| 摘要 |
<P>PROBLEM TO BE SOLVED: To calculate the risk measures of a portfolio at high speed. <P>SOLUTION: Concerning a loss for each of sectors to which companies constituting the portfolio belong, the Laplace transform of a conditional probability distribution in which factors affecting management indexes are respective values is calculated in advance and stored in a storage unit as data. The stored data is retrieved as an approximate value and used when a numerical calculation of an integral is performed, to perform the integration. Consequently, as it becomes possible to quickly calculate the Laplace transform of a density function and a distribution function, it is possible to calculate the density function and the distribution function by Laplace inversion and calculate the risk measures of the portfolio. <P>COPYRIGHT: (C)2009,JPO&INPIT |
