| 摘要 |
PROBLEM TO BE SOLVED: To provide technology for measuring the credit risk of a portfolio when a specific credit event occurs. SOLUTION: The credit risk of the portfolio consisting assets varying in value in response to the occurrence of plural credit events is measured. Firstly, specification is received as to the occurring credit events (step 0101), random- number vectors whose elements correspond to the credit events are generated (step 0103), and the occurrence probabilities of the credit events corresponding to the elements of the generated random-number vectors are compared to decide whether the credit events will occur in the future (step 0104); and the probability distribution and statistic value of the credit risk of the portfolio are calculated (step 0106) through Monte Carlo simulation which repeats several times the trial of the addition of variation in asset value due to the occurrence of each credit event to the credit risk of the portfolio. |
