CREDIT RISK CALCULATION DEVICE AND CREDIT RISK CALCULATION METHOD

摘要

PROBLEM TO BE SOLVED: To calculate a default rate with high estimation accuracy as one of credit risks.

SOLUTION: The credit risk calculation device which calculates a default rate 28 of a customer as one of credit risks based on a financial value 12 of the customer comprises a derivation value calculation part 36 which substitutes the financial value 12 to a derivation equation 16 to calculate a derivation value 14; an explanatory variable selection part 38 which selects an explanatory variable value 24 in a generalized linear model based on a selecting flag string 20 from the financial value 12 and the derivation value 14; and a default rate estimation part 42 which calculates the default rate 28 from the selected explanatory variable value 24 in estimation and a factor 26 related to the explanatory variable value 24 in the generalized linear model.

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