JP4240588B2 - Risk calculation method and apparatus, and storage medium storing risk calculation program - Google Patents

Description

[0001]
BACKGROUND OF THE INVENTION
The present invention creates a market value (interest rate scenario) that changes under the variance / covariance obtained from historical data by a financial institution, and uses this to generate portfolio value fluctuations, thereby enabling value-at- Risk (risk index that stochastically represents the maximum loss that can occur in the portfolio with a certain probability during the holding period) and Earning at Risk (expected value and probability distribution of expected period profit / loss expected to be realized in the future) The present invention relates to a method and an apparatus for implementing a risk calculation method for calculating () and a storage medium storing a program for executing the method.
[0002]
[Prior art]
Traditionally, financial institutions calculate value-at-risk using the risk metrics method published by JPMorgan, or calculate value-at-risk and earning-at-risk using Monte Carlo simulation. . The calculation method of valuation at risk by Monte Carlo simulation is Tomita: “Financial Monte Carlo”, published by Modern Sales, May 14, 1996. The calculation method of Earning at Risk is Okubo: “Earning at Risk”.・ Risk ”, financial and financial situation study group, published May 26, 1997.
[0003]
[Problems to be solved by the invention]
There is a problem that there is a risk (non-linear risk) that cannot be grasped in the calculation of the value-at-risk by the above-described risk metrics method. In addition, value-at-risk and earning-at-risk calculated by Monte Carlo simulation can identify risks (non-linear risks) that cannot be grasped by risk metrics, and increase the number of targeted assets. On the other hand, while the calculation amount increases exponentially in other calculation methods, it increases only proportionally and is efficient. However, there is no description on a method for calculating value at risk or earning at risk using Monte Carlo simulation. In addition, Monte Carlo simulation has a problem that it takes a lot of time.
[0004]
An object of the present invention is to provide a calculation method and apparatus for calculating a value at risk and an earning at risk at high speed by calculating by Monte Carlo simulation, and a storage medium implementing the present invention. .
[0005]
[Means for Solving the Problems]
In order to achieve the above object, the present invention includes a detail DB in which detailed information of each item (ordinary deposit, funding period, etc.) traded at a financial institution is stored, and each item already created by the user The interest rate scenario DB that stores the item interest rate scenario DB that stores the monthly forecast of the future interest rate and the discount rate that is used to calculate the present value Suppose already given. Based on the information in the detail DB in the banking DB creation program, grasp the date and time for reviewing the future interest rate (hereinafter referred to as the rate change date), and apply the interest rate corresponding to the rate change date in the item interest rate scenario DB To do. Then, a market is created and stored in the market DB. The market price before the interest rate scenario change is calculated from the information in the market DB and the information on the interest rate scenario by the VAR / EAR calculation program, and stored in the simulation result DB.
[0006]
In the interest rate path creation program, subject interest rate scenarios and interest rate scenarios for the number of simulations specified by the user are created and stored in the work area. After that, based on the interest rate scenario stored in the work area in the VAR / EAR calculation program, the interest rate scenario, and the information stored in the market DB, the market after the interest rate scenario change is created, and the market price after the interest rate scenario change is calculated. . Thereafter, the statistical calculation is performed using the market price before the interest rate scenario change and the market price after the interest rate scenario change, and the result is stored in the simulation result DB.
[0007]
As a result, value-at-risk and earning-at-risk calculated by Monte Carlo simulation can be used to identify risks (non-linear risks) that cannot be grasped by risk metrics, and against the increase in the number of target assets. The calculation amount increases exponentially in other calculation methods, but increases only proportionally, and is efficient.
[0008]
The present invention also provides a method for realizing a Monte Carlo simulation that improves the processing speed while maintaining the calculation accuracy in carrying out the above method.
[0009]
Based on the information in the detail DB in the banking DB program, grasp the date (renewal date) for reviewing the future interest rate, and apply the interest rate corresponding to the repricing date in the item interest rate scenario DB. After that, a bank is created, and those with the same renewal date are collected and stored in the bank DB (the bank DB according to the monthly rate change). The market price before the interest rate scenario change is calculated from the information in the market DB and the information on the interest rate scenario by the VAR / EAR calculation program, and stored in the simulation result DB.
[0010]
In the interest rate path creation program, subject interest rate scenarios and interest rate scenarios for the number of simulations specified by the user are created and stored in the work area. Then, after the interest rate scenario changes, the rate of interest rate scenario and interest rate scenario stored in the work area in the VAR / EAR calculation program, and the information stored in the rate DB (Rate Change Monthly DB) And calculate the market price after the interest rate scenario changes. Thereafter, the statistical calculation is performed using the market price before the interest rate scenario change and the market price after the interest rate scenario change, and the result is stored in the simulation result DB.
[0011]
Thereby, it is possible to realize a Monte Carlo simulation that maintains the calculation accuracy and improves the processing speed.
[0012]
DETAILED DESCRIPTION OF THE INVENTION
The Monte Carlo simulation realization method of the first embodiment to which the present invention is applied will be described below with reference to FIG.
[0013]
The Monte Carlo simulation to which the present invention is applied stores a display 100, a keyboard 101, a central processing unit (CPU) 102, a CD-ROM driver 120, a detail DB 103, a subject interest rate scenario DB 104, an execution DB 105, an interest rate scenario DB 106, and a simulation result DB 107. And a main memory 110. A CPU 102, a CD-ROM driver 120, a storage device 105, and a main memory 110 are connected to the bus 109.
[0014]
The main memory 110 stores a control program 111, a market DB creation program 112, an interest rate path creation program 112, a VAR / EAR calculation program 114, and a work area 115. The growth DB creation program 112, the interest rate path creation program 113, and the VAR / EAR calculation program 114 are stored in a portable storage medium such as a CD-ROM or a floppy disk, and are stored in the storage device 108 at the time of installation. The startup DB creation program 112, the interest rate path creation program 113, and the VAR / EAR calculation program 114 are read from the storage device 108 by the control program 111 and stored in the memory 110 when the device is activated.
[0015]
The growth DB creation program, the interest rate path creation program 113 and the VAR / EAR calculation program 114 are executed by the CPU 102 in response to an instruction from the keyboard 101 by the user.
[0016]
FIG. 3 shows an example of the detailed configuration of the information in the detail DB 103 stored in the storage device 108. The detailed information of each item (ordinary deposit, funding period, etc.) already traded at a financial institution or the like is shown. It is assumed that it is given as a specification DB.
