BASEL ADAPTIVE SEGMENTATION HEURISTICS
First Claim
1. A system to identify homogeneous risk pools used in the calculation of minimum capital requirements for a number of segments of a population of portfolios, the system comprising:
- a portfolio segmentation tool comprising;
an F-ratio objective function engine to calculate an F-ratio objective function representing a probability of a risk event across all of the number of segments of the population; and
a genetic algorithm-based search engine that receives an input dataset that defines a decision tree structure for the population, maximizes the F-ratio objective function of the risk event to optimize the decision tree structure to group the number of segments according to one or more of the homogeneous risk pools, and generates a score for each homogeneous risk pool.
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Abstract
A system and method for identifying homogeneous risk pools used in the calculation of minimum capital requirements for a number of segments of a population of portfolios is presented. An F-ratio objective function representing a probability of a risk event across all of the number of segments of the population is calculated using an F-ratio objective function engine. An input dataset that defines a decision tree structure for the population is received. The F-ratio objective function of the risk event is maximized using a generic algorithm-based search engine to optimize the decision tree structure to group the number of segments according to one or more of the homogeneous risk pools, and a score for each homogeneous risk pool is then generated.
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Citations
10 Claims
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1. A system to identify homogeneous risk pools used in the calculation of minimum capital requirements for a number of segments of a population of portfolios, the system comprising:
a portfolio segmentation tool comprising; an F-ratio objective function engine to calculate an F-ratio objective function representing a probability of a risk event across all of the number of segments of the population; and a genetic algorithm-based search engine that receives an input dataset that defines a decision tree structure for the population, maximizes the F-ratio objective function of the risk event to optimize the decision tree structure to group the number of segments according to one or more of the homogeneous risk pools, and generates a score for each homogeneous risk pool. - View Dependent Claims (2, 3, 4, 5, 6)
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7. A method for identifying homogeneous risk pools used in the calculation of minimum capital requirements for a number of segments of a population of portfolios, the method comprising:
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calculating an F-ratio objective function representing a probability of a risk event across all of the number of segments of the population using an F-ratio objective function engine; receiving an input dataset that defines a decision tree structure for the population; maximizing the F-ratio objective function of the risk event using a genetic algorithm-based search engine to optimize the decision tree structure to group the number of segments according to one or more of the homogeneous risk pools; and generating a score for each homogeneous risk pool. - View Dependent Claims (8, 9, 10)
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Specification