| 摘要 |
PROBLEM TO BE SOLVED: To obtain a good return by managing a credit risk such as a risk of a failure to pay a financial debt and a risk of price variation while taking into consideration the correlation between variation in the credit power of an enterprise and trend of the market. SOLUTION: A debenture portfolio optimizing method includes a step 10 for receiving debenture market data and debenture brand data, a credit rating variation distribution calculation step 20 for calculating a variation distribution of credit rating in future according to the debenture market data and debenture brand data, a step for receiving a collection rate in case of bankruptcy, a spread period structure calculation step 40 for calculating spread period structures by credit rating in future according to a credit rating transition probability matrix, the bankruptcy rate, returns on national bonds in future and the collection rate in case of bankruptcy, and a risk minimizing step 50 for calculating a combination of credits minimizing risks in future according to the future variation distribution of credit grades and the spread period structures by the credit rating. |