[0017]
Management store name 301 which is information of the branch where the transaction was performed, customer name 302 which is the information of the customer who performed the transaction, transaction number 303 which is assigned to the transaction unit of each branch, and details of the item (ordinary deposit) Account code 304, which is information to be aggregated in a funding period, etc., reference date 305, which is information about when the detailed information is, deposit date 306 on which the customer made a transaction, maturity date of the transaction About the regular date 307, which is the information of the contract, the contracted interest rate 308, which is the interest rate information given to the customer by the financial institution, the partition rate 309, which is the inter-branch interest rate attached inside the financial institution (the sales office and the headquarters), Contracted interest rate review cycle 310, which is information on the cycle (period) for reviewing the interest rate of variable items (periodic fluctuation, variable loan, etc.), current balance 311 which is the current balance of each item, whether transaction details are fixed or variable Ah Kano information at a fixed and variable segment 312, interest payment cycle 313 is stored is information interest payments cycle interest (period).
[0018]
The detail DB 103 becomes input data for creating the market DB 105 by the market DB creation program 112.
[0019]
FIG. 4 shows an example of a detailed configuration of information in the subject interest rate scenario DB 104 stored in the storage device 108, and a scenario in which the future interest rate for each subject is predicted in units of months. Is already created and given by the user.
[0020]
Course code 401 which is information corresponding to the course name, course interest rate scenario corresponding to new transaction (currently owned assets and liabilities will decrease in the future. The new interest category 402, which is information on whether or not the subject interest rate scenario falls under the category), the year 403, which is information on the subject interest rate scenario for each year, and the future for each subject Customer rates 404, 406, 408, 410, 412, 414, 416, 418, 420, 422, 424, which is information of customer's customer rate (transaction rate with customer, usually contract rate) 426, partition rates 405, 407, 409, and 411, which are information on future partition rates for each subject (a rate for partitioning the inside of the bank separately from the actual customer rate). 413,415,417,419,421,423,425,427 are stored.
[0021]
The subject interest rate scenario DB 104 is input data for creating the market DB 105 by the market DB creation program 112.
[0022]
FIG. 5 shows an example of a detailed configuration of information in the market DB 105 stored in the storage device 108, which is created by the market DB creation program 112 with the detail DB 103 and the subject interest rate scenario 104 as inputs.
[0023]
Course code 501 which is information corresponding to the course name, fixed / variable category 502 which is information of fixed course or variable course, cash flow generated by the year (written by Sumitomo Trust and Banking, Derivative Keywords 250, Financial Fiscal Situation Study Group, P103, refer to July 18, 1995), fiscal year 503, reference date 504, which is information on when detailed information was collected by repricing month, and future Renewal date 505 which is information on when the interest rate renewal (interest rate review) is performed, principal cash flows 506, 509, 512, 515, 518, 521, 524 which are principal cash flow information 527, 530, 533, 536, 539, interest-bearing cash flow information 507, 510, 513, which is cash flow information for interest. 16, 519, 522, 525, 528, 531, 534, 537, 540, partition interest cash flow 508, 511, 514, 517, 520, 523, 526, 529, 532, which is cash flow information of partition interest, 535, 538, and 541 are stored.
[0024]
The success DB 105 is input data for creating a simulation result DB by the VAR / EAR calculation program 113.
[0025]
FIG. 6 shows an example of a detailed configuration of information in the interest rate scenario DB 106 stored in the storage device 108, and a discount rate used when calculating the present value has already been created and given by the user. Shall.
[0026]
Year 601 which is information on how many years it is, discount factor for each month (referred to by Sumitomo Trust & Banking, Department of Market Finance, Derivative Keywords 250, Financial and Finance Situation Study Group, P244-245, July 18, 1995) DF rates 602, 603, 604, 605, 606, 607, 608, 609, 610, 611, 612, and 613 are stored.
[0027]
This interest rate scenario DB 106 becomes input data for creating the simulation result DB 107 by the VAR / EAR calculation program 114.
[0028]
FIG. 7 shows an example of the detailed configuration of the information in the simulation result DB 107 stored in the storage device 108. The interest rate scenario and the subject interest rate created by the market DB 105, the interest rate scenario DB 106, and the interest rate path creation program 112. Created by the VAR / EAR calculation program 113 with the scenario as an input.
[0029]
Course code 701, which is information corresponding to the course name, Consultation / partition classification 702, which is information about whether to consult or partition, and the value of the market price before the interest rate fluctuates (reassessment of cash flows based on the interest rate situation) The market price before interest rate change 703, the average value of the market price after the interest rate change, the expected value 704 of the market price after the change in market price, and the market price change standard deviation 705 which is the standard deviation value of the market price after the interest rate change , The market value change width (3σ left foot) 706 which is the value of the market price of the left foot confidence interval 3σ (σ is a standard deviation), the market price change width (2σ left foot) 707 which is the value of the market price of the left foot confidence interval 2σ, left Market value change width (1.65σ left skirt) 708, which is the value of the market price of the tail confidence interval 1.65σ, Market value change width (3σ right skirt) 709, which is the value of the market price of the right skirt confidence interval 3σ, right heel confidence interval 2σ Market value change width (2σ right foot) 710, right foot confidence Stored is a market value change width (1.65σ left foot) 711 which is a value of the market price in the section 1.65σ.
[0030]
The simulation result DB 107 stores result data calculated by the VAR / EAR calculation program 114.
[0031]
In such a configuration, a process for realizing a Monte Carlo simulation will be described with reference to FIGS.
[0032]
FIG. 2 is a flowchart showing an example of a risk management program to which the risk calculation method of the present invention is applied.
[0033]
First, an outline of the flow will be described. First, in the details extraction step 100, details corresponding to the same subject are extracted from the details DB 103 stored in the storage device.
[0034]
In the course creation step 105 of the subject interest rate scenario (before change), the details of the extracted item and the subject interest rate scenario DB 104 are input, and the course of the subject interest rate scenario (before change) is created by the market DB creation program 112 and stored in the sale DB 105. Do.
[0035]
In the interest rate scenario (before change) market price calculation step 110, the interest rate scenario (before change) is entered in the VAR / EAR calculation program 114 with the execution DB 105 and the interest rate scenario DB 106 created in the step creation scenario 105 (before change) market creation step 105 as inputs. ) The present value is calculated and stored in the simulation result DB 107.
[0036]
In the interest rate pass generation step 115, the control program 111 creates interest rate scenarios (after change) or item rate scenarios (after change) for the number of simulations input from the keyboard 101 by the interest rate pass creation program 113, and in the work area 115 Store.
