System for computing probability distribution of loan losses

摘要

A system for computing probability distribution of loan losses includes a loan amount and bankruptcy probability input device for inputting loan amounts and bankruptcy probabilities of individual loan customers, a characteristic function calculating device for calculating a characteristic function from these loan amounts and bankruptcy probabilities. A probability distribution calculating device calculates probability distribution by Fourier transform inversion of the characteristic function, and a probability distribution output device outputs the calculated probability distribution as a graph through a printer.