Margin credit evaluation system

The Management Science Group developed an expert system for the Credit Administration Department at Merrill Lynch to assist them with their primary responsibility of setting credit limits on margin accounts. Every account with a debit balance over $100000 is delivered daily to the system, appraised, and prioritized by its risk, using a combination of analytic and heuristic reasoning to evaluate its equity and fixed income positions on the basis of quality, marketability, and overall portfolio diversity. The system warns the credit analyst about problems in the account, and gives advice about whether the current debit can be supported and what the credit limits should be. The account may also be analyzed on an interactive basis, and what-if scenarios may be run to explore the effects of modifying the portfolio. Merrill Lynch has made daily operational use of the system for over two years and uses it to oversee more than two billion dollars of margin credit