SYSTEM AND METHOD FOR ESTIMATING PRICE OF RISKY ASSETS BY USING REDUCED-FORM MODEL

摘要

PURPOSE: A system and a method for estimating a value of risk assets using a contraction model are provided to increase a credibility of estimation by estimating interest rates of the risk assets considering simultaneously a variable process of interest rates and an accrual probability variable process of cash flows. CONSTITUTION: A bond distribution database(D100) and a bond issuing information database(D200) stores information(assessment information observed by market) related to many bonds for estimating an anticipated bond(bond for assessment) value. A general model result database(D250) stores an estimated result of a less risk bond value using a general model. A contraction model result database(D300) stores a result by a contraction model. A temporary storage(D400) stores a temporary result calculating in an assets value estimating unit(5). An input unit(1) inputs a lot of external variable used in the assets value estimating unit(5) in order to estimate the value. The input unit(1) inputs the assessment information acquired from the market to the bond distribution database(D100) and the bond issuing information database(D200) and stores it. An output unit(3) outputs the assessment result in the form for being recognized by a system user and includes a printer and a display.