2031441