MODEL SUPPLY SYSTEM FOR RISK MANAGEMENT METHOD OF MONETARY PROPERTY

摘要

PROBLEM TO BE SOLVED: To reduce burden on trial and error when the system of VaR calculation is newly introduced by inputting a parameter and a setting condition, which are necessary at the time of calculating a value at risk (VaR) and calculating plural piece of sensitive degree data on propoerty from possessed property data. SOLUTION: When market data 13, possessed property data 14 and a user setting condition 15 are inputted, a VaR calculation processor 11 outputs VaR data 16 where a maximum predicted loss that property containing monetary derivative products such as futures and options, which monetary facilities possess, receive at constant probability during a possessing period is statistically displayed. When real gain and loss data 17 and VaR data 16 are inputted, a verification processor 12 outputs verification result data 18. Thus, models for AvR calculation peculiar to the monetary facilities is automatically selected only by setting the parameter which requires examination as an input condition.