Method and apparatus for calculating credit risk of portfolio
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United States of America Patent
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Dec 1, 2009
Grant Date -
Jan 1, 2009
app pub date -
Jun 24, 2008
filing date -
Jun 28, 2007
priority date (Note) -
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status (Latency Note)
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Abstract
The risk measures of a portfolio are calculated with speed. Concerning a loss for each of the sectors to which the companies constituting the portfolio belong, the Laplace transform of a conditional probability distribution in which factors affecting management indexes are respective values is calculated in advance and stored in a storage unit as data. The stored data is retrieved as an approximate value and used when a numerical calculation of an integral is performed, to perform the integration. Consequently, as it becomes possible to quickly calculate the Laplace transform of a density function and a distribution function, it is possible to calculate the density function and the distribution function by Laplace inversion and calculate the risk measures of the portfolio.
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