| 摘要 |
PROBLEM TO BE SOLVED: To provide a market risk prediction device, a hedge amount calculation method, and a hedge amount calculation program, which use a prediction value of a price fluctuation risk to enable calculation of a necessary minimum hedge amount required for achieving a planned budget and a planned profit.SOLUTION: A market risk prediction device includes: storage means for storing non-hedged purchase plan amount information of a predetermined asset and planned variable cost information, in association with each other, at a point of time when a predetermined period elapses from a prediction reference point of time; storage means for storing hedge price information of the predetermined asset at the point of time; means for dividing the planned variable cost information by the purchase plan amount information to calculate permissible price information that secures a planned profit amount; means for dividing a value produced by deducting the permissible price information from a price prediction value of the predetermined asset at the point of time by a value produced by deducting the hedge price information from the price prediction value to calculate an optimal hedge ratio of the predetermined asset at the point of time; and means for multiplying the optimal hedge ratio by the purchase plan amount information to calculate an optimal hedge amount of the predetermined asset at the point of time. |