[0037]
In the fixed / variable determination step 120, the VAR / EAR calculation program 114 determines whether the subject is a fixed subject or a variable subject from the market DB 105 of the created details.
[0038]
In the case of fixed subjects, the interest rate scenario (after change) in the market price calculation step 125, the interest rate scenario (after change) created in the market DB 105 and the interest rate pass generation step 115 is input and the interest rate scenario (in the VAR / EAR calculation program 114) After the change), the market price is calculated and stored in the work area 115.
[0039]
In the case of variable subjects, subject interest rate scenario (after change) market creation step 130, subject to the VAR / EAR calculation program 114 with the subject interest rate scenario (after change) created in the execution DB 105 and interest rate generation step 115 as input. The execution of the interest rate scenario (after change) is calculated, stored in the work area 115, and the interest rate scenario (after change) market price calculation step 125 is executed.
[0040]
In the simulation number determination step 135, the control program 111 is input for the number of simulations input from the keyboard 101, the fixed / variation determination step 120, the interest rate scenario (after change) market price calculation step 125, the subject interest rate scenario (after change) execution creation step 130. The VAR / EAR calculation program 114 determines whether or not the above has been repeated.
[0041]
In the detailed result calculation step 140, the expected value, standard deviation, etc. are calculated using the interest rate scenario (before change) market price, interest rate scenario (after change) market price obtained by the control program 111 being repeated for the number of simulations input from the keyboard 101. It is calculated by the VAR / EAR calculation program 114 and stored in the work area.
[0042]
In the number-of-details determination classification step 145, the VAR / EAR calculation program 114 indicates whether the simulation result calculation step 140 has been repeated from the subject interest rate scenario (before change) execution creation step 105 by the number of details extracted in the detail extraction step 100. To make a decision.
[0043]
Finally, in the simulation result calculation step 150, based on the expected value and standard deviation calculated for each detail in the detailed result calculation step 140, the expected value and standard deviation for each subject in the VAR / EAR calculation program 114 Is calculated and stored in the simulation result DB 107.
[0044]
First, in the detail extraction step 100, the details corresponding to the same subject (ordinary deposit, funding period, etc.) from the detail DB 103 of the storage device 108 are account item codes based on the correspondence between the items and account codes defined in advance by the user. Extract based on 304.
[0045]
After that, in the subject interest rate scenario (before change) execution creation step 105, the base date 305, the deposit date 306, the approximately fixed date 307, the contracted interest rate review cycle 310, the current balance 311 which are information of the extracted detail DB 103, Consultation rates 404, 406, 408, 410, 412, 414, 416, 418, 420, 422, 424, 426 and partition rates 405, 407, 409, 411, 413, 415 of the interim interest payment cycle 313 and the item interest rate scenario DB 104 417, 419, 421, 423, 425, 427 are input, and the market DB creation program 112 calculates the principal cash flow, counter cash flow, and partition cash flow of the subject interest rate scenario (before change). Then, each cash flow of the calculated subject interest rate scenario (before change) is stored in the market DB 105. The subject code corresponding to the account item code is set in the course code 501 of the banking DB 105, the fixed / variable category 312 in the detail DB 103 is set in the fixed / variable category 502, the year in which the cash flow is generated in the year 503, and the base year On the date 504, the base date 305 of the detail DB 103 is changed to the principal cash flows 506, 509, 512, 515, 518, 521, 524, 527, 530, 533, 536, 539 for each month. Interest-bearing interest cash flows 507, 510, 513, 516, 519, 522, 525, 528, 531, 534, 537, 540, partition interest cash flow information・ Flows 508, 511, 514, 517, 520, 523, 526, 529, 5 The 2,535,538,541 stores respective cash flows calculated for Shigeyuki DB 105.
[0046]
Next, in the interest rate scenario (prior to change) market price calculation step 110, the principal, counter and partition cash flows and interest rates in the bank DB 105 created and stored in the item interest rate scenario (prior change) market creation step 105 The present value of the interest rate scenario (before change) is calculated by the VAR / EAR calculation program 114 with the discount factor as information in the scenario DB 106 as an input.
[0047]
Next, in the interest rate path generation step 115, the interest rate path generation program 113 sets the interest rate scenario of the number of simulations input from the keyboard 101 by the control program 111 as a basic model (Masaaki Kijima, “Introduction to Finance Engineering, Part 2” Science Technology P114 to P121, September 14, 1995) and the like, and an interest rate scenario (after change) or a subject interest rate scenario (after change) is created and stored in the work area 115.
[0048]
Next, in the fixed / variable determination step 120, it is determined from the fixed / variable section 502 of the execution DB 105 by the VAR / EAR calculation program 114 whether the extracted details are the fixed subject or the variable subject.
[0049]
If the extracted subject is a fixed subject, the following processing is performed.
[0050]
In the case of fixed subjects, the contracted interest rate 308 and partition rate 309 are already fixed and there is no need to review the interest rate. Therefore, in the interest rate scenario (after change) market price calculation step 125, the year 503 and each month of the market DB 105 Principal cash flows 506, 509, 512, 515, 518, 521, 524, 527, 530, 533, 536, 539, interest-bearing cash flows 507, 510, which are cash flow information for interest 513, 516, 519, 522, 525, 528, 531, 534, 537, 540, partition interest cash flow information 508, 511, 514, 517, 520, 523, 526, 529, 532, 535, 538, 541 and the gold created in the interest rate pass generation step 115 Calculates the current market interest rate scenarios (after change) scenario (after change) as input.
[0051]
Next, processing when the extracted subject is a variable subject will be described.
[0052]
In the case of variable subjects, the interest rate has already been fixed at the contracted interest rate 308 and partition rate 309 at the subject interest rate scenario (after change) market creation step 130, and there is no need to review the interest rate (the interest rate date has not yet arrived) The VAR / EAR calculation program 114 creates cash flows for the item interest rate scenario (after change) separately for the portion where the applicable interest rate has not been finalized due to future renewal (the portion where the interest rate is due). .
[0053]
First, the principal cash flow, counter cash flow, and partition cash flow of the portion where the applicable interest rate is fixed and the interest rate does not need to be revised (the portion where the interest rate has not yet expired) does not change. The principal cash flow, counter cash flow, and partitioning cash flow of the portion that does not need to be reconsidered (interest rate due date) are the deposit date 306 of the detail DB 103, the contracted interest rate review cycle 310, and interim interest payments As can be seen from cycle 313.
