Covariance of retail loan product performances

专利名称：Covariance of retail loan product

performances

发明人：Joseph L. Breeden申请号：US116153申请日：20061011公开号：US07840467B2公开日：20101123

专利附图：

摘要：The present invention relates to a method that allows managers of retailportfolios to compute performance time series that have been cleaned of marketingimpacts, lifecycles, management actions, and seasonality, leaving only the performance

changes due to the environment. These normalized series can be used to compute thenecessary covariance matrices for portfolio optimization or computing portfolio-leveleconomic capital. The invention applies to any retail product or segment where vintage-level performance time series are being stored.

申请人：Joseph L. Breeden

地址：Santa Fe NM US

国籍：US

代理机构：Katten Muchin Rosenman LLP

代理人：John S. Paniaguas

更多信息请下载全文后查看