CREDIT EXPOSURE LIMIT MANAGEMENT METHOD AND SYSTEM

摘要

PURPOSE: A credit limit management method and a system thereof are provided to handle the whole loan of a financial institution as a random variable which is changed corresponding to an asset value, thereby finally calculating a credit limit level. CONSTITUTION: An asset value and asset value variability are estimated by a central processing unit(S200). Asset value distribution is determined from the estimated asset value and asset value variability(S300). A credit limit including a proper limit, a maximum limit one, and a maximum limit second is calculated from the asset value distribution(S400). A credit limit level is calculated based on the credit limit(S500). [Reference numerals] (AA) Start; (BB) End; (S100) Receiving related basic information; (S210) Listed company?; (S230) Black-scholes model; (S250) Asset value rarity shape; (S300) Asset value distribution determination; (S400) Calculating credit limit amount; (S500) Calculating credit limit level