首页> 外国专利> (1) CALCULATION OF CREDIT RISK FROM STOCK PRICE, (2) CALCULATION OF THEORETICAL VALUE FOR EXCHANGING STOCK FOR BOND, (3) CALCULATION OF THEORETICAL VALUE FOR EXCHANGING STOCK PRICE INDEX SUCH AS NIKKEI AVERAGE FOR BOND PRICE (INTEREST RATE), (4) CALCULATION OF THEORETICAL VALUE FOR EXCHANGING CURRENT EXCHANGE RATE FOR BOND PRICE (INTEREST RATE)

(1) CALCULATION OF CREDIT RISK FROM STOCK PRICE, (2) CALCULATION OF THEORETICAL VALUE FOR EXCHANGING STOCK FOR BOND, (3) CALCULATION OF THEORETICAL VALUE FOR EXCHANGING STOCK PRICE INDEX SUCH AS NIKKEI AVERAGE FOR BOND PRICE (INTEREST RATE), (4) CALCULATION OF THEORETICAL VALUE FOR EXCHANGING CURRENT EXCHANGE RATE FOR BOND PRICE (INTEREST RATE)

机译:(1)计算来自股票价格的信用风险,(2)计算用于交换股票的理论价值,(3)计算用于交换股票价格指数的理论价值(如日经平均价格)(利率),(4 ()交换债券现行汇率的理论值的计算(利率)

摘要

PROBLEM TO BE SOLVED: To solve a problem wherein an example of a conventional technology used for credit risk calculation most practically is a KMV model, future asset value or volatility of the asset is determined based on the stock price and volatility of the stock price, distance (distance-to-default) between the future asset value and default of an obligation is calculated, and the credit risk is measured in this KMV model, the detail of the model is not clarified, especially the future asset value or the asset volatility are variables that cannot be observed in a market, and the calculation is difficult.;SOLUTION: In this invention using a stock option transaction (exchange option transaction), all of the variables can be specified or observed in the market, so that there is no unknown quantity. Therefore, calculation is easy, and it can be used in the practical business.;COPYRIGHT: (C)2008,JPO&INPIT
机译:要解决的问题:要解决一个问题,其中最实际用于信用风险计算的传统技术的一个例子是KMV模型,则根据股票价格和股票价格的波动性来确定资产的未来资产价值或波动性,在此KMV模型中,计算了期货资产价值与债务违约之间的距离(至违约的距离),并测量了信用风险,该模型的细节尚未明确,尤其是未来资产价值或资产波动性是在市场中无法观察到的变量,并且计算很困难。解决方案:在本发明中,使用股票期权交易(交换期权交易),所有变量都可以在市场中指定或观察到,因此存在没有未知数量。因此,计算很容易,并且可以在实际业务中使用。;版权所有:(C)2008,JPO&INPIT

著录项

  • 公开/公告号JP2008159012A

    专利类型

  • 公开/公告日2008-07-10

    原文格式PDF

  • 申请/专利权人 ISHII HITOSHI;

    申请/专利号JP20070026135

  • 发明设计人 ISHII HITOSHI;

    申请日2007-01-09

  • 分类号G06Q40;

  • 国家 JP

  • 入库时间 2022-08-21 20:23:21

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