Of financial instruments or insurance products using a copula function price computing device and its program

摘要

PPROBLEM TO BE SOLVED: To provide a method for calculating the cost of financial product or insurance product with a plurality of risks by taking into account the correlation of an occurrence strength of a plurality of risk reference units belonging to respective risks. PSOLUTION: The method 40 for calculating the cost of product with a plurality of risks comprises: an occurrence strength (default strength) calculation step 10 in which an operating means calculates the occurrence strength of contingency in each risk reference unit; an occurrence correlation parameter calculation step 20 in which the operating means calculates an occurrence (credit worthiness) correlation parameter showing a correlation between occurrence strengths about a different risk reference unit; an occurrence strength (credit worthiness correlation default strength) calculation step 30 in which the operating means calculates an occurrence correlation strength representing a correction of occurrence strengths between the risk reference units; and a cost calculation step in which the operating means calculates the cost the product (basket type credit derivative) with a plurality of risks. PCOPYRIGHT: (C)2003,JPO