| 摘要 |
PROBLEM TO BE SOLVED: To provide a financial product evaluation system capable of efficiently evaluating complexity of a financial product with high precision. SOLUTION: In this financial product evaluation system 1, after a general financial product determined to have high similarity is selected on the basis of a correlation coefficient, arithmetic processing for incorporating the general financial product into a portfolio at a proper incorporation ratio is repeated until a static hedge position with a desired precision is realized. From at least the number, sort, or incorporation ratio of the general financial product included in the constructed portfolio, complexity of a specific financial product is evaluated. Therefore, the portfolio realizing the static hedge position to the specific financial product can be efficiently and precisely constructed, and consequently, complexity of the specific financial product can be evaluated efficiently with high precision. |
