SCENARIO RETRIEVAL PROCESSING METHOD IN RISK ANALYSIS OF FINANCIAL ASSETS

摘要

PROBLEM TO BE SOLVED: To retrieve a scenario for actualizing a maximum loss amount without putting burdens accompanying trials and errors by preparing data for indicating the correspondence of the plural scenarios set beforehand and profit-and-loss amounts. SOLUTION: A value-at-risk calculation part 101 calculates a value at risk for each probability by a percent and stores it in a value-at-risk result storage part 114. In a scenario simulation calculation part 102, provided with assets data stored in a possessed assets data storage device 111 and scenario data stored in a scenario data storage device 113 are read and the profit and loss of an interest swap are calculated for the respective scenario data and stored in a scenario simulation result storage part 115. A scenario retrieval part 103 uses the set of the data and retrieves the scenario for actualizing a loss amount expressed by the value at risk calculated previously for financial assets under each probability.