Systems and methods for determining the value of assets

• US 7,340,431 B1
• Filed: 12/30/2002
• Issued: 03/04/2008
• Est. Priority Date: 07/30/2001
• Status: Expired due to Term

• Current Assignee: Andrei Iancu, Ashley Moody Florida Office of The Attorney General and Successors Thereto, Jeanette Nunez Lieutenant Governor of Florida and Successors Thereto, Joan D. Heuer, Laurel M Lee Florida Secretary of State and Successors Thereto, Steven Mnuchin United States Secretary of The Treasury and Successors Thereto, Timothy E Gribben Commissioner For Bureau of The Fiscal Service Agency of The United States Department of The Treasury and Successors and Assigns Thereto
• Original Assignee: Federal Home Loan Mortgage Corporation
• Inventors: McManus, Douglas Alexander John, Parson, Robert LaVerne, Sims, Pamela Williams, Husain, Asim, Fu, Limin
• Primary Examiner(s): Dass; Harish T.
• Application Number:
  US10/330,212
• Time in Patent Office: 1,891 Days
• Field of Search: 705 35- 37, 705/38, 705/36.R, 706/15
• US Class Current: 705/37
• CPC Class Codes: G06Q 30/00 Commerce
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis
• CPC Class Codes: G06Q 50/12 Hotels or restaurants

Abstract

Systems and methods are provided for analyzing a set of assets. Generally, a distribution is computed for a characteristic of assets, setting a range in a tail of the distribution and partitioning the range into at least one partition. Subsequently, a multiplier is assigned to each partition, wherein the multiplier represents how the characteristics affect the risk associated with an asset. These multipliers can be used in a risk analysis.

Claims

1. A method of analyzing an asset using a processor comprising:

(a) using a computer to compute a distribution for a characteristic of a set of assets;

(b) setting a range defining an outlier in the distribution;

(c) partitioning the range into at least one partition;

(d) assigning to each partition a multiplier representing how the characteristic affects a risk associated with an asset, wherein the risk associated with the asset is selected from the group consisting of default risk, severity, and prepayment;

(e) determining whether a characteristic of a subject asset falls within the range set within the distribution for the corresponding characteristic;

(f) assigning the multiplier corresponding to the partition on which the characteristic of the subject asset falls; and

(g) outputting the multiplier to a user for use in making a business decision.

2. A method of analyzing an asset using a processor according to claim 1, wherein there are at least two characteristics, the method further comprising:

(h) repeating steps (a)-(d) for each characteristic; and

(i) generating a correlation between each of the multipliers for each characteristic to form an overall multiplier.

3. A method of analyzing an asset using a processor according to claim 2, further comprising:

determining whether a characteristic of a subject asset falls within the range set within the distribution for each of the corresponding characteristics; and

assigning the multiplier corresponding to the partition on which each of the characteristics of the subject asset fall for those characteristics of the subject asset falling in the range set in the distribution corresponding to the characteristic.

4. A method of analyzing an asset using a processor according to claim 1, wherein the characteristic is not correlated with the risk associated with an asset.

5. A method of analyzing an asset using a processor according to claim 2, wherein at least one characteristic is not correlated with the risk associated with an asset.

6. A method of analyzing an asset, wherein the asset is one asset in a set of assets, using a processor comprising:

(a) determining a correlation between at least two characteristics of an asset and a risk associated with the asset, wherein at least one of the two characteristics is an outlier;

(b) using a computer to assign a multiplier to the correlation, wherein the multiplier is used in a risk analysis;

(c) repeating step (a) for each asset in the set of assets;

(d) combining each corresponding correlation of step (c) to form a set for each correlation;

(e) generating a distribution for each set;

(f) correlating the risk associated with an asset to each position in the distribution;

(g) setting a range defining an outlier in each distribution;

(h) partitioning each range into at least one partition;

(i) determining the risk associated with an asset based on the partition on which correlations of an asset falls;

(j) assigning a multiplier to each partition; and

(k) outputting the multiplier to a user for use in making a business decision.

7. A method of analyzing an asset using a processor according to claim 6, further comprising:

determining whether the correlation between at least two characteristics of a subject asset falls within the range set within the distribution for the corresponding correlation;

assigning the multiplier corresponding to the partition on which the correlation between the at least two characteristics of the subject asset fall for those assets in the set of assets having correlations falling in the range; and

computing a risk analysis of the subject asset using the multiplier.

