| 摘要 |
PROBLEM TO BE SOLVED: To determine VaR and the like quickly in analytical approximation in an MTM method.SOLUTION: An information processing apparatus includes: a rating threshold calculating unit obtaining a probability pof transition from a rating s stored in a memory device to a rating k and calculating a rating threshold θat which the rating of an obligor i becomes a rating r or lower on the basis of the obtained p; a conditional probability calculating unit obtaining a constant aof each obligor i stored in the memory device and calculating a probability ps(z) that the rating of the obligor i becomes the rating r or lower under a condition that z is fixed on the basis of the obtained a, z calculated in the z calculating unit, and the θcalculated in the rating threshold calculating unit; and a wcalculating unit calculating a difference win exposure value between adjacent ratings of the obligor i on the basis of an exposure value Vupon transition from a current rating of the obligor stored in the memory device, to the rating r. |