[0054]
However, the portion for which the applicable interest rate has not been finalized due to future interest rate renewal (the portion where the interest rate has arrived), that is, the cash flow for other than the cash flow for which the applicable interest rate has been fixed, Monthly interest rate scenario (prior to change) advisory rates 404, 406, 408, 410, 412, 414, 416, 418, 420, 422, 424, 426 and partition rates 405, 407, 409, 411, 413, Reference rates 404, 406, 408, 410, 412, 414, 416, 418, 420, 422, 424, 426 and partitions for 415, 417, 419, 421, 423, 425, 427 and item rate scenarios (after change) Rates 405, 407, 409, 411, 413, 415, 417, 419, 421, 423, Find the ratio of 28,173, creating a cash flow subjects rate scenario (after change) at a ratio calculated in Tai顧 and the partition cash flows and the stored in Shigeyuki DB 105. The month for the future interest rate renewal can be determined from the deposit date 306, the contracted interest rate review cycle 310, and the interim interest payment cycle 313 of the detail DB 103.
[0055]
Then, in the interest rate scenario (after change) market price calculation step 125, the interest rate scenario created in step 115 of the cash flow created in the course creation step 130 of the subject interest rate scenario (after change) (after change) Is input, and the current market price of the interest rate scenario (after change) is calculated by the VAR / EAR calculation program 114.
[0056]
Next, in the simulation number determination step 135, the control program 111 is input for the number of simulations input from the keyboard 101, the fixed / variation determination step 120, the interest rate scenario (after change), the market price calculation step 125, and the item interest rate scenario (after change). The VAR / EAR calculation program 114 determines whether or not the market creation step 130 has been repeated.
[0057]
Next, in the detailed result calculation step 140, the interest rate scenario (after change) market price calculated repeatedly for the number of simulations and the interest rate scenario (before change) market price calculated in the interest rate scenario (before change) market price calculation step 110 are calculated. Used to calculate the expected value of the interest rate scenario (after change), the market price change standard deviation, and the market price change width (3 standard deviations, 2 standard deviations, 1.65 standard deviations).
[0058]
Next, it is determined whether or not the simulation result calculation step 140 is repeated from the item interest rate scenario (before change) execution step 105 by the number of details extracted in the detail extraction step 100 in the detail number determination classification step 145. The determination is made by the calculation program 114.
[0059]
Finally, in the simulation result calculation step 150, whether the subject code extracted in the detail extraction step 100 is the subject code 701 of the simulation result DB 107, and the counter / partition division 702 is a count for the counter cash flow. The information on whether the figure is for the partition cash flow is that the current value of the interest rate scenario (before change) for each item calculated in the interest rate scenario (before change) market value calculation step 110 is the interest rate The expected value 704 of the market price after change is the total of the interest rate scenario (after change) market price calculated by the detail result calculation step 140, and the detail calculated by the statement result calculation step 140 is the market price change standard deviation 705. The sum of the standard deviations for each of the current value changes 706, 707, 708, 709, 710, 711 is The total market value change width for each item calculated in fine result calculating step 140 is calculated by VAR / EAR calculation program 114, and stores.
[0060]
The information in the simulation result DB 107 serves as an index for determining the risk of each financial institution and how to deal with the risk.
[0061]
Hereinafter, a specific example will be described.
[0062]
The details are extracted from the details DB 103 by the details extraction step 100, the details fixed / variable section 312 is fixed, the base date 305 = 1997/7/31, the deposit date 306 = 1997/5/31, and about the regular date 307 = 1999. / 5/31, contracted interest rate 308 = 0.5%, partition rate 309 = 0.8%, current balance 311 = 1,000,000 yen, interim interest payment cycle 313 = 12 months.
[0063]
Item interest rate scenario (before change) execution step 105, the interim interest payment cycle 313 is 12 months, the deposit date 306 is 1997/5/31, and the regular date 307 is 1998/5/31, 1999/5/31 and 1999 Calculates the value of advisory and partition interest cash flows that occur on / 5/31.
[0064]
The value of the advisory and partition cash flow that occurs on 1998/5/31 is interest cash flow from the base date 305, 1997/7/31 to the interim payment date 1998/5/31,
Interest-bearing cash flow = Current balance 311 x Contracted interest rate 308
× (Number of days from base date 305 to interest occurrence date) / 365
= 1,000,000 x 0.5 / 100
× (Days from 1997/7/31 to 1998/5/31) / 365
Dividend interest cash flow = current balance 311 x partition rate 309
× (Number of days from base date 305 to interest occurrence date) / 365
= 1,000,000 x 0.8 / 100
× (Days from 1997/7/31 to 1998/5/31) / 365
And calculated.
[0065]
The value of advisory and partition cash flow that occurs on 1999/5/31 is interest cash flow from the previous interim interest payment date 1998/5/31 to the next interim interest payment date 1999/5/31,
Interest-bearing cash flow = Current balance 311 x Contracted interest rate 308
× (Number of days from the previous interim interest payment date to the next interim interest payment date) / 365
= 1,000,000 x 0.5 / 100
X (days from 1998/5/31 to 1999/5/31) / 365
Dividend interest cash flow = current balance 311 x partition rate 308
× (Number of days from the previous interim interest payment date to the next interim interest payment date) / 365
= 1,000,000 x 0.8 / 100
× (Days from 1998/5/31 to 1999/5/31) / 365
And calculated. Also, principal cash flow 1,000,000 also occurs on 1999/5/31, about the regular date 307.
[0066]
The cash flow information obtained as described above is stored in the banking DB 105.
[0067]
Next, when the details are extracted from the details DB 103 by the details extraction step 100 and the details fixed / variable category 312 is changed, the applicable interest rate is already fixed at the contracted interest rate 308 and the partition rate 309, and it is necessary to review the interest rate. There is no part (the part where the interest rate date has not yet arrived), and there is a part where the applicable interest rate has not been finalized due to future renewal (the portion where the interest date has arrived).
[0068]
First, in the course creation step 105 of the subject interest rate scenario (before change), the principal interest cash flow, the counter cash, Flow and partition cash flow are calculated based on the transaction date base date 305, deposit date 306, contract period 307, contracted interest rate 308, partition rate 309, contracted interest rate review cycle 310, current balance 311 and interim interest payment cycle 313 To do.
