| 摘要 |
The present invention relates to an apparatus and method for a BIS ratio simulation based on a scenario which can calculate a BIS ratio corresponding to a scenario defining change in risk parameters such a possibility of default, loss given default, and exposure at default. The apparatus and the method for a BIS ratios simulation based on a scenario can provide a sensitivity test for a BIS ratio according to change in parameters inputted to calculate a BIS ratio of a financial institution such as a possibility of default (PD), loss given default (LGD), and exposure at default (EAD), can provide a stress test reflecting economic conditions, and can ultimately improve the work efficiency of financial soundness management for financial institutions. [Reference numerals] (110) Risk weighted asset database; (120) Risk weighted asset reception unit; (130) User input unit; (140) User input unit; (150) Adjusted risk weighted asset generation unit; (160) Adjusted BIS ratio calculation unit; (170) Display unit |
