| 摘要 |
<P>PROBLEM TO BE SOLVED: To rapidly calculate VaR (value at risk). <P>SOLUTION: Sensitivities related to interest rate for each interest rate type and for each grid point are calculated using a value P(r) at an interest rate r and a value P(r+Δr) in an interest rate shift quantity Δr from the interest rate r, and an interest rate type and a grid point with an absolute value of maximum sensitivity of the calculated sensitivities are determined. With respect to the determined interest rate and grid point, fluctuation widths for an observation period are calculated, the fluctuation widths for the observation period are sorted to calculate a fluctuation width of top 100×α% points (0<α<1) from the loss side as an interest rate shift quantity Δs. Sensitivities related to interest rate for each interest rate type and for grid point are calculated using the interest rate shift quantity Δs, profit and loss for the observation period is calculated based on the sensitivities related to interest rate for each interest rate type and for each grid point and interest rate past data for the observation period stored in a storage device, and the VaR is calculated using the calculated benefit and loss. <P>COPYRIGHT: (C)2009,JPO&INPIT |