[0069]
For example, base date 305 = 1997/7/31, deposit date 306 = 1997/5/31, about regular date 307 = 1999/5/31, contracted interest rate 308 = 0.5%, partition rate 309 = 0. 8%, contracted interest rate review cycle 310 = 12 months, current balance 311 = 1,000,000 yen, and interim interest payment cycle 313 = 12 months. Since the contracted interest rate review cycle 310 is 12 months and the interim interest payment cycle 313 is 12 months, the advisory and partition interest cash flows occurring in 1998/5/31 have been finalized, and are calculated as follows.
[0070]
The value of the advisory and partition cash flow that occurs on 1998/5/31 is interest cash flow from 1997/7/31 of the base date 305 to the interim interest payment date of 1998/5/31.
Interest-bearing cash flow = Current balance 311 x Contracted interest rate 308
× (Number of days from base date 305 to interest occurrence date) / 365
= 1,000,000 x 0.5 / 100
× (Days from 1997/7/31 to 1998/5/31) / 365
Dividend interest cash flow = current balance 311 x partition rate 309
× (Number of days from base date 305 to interest occurrence date) / 365
= 1,000,000 x 0.8 / 100
× (Days from 1997/7/31 to 1998/5/31) / 365
And calculated.
[0071]
Next, in the interest rate scenario (before change) market creation step 105, the principal cash flow, the counter cash flow, and the partition cash of the portion where the applicable interest rate has not been fixed due to future renewal (interest due date) The flow includes a transaction date base date 305, a deposit date 316, an approximately fixed date 307, a contracted interest rate review cycle 310, a current balance 311, an interim interest payment cycle 313, and an account rate 404 of the storage device 32 item interest rate scenario DB 104. , 406, 408, 410, 412, 414, 416, 418, 420, 422, 424, 426 and partition rates 405, 407, 409, 411, 413, 415, 417, 419, 421, 423, 425, 427 To do.
[0072]
For example, in the same way as above, in the case of subjects with variable period, base date 306 = 1997/7/31, deposit date 306 = 1997/5/31, about regular date 307 = 1999/5/31, review of contracted interest rate Cycle 310 = 12 months, current balance 311 = 1,000,000 yen, and intermediate interest payment cycle = 12 months. Advisory and partition interest cash flows generated on 1999/5/31 are calculated from the advisory rate 406 and partition rate 407 of the 1998/5 item interest rate scenario DB 104, where the contracted interest rate review cycle 310 is in the future from 12 months Is done. The counter rate of 1998/5 is 0.6, and the partition rate is 0.9. The value of advisory and partition cash flow generated on 1999/5/31 is interest cash flow from the previous interim payment date 1998/5/31 to the next interim interest payment date 1999/5/31,
Interest-bearing cash flow = Current balance 311 x Advisory rate
× (Number of days from the previous interim interest payment date to the next interim interest payment date) / 365
= 1,000,000 x 0.6 / 100
X (days from 1998/5/31 to 1999/5/31) / 365
Dividend interest cash flow = current balance 311 x partition rate
× (Number of days from the previous interim interest payment date to the next interim interest payment date) / 365
= 1,000,000 x 0.9 / 100
X (days from 1998/5/31 to 1999/5/31) / 365
And calculated. Also, principal cash flow 1,000,000 also occurs on 1999/5/31, about the regular date 307.
[0073]
Thereafter, each calculated cash flow is stored in the market DB 105.
[0074]
In the banking DB105, in the year 503, 1998 was in May of that year, in the counter cash flow 510 in the year, 2,000 was in May, the partition cash flow in 511 was 4,000, and in the year 503, 1999 was in May of that year. Suppose that 3,000 is stored in the counter cash flow 510 and 5,000 is stored in the partition cash flow 511 in May.
[0075]
In addition, 1998 is stored in the interest rate scenario DB 106 in fiscal year 601 with 1998 in discount factor 603 of May of that year, and 1999 in fiscal year 601 is stored in discount factor 603 in May of that year with 99.0. Suppose that
[0076]
Then, in the interest rate scenario (before change) market price calculation step 110, the present value of the interest rate scenario (before change) is calculated as follows.
[0077]
Current value of interest rate scenario (before change) (consideration) =
Year 503 is 1998 May May Cash Flow 510
X Discount factor 603+ in May with year 503 being 1998
Cash flow 510 for May in year 503 in 1999
XFY 503 is 1999 and May discount factor 603 = 2,000 × 99.5 / 100 + 3,000 × 99.0 / 100
Current value of interest rate scenario (before change) (partition) =
Fiscal year 503 is 1998. May partition cash flow 511
X Discount factor 603+ in May with year 503 being 1998
Fiscal year 503 is 1999, May partition cash flow 511
XFY 503 is 1999 and May discount factor 603 = 4,000 × 99.5 / 100 + 5,000 × 99.0 / 100
Thereafter, in an interest rate path generation step 115, an interest rate scenario (after change) or a subject interest rate scenario (after change) is calculated by a method such as the Basick model.
[0078]
In the fixed / variable determination step 120, when the fixed / variable category 502 of the market DB 105 is fixed, the contracted interest rate 308 and the partition rate 309 are already determined, and it is not necessary to review the interest rate. The present value after the fluctuation of the interest rate scenario is calculated by multiplying the cash flow data stored in the market DB 105 by the discount factor of the corresponding interest rate scenario (after the fluctuation).
[0079]
In the banking DB105, in the year 503, 1998 was in May of that year, in the counter cash flow 510 in the year, 2,000 was in May, the partition cash flow in 511 was 4,000, and in the year 503, 1999 was in May of that year. Suppose that 3,000 is stored in the counter cash flow 510 and 5,000 is stored in the partition cash flow 511 in May.
[0080]
In addition, in the interest rate path generation step 115, the interest rate scenario (after change) created by the method such as the Basick model has a discount factor of 99.2 in May 1998 and a discount factor in May of 1999. It is assumed that it is 98.8.
[0081]
Then, the present value of the interest rate scenario (after change) is calculated in the interest rate scenario (after change) market price calculation step 125 as follows.
[0082]
Interest rate scenario (variable rear ) Present value (consideration) =
May 1998 Counter cash flow 510
× Discount factor in May 1998 +
May 1999 Counter Cash Flow 510
× Discount factor for May 1999
= 2,000 × 99.2 / 100 + 3,000 × 98.8 / 100
Interest rate scenario (variable rear ) Present value (partition) =
May 1998 Dividing Cash Flow 511
× Discount factor in May 1998 +
May 1999 Dividing Cash Flow 511
× Discount factor for May 1999
= 4,000 x 99.2 / 100 + 5,000 x 98.8 / 100
In the fixed / variable judgment category 120, the fixed / variable category 502 of the market DB 105 is changed.
