| 摘要 |
PROBLEM TO BE SOLVED: To provide a technique for clarifying a profit fluctuation complying with an interest fluctuation. SOLUTION: When balances of respective ALM(Asset and Liability Management) items are divided by the total balance, a balance constitution ratio is calculated. An interest fluctuation of each ALM item is calculated, and a ratio of this to a margin of fluctuation of a reference interest such as an official rate and an NCD is set to be an interest fluctuation rate. All of interest rotation duration values of the respective ALM items are maintained as data or in the form of algebraic logic (unit: month). From the interest rotation duration and the interest fluctuation rate, an interest fluctuation product number can be found, and when it is multiplied by the balance constitution ratio, a profit and loss fluctuation point is calculated. As to this profit and loss point, one point means an interest fluctuation amount of one yen per a principal of ten thousands yen when the official rate fluctuates by 1%. A difference of a total of the profit and loss fluctuation point between assets and debts is used as an interest risk point. When the interest risk point is multiplied by a ten-thousandth of a total asset balance and then multiplied by the fluctuation width of the official rate or the NCD, a risk amount is found. |
