摘要 |
<P>PROBLEM TO BE SOLVED: To solve a problem wherein an example of a conventional technology used for credit risk calculation most practically is a KMV model, future asset value or volatility of the asset is determined based on the stock price and volatility of the stock price, distance (distance-to-default) between the future asset value and default of an obligation is calculated, and the credit risk is measured in this KMV model, the detail of the model is not clarified, especially the future asset value or the asset volatility are variables that cannot be observed in a market, and the calculation is difficult. <P>SOLUTION: In this invention using a stock option transaction (exchange option transaction), all of the variables can be specified or observed in the market, so that there is no unknown quantity. Therefore, calculation is easy, and it can be used in the practical business. <P>COPYRIGHT: (C)2008,JPO&INPIT |