Data processing system for performing risk analysis of portfolio, simulates realization of risk factors by using calibrated correlation matrix, calibration values of parameters, risk mapping function and portfolio data

摘要

A simulation unit simulates realization of risk factors by using the calibrated correlation matrix, calibration values of the parameters, risk mapping function and the portfolio data. An output unit outputs the simulation data in the form of risk measure or a price. An independent claim is also included for data processing method.