MARKET RISK CALCULATING DEVICE, MARKET RISK CALCULATING METHOD, AND RECORDING MEDIUM

摘要

PROBLEM TO BE SOLVED: To provide a calculating technology for market risk by a risk point method using a facility and data installed in every financial institution.;SOLUTION: This market risk calculating device for calculating market risk of the financial institution provided with a parameter input means for inputting a calculation condition of a value-at-risk, a market data input means for inputting market data related to a market risk factor, a correlation coefficient input means for inputting a correlation coefficient, a trade data input means for inputting a trade data of the financial institution, a value at risk calculating means for calculating a value-at-risk of the financial institution using the inputted calculation condition and data, a total value-at-risk calculating means for calculating a total value-at-risk using the correlation coefficient, a period profit and loss risk calculating means for calculating a period profit and loss risk of the financial institution using the data, and an output means for outputting the calculated value-at-risk and period profit and loss risk.;COPYRIGHT: (C)2002,JPO