Patents by Inventor Joseph L. Breeden

Joseph L. Breeden has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).

  • Patent number: 11995716
    Abstract: A Monte Carlo simulation is disclosed to propagate model estimate and macroeconomic uncertainties through the calculation of lifetime loss or yield and their uncertainties using a classical computer or a quantum for the purposes of adjusting loan pricing for the uncertainty in the yield.
    Type: Grant
    Filed: December 16, 2021
    Date of Patent: May 28, 2024
    Assignee: DEEP FUTURE ANALYTICS, LLC
    Inventor: Joseph L. Breeden
  • Publication number: 20230196452
    Abstract: A Monte Carlo simulation is disclosed to propagate model estimate and macroeconomic uncertainties through the calculation of lifetime loss or yield and their uncertainties using a classical computer or a quantum for the purposes of adjusting loan pricing for the uncertainty in the yield.
    Type: Application
    Filed: December 16, 2021
    Publication date: June 22, 2023
    Inventor: Joseph L. Breeden
  • Publication number: 20190354854
    Abstract: A type of machine learning called supervised learning is disclosed. In supervised learning, the training data contains observed values of a target variable and a set of candidate explanatory variables. Supervised learning has been used previously for predicting time series such as economic time series and separately for intrinsic behavior patterns such as credit scoring for offering consumer loans. However, when creating a single model of a target variable that combines both internal behavior and external drivers, the internal behavior and external drivers are often correlated to each other as well as to the target variable. In such a system, the external drivers are usually intended to capture the time series behavior and the internal behavioral variables capture the idiosyncratic effects, but when multicollinearity occurs across all these factors, the internal behavioral variables must also be predicted before a forecast can be created for the target variable.
    Type: Application
    Filed: May 21, 2018
    Publication date: November 21, 2019
    Inventor: Joseph L. Breeden
  • Patent number: 10424021
    Abstract: A computer-implemented method and invention for calculating a loan-level model with the age, period, and cohort functions found in the structure of an Age-Period-Cohort models. The invention uses one observation per account per time period, processed with a uniquely structured set of basis functions, so that the model may be estimated with either Generalized Linear Models (GLM) or Generalized Linear Mixed Models (GLMM). The model created by the invention may be used for account-level forecasting or stress testing of the defined performance variable if the historic extrapolation of the period function is detrended, the age and cohort functions are re-estimated appropriately, and a suitable scenario for the future of the period function. Scores may also be created by combining traditional scoring inputs with an account-level offset computed as the sum of the age and period functions at each time point.
    Type: Grant
    Filed: September 27, 2013
    Date of Patent: September 24, 2019
    Assignee: DEEP FUTURE ANALYTICS, LLC
    Inventor: Joseph L. Breeden
  • Publication number: 20140114880
    Abstract: A computer-implemented method and invention for calculating a loan-level model with the age, period, and cohort functions found in the structure of an Age-Period-Cohort models. The invention uses one observation per account per time period, processed with a uniquely structured set of basis functions, so that the model may be estimated with either Generalized Linear Models (GLM) or Generalized Linear Mixed Models (GLMM). The model created by the invention may be used for account-level forecasting or stress testing of the defined performance variable if the historic extrapolation of the period function is detrended, the age and cohort functions are re-estimated appropriately, and a suitable scenario for the future of the period function. Scores may also be created by combining traditional scoring inputs with an account-level offset computed as the sum of the age and period functions at each time point.
    Type: Application
    Filed: September 27, 2013
    Publication date: April 24, 2014
    Inventor: Joseph L. Breeden
  • Patent number: 7840467
    Abstract: The present invention relates to a method that allows managers of retail portfolios to compute performance time series that have been cleaned of marketing impacts, lifecycles, management actions, and seasonality, leaving only the performance changes due to the environment. These normalized series can be used to compute the necessary covariance matrices for portfolio optimization or computing portfolio-level economic capital. The invention applies to any retail product or segment where vintage-level performance time series are being stored.
    Type: Grant
    Filed: October 11, 2006
    Date of Patent: November 23, 2010
    Assignee: Strategic Analytics, Inc.
    Inventor: Joseph L. Breeden
  • Patent number: 7702555
    Abstract: A method predicts vintage behavior. The method receives a first set of data, the first set of data being based on at least one of a first factor and a second factor. The first factor includes a factor related to vintage maturation. The second factor includes a factor not related to vintage maturation. The method determines a second set of data and a third set of data based on the first set of data, the second set of data being based on the first factor, and the third set of data being based on the second factor. The method then predicts vintage behavior based on at least one of the second set of data and the third set of data.
    Type: Grant
    Filed: February 13, 2001
    Date of Patent: April 20, 2010
    Assignee: Strategic Analytics
    Inventors: Joseph L Breeden, R David Franklin, Anthony J Giancola
  • Patent number: 7660735
    Abstract: A system and method for segmenting and clustering consumer segments is disclosed. The system and method disclosed decompose micro-segments into maturation curves, exogenous curves and scaling parameters. The system and method of the present invention use these generated curves to cluster micro-segments into macro-segments for business analysis purposes.
    Type: Grant
    Filed: August 9, 2002
    Date of Patent: February 9, 2010
    Assignee: Strategic Analytics Inc.
    Inventors: Joseph L. Breeden, Anthony J. Giancola
  • Patent number: 7469227
    Abstract: Generation of risk-related retail lending portfolio scenarios is disclosed. A selected functional form is used to decompose vintage performance data into a maturation component, an exogenous component and vintage calibration parameters for the portfolio. Known exogenous drivers are extracted from the exogenous component to create a residual exogenous component. Monthly changes in the residual exogenous component are computed, and the distribution of monthly changes in the residual exogenous component is measured. This information is used to generate a number of random potential future scenarios for the residual exogenous component and, ultimately, for the generation of a number of forecasts for key portfolio drivers.
    Type: Grant
    Filed: February 7, 2003
    Date of Patent: December 23, 2008
    Assignee: Strategic Analytics, Inc.
    Inventors: Joseph L. Breeden, Michael A. Smith, R. David Franklin
  • Publication number: 20080091621
    Abstract: The present invention relates to a method that allows managers of retail portfolios to compute performance time series that have been cleaned of marketing impacts, lifecycles, management actions, and seasonality, leaving only the performance changes due to the environment. These normalized series can be used to compute the necessary covariance matrices for portfolio optimization or computing portfolio-level economic capital. The invention applies to any retail product or segment where vintage-level performance time series are being stored.
    Type: Application
    Filed: October 11, 2006
    Publication date: April 17, 2008
    Inventor: Joseph L. Breeden
  • Publication number: 20030225659
    Abstract: Generation of risk-related retail lending portfolio scenarios is disclosed. A selected functional form is used to decompose vintage performance data into a maturation component, an exogenous component and vintage calibration parameters for the portfolio. Known exogenous drivers are extracted from the exogenous component to create a residual exogenous component. Monthly changes in the residual exogenous component are computed, and the distribution of monthly changes in the residual exogenous component is measured. This information is used to generate a number of random potential future scenarios for the residual exogenous component and, utlimately, for the generation of a number of forecasts for key portfolio drivers.
    Type: Application
    Filed: February 7, 2003
    Publication date: December 4, 2003
    Inventors: Joseph L. Breeden, Michael A. Smith, R. David Franklin