Bond issuer creditworthiness calculation system and calculation program of

摘要

PROBLEM TO BE SOLVED: To provide a technique capable of calculating the creditworthiness of an issuer on the basis of the market prices of bonds.;SOLUTION: The system 10 for calculating the creditworthiness of a bond issuer includes an input device 12 for inputting spreads that show current maturities related to one or a plurality of bonds belonging to a particular issuer and a difference between the yield of each of the bonds and the yield of a government bond; a spread/attribute information registering part 14 for storing the inputted information in a spread/attribute information storage part 16; and a computing process part 18 for implementing a process for creating a spread curve through a variety of interpolations in accordance with the number of kinds of bonds belonging to the issuer and with the distribution of the current maturities, a process for extracting a spread on the spread curve at a particular point of time and converting the spread into a discount bond-based spread, and a process for calculating the probability of cumulative defaults of the issuer up to the particular point of time by substituting the discount bond-based spread into a predetermined formula.;COPYRIGHT: (C)2006,JPO&NCIPI