In the case of dynamic, the interest rate scenario (after change) has already been executed in the market creation step 130
The applicable interest rate is fixed at interest rate 308 and partition rate 309, and it is necessary to review the interest rate.
The portion that is not necessary (the portion where the interest rate date has not yet arrived) and the applicable interest rate has been finalized due to future renewal
Cash of the subject interest rate scenario (after change) divided into non-parts (interest due date)
Create a new flow.
For example, base date 305 = 1997/7/31, deposit date 306 = 1997 /
5/31, about regular day 307 = 1999/5/31, contracted interest rate 308 = 0.5%,
Partition rate 309 = 0.8%, contracted interest rate review cycle 310 = 12 months, now
Balance 311 = 1,000,000 yen, interim interest payment cycle 313 = 12 months
The Contracted interest rate review cycle 310 is 12 months, interim interest payment cycle 313 is 1
Advisory and partition interest cash flow generated on 1998/5/31 from 2 months
Rho is the part where the applicable interest rate is fixed and it is not necessary to review the interest rate
And the interest and cash generated on 1999/5/31
In the part where the row is fixed by the subject interest rate scenario (after change)
is there.
[0083]
For example, base date 305 = 1997/7/31, deposit date 306 = 1997/5/31, about regular date 307 = 1999/5/31, contracted interest rate 308 = 0.5%, partition rate 309 = 0. 8%, contracted interest rate review cycle 310 = 12 months, current balance 311 = 1,000,000 yen, and interim interest payment cycle 313 = 12 months. Since the contracted interest rate review cycle 310 is 12 months and the interim interest payment cycle 313 is 12 months, there is no need to review the interest rate for the advisory and partition interest cash flows that occur in 1998/5/31 and the interest rate is fixed. This is the portion (interest due date) where the advisory and partition interest cash flows that occur in 1999/5/31 are determined by the item rate scenario (after change).
[0084]
In the banking DB105, in the year 503, 1998 was in May of that year, in the counter cash flow 510 in the year, 2,000 was in May, the partition cash flow in 511 was 4,000, and in the year 503, 1999 was in May 3,000 in the customer cash flow 510 is 5,000 in the partition cash flow 511 in May, 0.6 in the customer rate in the May 1998 1998 item rate scenario DB 104, and 0 in the partition rate. 9 is stored.
[0085]
Also, the interest rate scenario (after change) created in the interest rate path generation step 115 using a method such as the Basick model has a discount factor of 99.2 in May 1998 and a discount factor of 98.8 in May 1999. Suppose that the interest rate scenario (after change) in May 1998 is 0.9 and the partition rate is 1.2.
[0086]
First, in the item interest rate scenario (after change) execution creation step 130, first, the cash flow for the portion of the interest rate due date of the item interest rate scenario (after change) is created as follows.
[0087]
Cash flow in the interest rate scenario (after change) (consideration) =
May 1999 Counter Cash Flow 510
× (Subject interest rate scenario for May 1998 (consideration) (after change)
/ May 1998 subject interest rate scenario (consideration) (before change))
= 3,000 x (0.9 / 0.6)
Cash flow (partition) in the subject interest rate scenario (after change) =
May 1999 Dividing Cash Flow 510
× (Subject interest rate scenario for May 1998 (partition) (after change)
/ May 1998 Subject Interest Rate Scenario (Partition) (Before Change))
= 5,000 x (1.2 / 0.9)
Then, in the interest rate scenario (after change) market price calculation step 125, the present value of the interest rate scenario (after change) is calculated as follows.
[0088]
Current value of interest rate scenario (before change) (consideration) =
May 1998 Counter cash flow 510
× Discount factor in May 1998 +
May 1999 Counter Cash Flow 510
× Discount factor for May 1999
= 2,000 × 99.2 / 100 +
3,000 × (0.9 / 0.6) × 98.8 / 100
Current value of interest rate scenario (before change) (partition) =
May 1998 Dividing Cash Flow 511
× Discount factor in May 1998 +
May 1999 Dividing Cash Flow 511
× Discount factor for May 1999
= 4,000 x 99.2 / 100 +
5,000 × (1.2 / 0.9) × 98.8 / 100
In the simulation number determination step 135, it is determined whether the control program 111 has been repeated for the number of simulations input from the keyboard 101. If it is repeated, the present value of the interest rate scenario (after change) calculated repeatedly for the number of simulations. Using the present value of the interest rate scenario (before the change), in the detailed result calculation step 140, the expected value and standard deviation of the interest rate scenario (after the change), the current value change width (3 standard deviations, 2 standard deviations, 1.65) Standard deviation) is calculated.
[0089]
For example, the current evaluation of the interest rate scenario (after change) when a Monte Carlo simulation is performed three times is assumed to be 1st = α, 2nd = β, 3rd = γ. If the present value of the interest rate scenario (before change) is A, it is calculated as follows.
[0090]
Interest rate scenario (after change) Expected value of market value m = (α + β + γ) / 3
Standard deviation of market value change σ = (((α−A) ^ 2 + ( β -A) ^ 2 +
( γ -A) ^ 2) / 3) ^ 1/2
Market value change width (3σ left foot) = -3σ
Market value change width (2σ left foot) = -2σ
Market value change width (1.65σ left foot) = -1.65σ
Market value change width (3σ right foot) = 3σ
Market value change width (2σ right foot) = 2σ
Market value change width (1.65σ right foot) = 1.65σ
If the number-of-details determination step 145 repeats the processing for the number of details extracted in the detail extraction step 100, the result of the detail unit calculated as described above is calculated for each subject in the simulation result calculation step 150. Aggregate and store in simulation result DB 107.
[0091]
Through the above processing, the risk (non-linear risk) that cannot be grasped by risk metrics is grasped, and the amount of calculation increases exponentially with other calculation methods as the number of target assets increases. On the other hand, it increases only proportionally and is efficient.
[0092]
In the following, the second embodiment will be described. The difference from the first embodiment is that a bank DB (DB for each interest renewal month) in which the interest renewal month is the same for each subject is created in advance. This is where the simulation is performed.
[0093]
FIG. 8 is a flowchart showing a second embodiment of the Monte Carlo simulation when the present invention is applied.
[0094]
First, an outline of the flow will be described. First, in the details extraction step 500, details corresponding to the same subject are extracted from the details DB 103 stored in the storage device.
