SYSTEM AND METHOD FOR IMPROVING RATING AND MODELING OF ASSET BACKED SECURITIES
The present invention provides a computer-based system for evaluating risk in asset backed securities (ABS) comprising: a database containing data associated with an asset pool of an ABS; a computer having a processor for executing software and being adapted to establish a communication link with an external provider of electronic data and to receive a first data set associated with an asset pool of an ABS, the first data set including credit score data related to the asset pool; and a migratory pattern predictive model application executed by the processor and adapted to analyze at least a part of the first data set, including the credit score data, and to determine a rating concerning the relative risk associated with the ABS.
1 . A computer-implemented method comprising:
(a) identifying by a processor an asset backed security (ABS);
(b) automatically collecting by a processor a first set of data related to the ABS at a first time, the first set of data comprising types of data including at least one of a Fair Isaac Corporation (FICO) score, Vantage Consumer Credit Score, Experian credit score, Transunion credit score, Equifax credit score, and primary and secondary borrower information;
(c) automatically assigning by a processor a first score to the ABS based on the first set of data;
(d) automatically collecting by a processor a second set of data related to the ABS at a second time, the second set of data comprising types of data including at least one of a Fair Isaac Corporation (FICO) score, Vantage Consumer Credit Score, Experian credit score, Transunion credit score, Equifax credit score, and primary and secondary borrower information;
(e) automatically determining by a processor a migratory pattern associated with the ABS based at least in part on comparing the first set of data and the second set of data;
(f) based a at least in part on the migratory pattern associated with the ABS, automatically assigning by a processor a second score to the ABS; and
(g) storing by a processor the second score.
2 . The method of claim 1 wherein the migratory pattern is based upon at least one factor selected from the group consisting of:
(a) a set of credit scores;
(b) a set of credit capacity indices;
(c) a set of loan-to-value (LTV) ratios;
(d) a set of information relating to home sales;
(e) a set of information relating to home foreclosures; and
(f) a set of information relating to home equity line of credits (HELOCs).
3 . The method of claim 1 further comprising assigning a monetary value to the ABS based upon the second score.
4 . The method of claim 3 further comprising entering into a transaction associated to the ABS wherein the transaction is related to the monetary value.
5 . The method of claim 4 wherein the transaction is a sale.
6 . The method of claim 4 wherein the transaction is a purchase.
7 . A system for assigning a score to an asset backed security (ABS), the system comprising:
a processor and a memory;
a securities identification module adapted to identify an ABS;
a data collection module adapted to automatically collect a first set of data related to the ABS at a first time, the first set of data comprising types of data including at least one of a Fair Isaac Corporation (FICO) score, Vantage Consumer Credit Score, Experian credit score, Transunion credit score, Equifax credit score, and primary and secondary borrower information, and further adapted to automatically collect a second set of data related to the ABS at a second time, the second set of data comprising types of data including at least one of a Fair Isaac Corporation (FICO) score, Vantage Consumer Credit Score, Experian credit score, Transunion credit score, Equifax credit score, and primary and secondary borrower information;
a first securities scoring module adapted to automatically assign a first score to the ABS based on the first set of data;
a migratory pattern determination module adapted to automatically determine a migratory pattern associated with the ABS based at least in part on comparing the first set of data and the second set of data;
a second securities scoring module adapted to automatically assign, based at least in part on the migratory pattern associated with the ABS, a second score to the ABS; and
a storage module adapted to store the second score.
8 . The system of claim 7 wherein the migratory pattern is based upon at least one factor selected from the group consisting of:
(a) a set of credit scores;
(b) a set of credit capacity indices;
(c) a set of loan-to-value (LTV) ratios;
(d) a set of information relating to home sales;
(e) a set of information relating to home foreclosures; and
(f) a set of information relating to home equity line of credits (HELOCs).
9 . The system of claim 7 further comprising a valuation module adapted to assign a monetary value to the ABS based upon the second score.
10 . The system of claim 9 further comprising a transaction module adapted to enter into a transaction associated to the ABS wherein the transaction is related to the monetary value.
11 . The system of claim 10 wherein the transaction is a sale.
12 . The system of claim 10 wherein the transaction is a purchase.
13 . A computer program for assigning a score to an asset backed security (ABS), the computer program being embodied in a tangible computer-readable medium and configured for execution on a computer having an associated processor, memory, display, and input device, the computer program comprising:
a first code set stored in the memory and when executed by a processor adapted to identify an ABS;
a second code set stored in the memory and when executed by a processor adapted to automatically collect a first set of data related to the ABS at a first time, the first set of data comprising types of data including at least one of a Fair Isaac Corporation (FICO) score, Vantage Consumer Credit Score, Experian credit score, Transunion credit score, Equifax credit score, and primary and secondary borrower information;
automatically assigning by a processor a first score to the ABS based on the first set of data;
a third code set stored in the memory and when executed by a processor adapted to automatically collect a second set of data related to the ABS at a second time, the second set of data comprising types of data including at least one of a Fair Isaac Corporation (FICO) score, Vantage Consumer Credit Score, Experian credit score, Transunion credit score, Equifax credit score, and primary and secondary borrower information;
a fourth code set stored in the memory and when executed by a processor adapted to automatically determine a migratory pattern associated with the ABS based at least in part on comparing the first set of data and the second set of data;
a fifth code set stored in the memory and when executed by a processor adapted to, based at least in part on the migratory pattern associated with the ABS, automatically assign a second score to the ABS; and
a sixth code set stored in the memory and when executed by a processor adapted to store the second score.
14 . The computer program of claim 13 wherein the migratory pattern is based upon at least one factor selected from the group consisting of:
(a) a set of credit scores;
(b) a set of credit capacity indices;
(c) a set of loan-to-value (LTV) ratios;
(d) a set of information relating to home sales;
(e) a set of information relating to home foreclosures; and
(f) a set of information relating to home equity line of credits (HELOCs).
15 . The computer program of claim 13 further comprising a seventh code set stored in the memory and when executed by a processor adapted to assign a monetary value to the ABS based upon the second score.
16 . The computer program of claim 15 further comprising a eighth code set stored in the memory and when executed by a processor adapted to enter into a transaction associated to the ABS wherein the transaction is related to the monetary value.
17 . The computer program of claim 16 wherein the transaction is a sale.
18 . The computer program of claim 16 wherein the transaction is a purchase.