Method and apparatus for predicting outcomes of a home equity line of credit
First Claim
1. A machine-readable medium comprising instructions for predicting outcomes of a home equity line of credit loan, wherein the instructions upon execution cause a machine to:
- receive a plurality of account characteristics for a home equity line of credit loan;
generate an initial account state vector from the plurality of account characteristics;
provide a plurality of account states, at least one account state representing a mutually exclusive duration of delinquency;
generate a random number;
update the initial account state vector by propagating a state vector forward to one of the plurality of account states using a statistical transition model and the random number;
predict draw or payment events using the statistical transition model; and
generate a probability distribution using the statistical transition model, the probability distribution related to at least one of a risk of default, a risk of delinquency, or a risk of prepayment.
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Accused Products
Abstract
A method and apparatus are described where account information is used to predict possible outcomes of a HELOC. To predict the possible outcomes, HELOC account state transition probabilities are modeled. The transition probabilities, determined by historic data regression analysis, provide the framework for a Monte Carlo simulation. The simulation is seeded with HELOC account information. A calculation engine takes the account information and simulates an elapse of time using a random number generator and the state transition probabilities. The simulation results in updated account information predicting a possible outcome over the elapsed time interval. The updated account information in turn may be used by the calculation engine to simulate the next elapse of time. This method may be iteratively repeated with the account information propagated forward until the end of the prediction period is reached.
34 Citations
15 Claims
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1. A machine-readable medium comprising instructions for predicting outcomes of a home equity line of credit loan, wherein the instructions upon execution cause a machine to:
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receive a plurality of account characteristics for a home equity line of credit loan; generate an initial account state vector from the plurality of account characteristics; provide a plurality of account states, at least one account state representing a mutually exclusive duration of delinquency; generate a random number; update the initial account state vector by propagating a state vector forward to one of the plurality of account states using a statistical transition model and the random number; predict draw or payment events using the statistical transition model; and generate a probability distribution using the statistical transition model, the probability distribution related to at least one of a risk of default, a risk of delinquency, or a risk of prepayment. - View Dependent Claims (2, 3, 4, 5, 6, 7, 15)
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8. A computer-based method for predicting outcomes of a home equity line of credit loan comprising:
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receiving, at a computer, a plurality of account characteristics for a home equity line of credit loan; generating, by the computer, an initial account state vector from the plurality of account characteristics; providing, at the computer, a plurality of account states, at least one account state representing a mutually exclusive duration of delinquency; updating, at the computer, the initial account state vector by propagating a state vector forward to one of the plurality of account states using a statistical transition model and a random number that simulates the effect of a lapse of time on the initial account state vector; predicting, by the computer, draw or payment events using the statistical transition model; and generating, by the computer, a probability distribution using the statistical transition model, the probability distribution related to at least one of a risk of default, a risk of delinquency, or a risk of prepayment. - View Dependent Claims (9, 10, 11, 12, 13, 14)
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Specification