8. A method of analyzing an asset using a processor according to claim 7, wherein the risk associated with the asset is selected from the group consisting of default risk, severity, and prepayment.

9. A method of analyzing assets using a processor, the method comprising the steps of:

receiving information about a set of assets, wherein the information about the set of assets comprises a financial history for a loan secured by each asset in the set of assets, the financial history including information about actual performance of the loan, and wherein each asset in the set of assets has at least one characteristic capable of being quantified;

determining a correlation between a risk factor and the actual performance of each loan;

using a computer to compute a statistical distribution for each characteristic;

setting a range defining an outlier in each statistical distribution;

partitioning the range into at least one partition;

determining which of the assets in the set of assets sold in the past contain characteristics that fall in the range set in each of the corresponding statistical distributions, and for those assets falling in the range, determining the partition on which the corresponding characteristic falls;

comparing the actual loan performance for the assets having characteristics that fall in the range set in each of the corresponding statistical distributions to the actual loan performance for the assets whose characteristics fall outside the range;

generating a correlation between the level of each partition and actual loan performance;

assigning a multiplier to each partition based on the generated correlation; and

outputting the multiplier to a user for use in making a business decision.

10. A method of analyzing assets using a processor according to claim 9, further comprising the steps of:

determining which of the assets in the set of assets have information about loan default;

analyzing the default history of each of the assets having information about loan default; and

generating a correlation between loan default and the level of each partition;

wherein assigning a multiplier to each partition includes assigning a risk multiplier to each partition based on the generated correlation between default and each partition, and wherein the risk multiplier is a gauge of default risk.

11. A method of analyzing assets using a processor according to claim 10, further comprising analyzing the severity for those assets of the set of assets that secure loans that have defaulted, and wherein assigning a multiplier to each partition includes assigning a severity multiplier to each partition.

12. A method of analyzing assets using a processor according to claim 9, wherein the multiplier comprises at least two generated correlations combined to form an overall multiplier.

13. A method of analyzing assets using a processor according to claim 10, wherein the multiplier comprises at least one generated correlation, including the risk multiplier, combined to form an overall multiplier.

14. A method of analyzing assets using a processor according to claim 12, further comprising the steps of:

receiving information about a subject asset, wherein the subject asset comprises the characteristic;

comparing the characteristic of the subject asset to the statistical distribution;

determining whether the characteristic of the subject asset falls within range set within the distribution; and

assigning the multiplier to the subject asset based on the partition on which the characteristic of the subject asset falls.

15. A method of analyzing assets using a processor, the method comprising the steps of:

using a computer to compute a distribution for multiple characteristics of a set of assets;

comparing the characteristics of a subject asset to the distribution;

determining whether the characteristics of the subject asset fall within a predetermined range set within the population distribution, wherein the predetermined range represents an outlier;

assigning a risk multiplier to the subject asset based on a position in the predetermined range on which the characteristics of the subject asset falls, wherein the risk multiplier quantifies the risk selected from the group consisting of default risk, severity, and prepayment; and

outputting the risk multiplier to a user for use in making a business decision.

16. A computer system for analyzing an asset comprising:

a memory including a program that

(a) computes a distribution for a characteristic of a set of assets;

(b) sets a range defining an outlier in the distribution;

(c) partitions the range into at least one partition;

(d) assigns to each partition a multiplier representing how the characteristic affects a risk associated with an asset, wherein the risk associated with the asset is selected from the group consisting of default risk, severity, and prepayment;

(e) determines whether a characteristic of a subject asset fall within the range set within the distribution for the corresponding characteristic;

(f) assigns the multiplier corresponding to the partition on which the characteristic of the subject asset falls; and

(g) outputs the multiplier to a user for use in making a business decision; and

a processor that runs the program.

17. A computer system for analyzing an asset using a processor according to claim 16, wherein there are at least two characteristics, and the the program further:

(h) repeats steps (a)-(d) for each characteristic; and

(i) means for generating generates a correlation between each of the multipliers for each characteristic to form an overall multiplier.

18. A computer system for analyzing an asset using a processor according to claim 17, wherein the program further:

determines whether a characteristic of a subject asset falls within the range set within the distribution for each of the corresponding characteristics; and

assigns the multiplier corresponding to the partition on which each of the characteristics of the subject asset fall for those characteristics of the subject asset falling in the range set in the distribution corresponding to the characteristic.

19. A computer system for analyzing an asset using a processor according to claim 16, wherein the characteristic is not correlated with the risk associated with an asset.

