DEPOSIT/LOAN BALANCE DEGRADATION RISK EVALUATION SYSTEM AND METHOD, COMPUTER PROGRAM, AND PROGRAM RECORDING MEDIUM

摘要

PPROBLEM TO BE SOLVED: To more accurately evaluate a risk of deposit/loan balance degradation by increasing the accuracy of estimation of a probability distribution of fluctuations in a financial institution's deposits and loans. PSOLUTION: According to past data on deposit/loan amounts stored in a deposit/loan database 30, an observation data acquisition part 32 generates observation data on deposit/loan fluctuations. According to the observation data on deposit/loan fluctuations, on the assumption that the probability distribution of deposit/loan fluctuations is expressed by a linear sum (normal mixed distribution) of two-dimensional normal distributions, a distribution estimation part 34 decides a mean vector, a variance-covariance matrix and a weighting factor of each normal distribution by an EM method. According to the distribution estimation results stored in a distribution estimation result file 44, a deposit/loan balance simulation part 40 evaluates a deposit/loan balance degradation amount by a Monte Carlo simulation method. PCOPYRIGHT: (C)2005,JPO&NCIPI