[0095]
In the fixed / variable determination step 505, a fixed subject or a variable subject is determined by the market DB creation program 112 from the detail DB 103 extracted in the detail extraction step 500.
[0096]
In the case of a fixed subject, at the renewal / monthly DB (fixed) creation step 510, based on the information in the detail DB 103, the growth DB creation program 112 creates a growth DB (DB per renewal / month) 105 Stored in the DB for each renewal month 105).
[0097]
In the case of variable subjects, the contracted interest rate and partition rate have already been confirmed by the market DB creation program 112 based on the information in the detail DB 103 at the rebate monthly DB (variation 1) creation step 515. The market DB (DB for each renewal of renewal) 105 of the portion that does not need to be executed (interest due date) is created and stored in the market DB (DB for each renewal of renewal) 105.
[0098]
Next, at the rate change monthly DB (variation 2) creation step 520, the information in the detail DB 103 and the item interest rate scenario DB 104 are input, and the market DB creation program 112 has reached a future rate change and the applicable interest rate has been fixed. A market DB (DB by rate change month) 105 of a portion not present (interest due date) is created and stored in the market DB (DB by rate change month) 105.
[0099]
In the interest rate scenario (prior change) market price calculation step 525, the above-prepared market DB (DB by rate renewal month) 105 and interest rate scenario DB 106 are input, and the VAR / EAR calculation program 114 executes the item interest rate scenario (change) The previous value is calculated and stored in the simulation result DB 107.
[0100]
In the interest rate path generation step 530, the control program 111 creates the interest rate scenario (after change) or the subject interest rate scenario (after change) for the number of simulations input from the keyboard 101 by the interest rate pass creation program 113 and stores it in the work area 115. Store.
[0101]
Item interest rate scenario (after change) market (by renewal month) creation step 535, with the account rate scenario (after change) created by the execution DB (DB by rate renewal month) 105 and the interest rate pass generation step 530 as inputs, The EAR calculation program 114 calculates the course of the subject interest rate scenario (after change) (by renewal month) and stores it in the work area 115.
[0102]
Item interest rate scenario (after change) Market price calculation step 540, Item interest rate scenario (after change) execution (by renewal month) created in step 535 Item interest rate scenario (after change) execution (by renewal month) and interest rate pass generation Using the interest rate scenario (after change) created in step 530 as an input, the VAR / EAR calculation program 114 calculates the item interest rate scenario (after change) market price and stores it in the work area.
[0103]
In the simulation number determination step 545, the item rate scenario (after change) execution (by renewal month) creation step 535 and the item rate scenario (after change) market price calculation step 540 are performed for the number of simulations input by the control program 111 from the keyboard 101. It is determined by the VAR / EAR calculation program 114 whether or not it has been repeated.
[0104]
In the simulation result calculation step 550, the item interest rate scenario (after change) market value calculation step 540 of the item interest rate scenario (after change) obtained by repeating the control program 111 for the number of simulations input from the keyboard 101 and the item interest rate scenario (change) Previously, the expected value, standard deviation, etc. are calculated by the VAR / EAR calculation program 114 using the item interest rate scenario (before change) in the market price calculation step 525 and stored in the simulation result DB 107.
[0105]
First, in the details extraction step 500, the details corresponding to the same subject (ordinary deposit, funding period, etc.) from the details DB 103 of the storage device 108 are taken into account based on the correspondence between the subject and the account code defined in advance by the user. Extraction is performed based on the account code 304 based on 304.
[0106]
Next, in the fixed / variable category determination step 505, the market DB creation program 112 determines whether the fixed / variable category 312 that is the information of the extracted detail DB 103 is fixed or variable.
[0107]
If the extracted details are fixed subjects, the following processing is performed.
[0108]
In the case of fixed subjects, the contracted interest rate 308 and partition rate 309 have already been determined, and there is no need to review the interest rate. Therefore, at the renewal monthly DB (fixed) creation step 510, the base date 305 of the detail DB 103 , Deposit date 306, contract date 307, contracted interest rate 308, partition rate 309, current balance 311, interim interest payment cycle 313, principal cash flow from the base date, counter cash flow, partition cash flow calculate.
[0109]
After that, all the cash flows generated in the same month and year for the calculated principal cash flow, counter cash flow, and partition cash flow for the same item are added together. Then, each calculated cash flow is stored in the banking DB 105. The subject code corresponding to the account item code is set in the course code 501 of the banking DB 105, the fixed / variable category 312 in the detail DB 103 is set in the fixed / variable category 502, the year in which the cash flow is generated in the year 503, and the base year The base date 305 of the detail DB 103 is indicated on the date 504, the base date 504 is indicated on the renewal date, and the principal cash flows 506, 509, 512, 515, 518 of each month, 521, 524, 527, 530, 533, 536, 539, interest-bearing cash flow information 507, 510, 513, 516, 519, 522, 525, 528, 531, 534, 537, 540, partition interest cash flows 508, 511, 514, 5 which are cash flow information of partition interest The 7,520,523,526,529,532,535,538,541 stores respective cash flow calculated in step 510 to Shigeyuki DB 105.
[0110]
Next, processing when the extracted subject is a variable subject will be described.
[0111]
In the case of variable subjects, the interest rate has already been fixed at the contracted interest rate 308 and the partition rate 309 at the renewal monthly DB (variation 1) creation step 515 (the interest rate date has not yet arrived) And cash flow of the portion where the applicable interest rate has not been finalized due to the future interest rate renewal in the step 520 for creating the monthly renewal rate (variation 2) The market DB is created by the market DB creation program 112 separately.
[0112]
First of all, in the monthly DB (Variation 1) Step 515, the applicable interest rate is fixed and the interest rate does not need to be reconsidered (interest rate unpaid portion). The partition cash flow is calculated from the base date 305 of the transaction details, the deposit date 306, the contract date 307, the contracted interest rate 308, the partition rate 309, the contracted interest rate review cycle 310, the current balance 311 and the interim interest payment cycle 313. .
[0113]
After that, all cash flows generated in the same month and year in the calculated principal cash flow, counter cash flow, and partition cash flow for the same item are added together. Then, each calculated cash flow is stored in the banking DB 105. The subject code 501 is the subject code of the extracted subject, the fixed / variable category 502 is the change, the history 503 is the year in which the cash flow is occurring, and the base date 504 is the detail DB 103. The base date 315, the renewal date 505, the base date 305 of the detail DB 103, the principal cash flows 506, 509, 512, 515, 518, 521 of each month, 524, 527, 530, 533, 536, 539, cash flow for interest on interest 507, 510, 513, 516, 519, 522, 525, 528, 531, 534, 537, 540, cash flow on partition interest 508 In 511, 514, 517, 520, 523, 526, 529, 532, 535, 538, 541, the calculated value is stored in the market DB. To pay.
