| 摘要 |
PROBLEM TO BE SOLVED: To provide a measurement system to be utilized for the basic measurement of a credit risk measurement system, a credit derivative evaluation system, etc., in a financial institution or the like and capable of accurately measuring the period structure of bankruptcy probability of enterprises and a recovery rate in each rating by inputting the price and attribute information of a corporate debenture and that of a national bond and business category information. SOLUTION: The period structure of bankruptcy probability of issuing enterprises classified into each combined category of rating and a business category, a recovery rate in each rating of issuing enterprises, the period structure of bankruptcy probability of each raked category, the period structure of bankruptcy of each business category and the period structure of bankruptcy probability of each individual enterprise are measured on the basis of the prices of national bonds and corporate debentures, the attributes of the national bonds and the attributes (including rating) of the corporate debentures and relation with the attributes of issuing enterprises included in a plurality of business categories. |
