| 摘要 |
A numerical modelling apparatus and method of performing numerical modelling are described. An input unit (110) receives signals giving information relating to a set of assets. A processor unit (150) is arranged to provide a Risk Relation Matrix V having elements that represent a relationship of risk related to a respective pair of the assets. Each element is a scalar product of two risk vectors, such that each of the assets has an associated risk vector according to the elements of the risk relation matrix. The Risk Relation Matrix V is decomposed into eigenvectors and eigenvalues according to V = E · › · E ', where E is a set of eigenvectors of the risk matrix V in columns, › is the corresponding diagonal eigenvalue matrix, and E ' is the transpose of E . Components of each of the risk vectors are derived in the basis of unit independent risks by the corresponding row of the matrix product E · › 1/2 relating to each of the assets. An output unit (140) is arranged to output the components of each of the risk vectors as a risk vector data set onto a tangible computer-readable recording medium.
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