Method and apparatus for calculating credit risk of portfolio

摘要

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.