Method and system for estimating economic risk associated with a group of loans

摘要

A method and system which may be used to estimate the economic risk associated with a group of loans by determining a set of values of a first variable associated with a group of loans using a mathematical Gaussian copula function is disclosed. The described method includes determining a statistical dependency structure based on a Gaussian copula function between a predetermined first distribution of values of a second variable associated with the group of loans and a predetermined second distribution of values of the second variable associated with the group of loans, determining the set of values of the first variable using the statistical dependency structure, and estimating the economic risk associated with the group of loans based on the set of values of the first variable associate with the group of loans.