| 摘要 |
A numerical modelling apparatus and method of performing numerical modelling are described. An input unit receives signals giving information relating to a set of assets. A processor unit 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·Λ·E′, where E is a set of eigenvectors of the risk matrix v in columns, Λ 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·Λ1/2 relating to each of the assets. An output unit 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.
|
