| 摘要 |
PROBLEM TO BE SOLVED: To obtain a calculation method for quickly calculating value at risk and an earning at risk by calculating the value at risk and the earning at risk, based on the detailed information of a certain item and an item rate scenario. SOLUTION: A market DB preparation program realized a date (here-after referred to as an interest changing date) for reconsidering interest in the future based on the information of a details DB and applies interest, corresponding to an interest changing date in an item interest rate scenario DB. Then market data are prepared and stored in a market DB. A VAR/EAR calculation program calculates the current price or the like, before the change of an interest scenario from the information of the market DB and the information of the interest scenario and stores the calculated result in a simulation result DB. Since the value at risk and an earning at risk calculated by this Monte Carlo simulation are highly efficient, processing speed can be improved, while the accuracy of calculation is maintained. |