20. A computer system for analyzing an asset using a processor according to claim 17, wherein at least one characteristic is not correlated with the risk associated with an asset.

21. A computer system for analyzing an asset, wherein the asset is one asset in a set of assets, comprising:

a memory including a program that

(a) determines a correlation between at least two characteristics of an asset and a risk associated with the asset, wherein at least one of the two characteristics is an outlier;

(b) assigns a multiplier to the correlation, wherein the multiplier is used in a risk analysis;

(c) repeats step (a) for each asset in the set of assets;

(d) combines each corresponding correlation of step (c) to form a set for each correlation;

(e) generates a distribution for each set;

(f) correlates the risk associated with an asset to each position in the distribution;

(g) sets a range defining an outlier in each distribution;

(h) partitions each range into at least one partition;

(i) determines the risk associated with an asset based on the partition on which correlation of an asset falls;

(j) assigns a multiplier to each partition; and

(k) outputs the multiplier to a user for use in making a business decision; and

a processor that runs the program.

22. A computer system for analyzing an asset using a processor according to claim 21, wherein the program further:

determines whether the correlation between at least two characteristics of a subject asset falls within the range set within the distribution for the corresponding correlation;

assigns the multiplier corresponding to the partition on which the correlation between the at least two characteristics of the subject asset fall for those assets in the set of assets having correlations falling in the range; and

computes a risk analysis of the subject asset using the multiplier.

23. A computer system for analyzing an asset using a processor according to claim 22, wherein the risk associated with the asset is selected from the group consisting of default risk, severity, and prepayment.

24. A computer system for analyzing assets comprising:

a memory including a program that

receives information about a set of assets, wherein the information about the set of assets comprises a financial history for a loan secured by each asset in the set of assets, the financial history including information about actual performance of the loan, and wherein each asset in the set of assets has at least one characteristic capable of being quantified;

determines a correlation between a risk factor and the actual performance of each loan;

computes a statistical distribution for each characteristic;

sets a range defining an outlier in each statistical distribution;

partitions the range into at least one partition;

determines which of the assets in the set of assets sold in the past contain characteristics that fall in the range set in each of the corresponding statistical distributions, and for those assets falling in the range, determining the partition on which the corresponding characteristic falls;

compares the actual loan performance of the assets having characteristics that fall in the range set in each of the corresponding statistical distributions to the actual loan performance of the assets whose characteristics fall outside the range;

generates a correlation between the level of each partition and actual loan performance;

assigns a multiplier to each partition based on the generated correlation; and

outputs the multiplier to a user for use in making a business decision; and

a processor that runs the program.

25. A computer system for analyzing assets using a processor according to claim 24, wherein the program further:

determines which of the assets in the set of assets have information about loan default;

analyzes the default history of each of the assets having information about loan default; and

generates a correlation between loan default and the level of each partition;

wherein assigning a multiplier to each partition includes assigning a risk multiplier to each partition based on the generated correlation between default and each partition, and wherein the risk multiplier is a gauge of default risk.

26. A computer system for analyzing assets using a processor according to claim 25, wherein the program further:

analyzes the severity for those assets of the set of assets that secure loans that have defaulted, and

wherein assigning a multiplier to each partition includes assigning a severity multiplier to each partition.

27. A computer system for analyzing assets using a processor according to claim 24, wherein the multiplier comprises at least two generated correlations combined to form an overall multiplier.

28. A computer system for analyzing assets using a processor according to claim 25, wherein the multiplier comprises at least one generated correlation, including the risk multiplier, combined to form an overall multiplier.

29. A computer system for analyzing assets using a processor according to claim 27, wherein the program further:

receives information about a subject asset, wherein the subject asset comprises the characteristic;

compares the characteristic of the subject asset to the statistical distribution;

determines whether the characteristic of the subject asset falls within range set within the distribution; and

assigns the multiplier to the subject asset based on the partition on which the characteristic of the subject asset falls.

30. A computer system for analyzing assets comprising:

a memory including a program that

computes a distribution for multiple characteristics of a set of assets;

compares the characteristics of a subject asset to the distribution;

determines whether the characteristics of the subject asset fall within a predetermined range set within the population distribution, wherein the predetermined range represents an outlier;

assigns a risk multiplier to the subject asset based on a position in the predetermined range on which the characteristics of the subject asset falls, wherein the risk multiplier quantifies the risk selected from the group consisting of default risk, severity, and prepayment; and

outputs the risk multiplier to a user for use in making a business decision; and

a processor that runs the program.