BOND INVESTMENT ANALYSIS/CREDIT RISK QUANTITATIVE ANALYSIS SYSTEM

摘要

PPROBLEM TO BE SOLVED: To provide a system capable of measuring the term structure of bankruptcy probability by the sort as the combination of the term structure of bankruptcy probability, rating, and categories of business of bond issuing companies, and recovery rate for each rating, and grasping theoretical price (average price) and expected loss amount (credit spread) of bonds issued by the companies in fields related to investment analysis/financial commodities, and credit risk evaluation/management. PSOLUTION: This system comprises a data storage means to store price data of government and corporate bonds, attribute data of the government and corporate bonds for each name, data of the categories of business of corporate bond issuing companies, and data of financial attributes of the corporate bond issuing companies, a calculation condition designating means, and an operation means to determine bond investment analysis or credit risk measuring analysis based on data inputted from the data storage means in accordance with calculation conditions designated by the calculation condition designating means. The operation means is provided with a bond theoretical price operating means to operate bond theoretical prices of each name, and an expected loss amount operating means to operate an expected loss amount for each name. PCOPYRIGHT: (C)2004,JPO