[0114]
Next, in the DB for Renewal Month (Variation 2) creation program 520, the principal cash flow, counter cash flow, and partitioning cash of the portion where the applicable interest rate has not been fixed due to future renewal (interest due date) The flow includes the reference date 305, the deposit date 316, the approximately fixed date 307, the contracted interest rate review cycle 310, the current balance 311, the interim interest payment cycle 313, and the reference rates 404, 406, and 408 of the item interest rate scenario DB 104 of the detail DB 103 410, 412, 414, 416, 418, 420, 422, 424, 426 and partition rates 405, 407, 409, 411, 413, 415, 417, 419, 421, 423, 425, 427.
[0115]
After that, the interest rate is revised in the same year for the same item calculated, that is, the principal cash flow, counter cash flow, and partitioning cash flow for the same renewal date are added together for each period. Then, each calculated cash flow is stored in the banking DB 105. The subject code 501 is the subject code of the extracted subject, the fixed / variable category 502 is the change, the historical year 503 is the year in which the cash flow is occurring, and the reference date 504 is the detail DB 103 The reference date 305 of the current period, the renewal date 505, the deposit date 306 of the detail DB 103, the date of the interest rate revision determined from the contracted interest rate revision cycle 310, the principal cash flow 506 for each month, 509, 512, 515, 518, 521, 524, 527, 530, 533, 536, 539, cash flow of interest 507, 510, 513, 516, 519, 522, 525, 528, 531, 534, 537 540, cash flow of partition interest 508, 511, 514, 517, 520, 523, 526, 529, 532, 53 , The 538,541 sets the calculated value.
[0116]
The above processing is performed for each subject, and the cash flow due date for renewal of all subjects is created.
[0117]
Next, in the interest rate scenario (before change) market price calculation step 525, the DB (fixed) creation step 510 for the monthly rate change, the DB (variation 1) creation step 515 for the monthly rate change, and the DB (variation 2) creation program for the monthly rate change The BAR / EAR calculation program 114 receives the principal, counter and partition cash flows, and the discount factor that is the information of the interest rate scenario DB 106 in the banking DB 105 created and stored at 520. ) Is calculated and stored in the simulation result DB 107.
[0118]
Next, in the interest rate path generation step 530, the interest rate path creation program 113 causes the control program 111 to generate an interest rate scenario of the number of simulations input from the keyboard 101 by using a technique such as the Vasikek model. A subject interest rate scenario (after change) is created and stored in the work area 115.
[0119]
Next, in the step 535 of creating the subject interest rate scenario (after change) (by renewal month), the renewal month DB (fixed) creation step 510, the renewal month DB (variation 1) creation step 515 and the renewal month DB ( Fluctuation 2) Subject interest rate scenario (after change) using the growth DB created by the creation program 520 (DB by interest rate renewal month), the interest rate scenario (after change) and the silent interest rate scenario DB 104 created at step 530 ) Create a bank (by renewal month).
[0120]
The portion for which the applicable interest rate is fixed and the interest rate does not need to be revised (the portion where the interest rate date has not yet arrived) is the same as the monthly cash flow for the rate renewal before the change in the item interest rate scenario, and no adjustment is necessary.
[0121]
For the portion where the applicable interest rate has not been finalized due to future interest rate renewal (interest rate due portion), the item interest rate scenario of the item interest rate scenario (after change) is applied. This is different from the cash flow by rate renewal month.
[0122]
After the change, the cash flow according to the monthly rate change is a detailed DB 103 such as a monthly DB (fixed) creation step 510, a monthly change DB (variation 1) creation step 515, and a monthly DB (variation 2) creation program 520. Rather than re-creating from the above, the ratio of the account rate scenario (before change) corresponding to the rate change month 505 of the banking DB (DB by rate change month) 103 to the rate scenario (after change) corresponding to the rate change month To create a course of the subject interest rate scenario (after change) (by renewal month).
[0123]
After that, in the interest rate scenario (after change) market price calculation step 540, the interest rate scenario created in the interest rate pass generation step 530 and the growth (by renewal month) created in the item interest rate scenario (after change) execution step 535 After the change), the VAR / EAR calculation program 114 calculates the current market price of the subject interest rate scenario (after the change).
[0124]
Next, in the simulation frequency determination step 545, the control rate 111 is calculated for the number of simulations input from the keyboard 101, the item interest rate scenario (after change) execution (by renewal month) creation step 535, the item interest rate scenario (after change) market price The VAR / EAR calculation program 114 determines whether the calculation step 540 has been repeated.
[0125]
Finally, in the simulation result calculation step 550, whether the subject code extracted in the detail extraction step 500 is the subject code 701 of the simulation result DB 107, and the counter / partition division 702 is a count for the counter cash flow. The information regarding the partition cash flow is that the market value before interest rate fluctuation 703 is the current value of the item interest rate scenario (before change) calculated in the item price scenario (before change) market price calculation step 525. The value 704 is the item interest rate scenario (after change) market value calculation step 540, the item interest rate scenario (after change) market value calculated in the step 540, the value change standard deviation 705 is the item interest rate scenario (before change) market value calculation step 525, the item Using the value calculated in the interest rate scenario (after change) market price calculation step 540, the standard deviation For the market price change widths 706, 707, 708, 709, 710, 711, the values calculated in the item interest rate scenario (before change) market value calculation step 525 and the item interest rate scenario (after change) market value calculation step 540 are used. Stores the market price change width.
[0126]
Hereinafter, a specific example will be described.
[0127]
The details are extracted from the details DB 103 by the details extraction step 500, the details fixed / variable section 312 is fixed, the base date 305 = 1997/7/31, the deposit date 306 = 1997/5/31, and about the regular date 307 = 1999. / 5/31, contracted interest rate 308 = 0.5%, partition rate 309 = 0.8%, current balance 311 = 1,000,000 yen, interim interest payment cycle 313 = 12 months.
[0128]
Interest and partition interest accrued on 1998/5/31 and 1999/5/31 from the interim interest payment cycle 313 for 12 months and the deposit date 306 on 1997/5/31 in the DB (fixed) creation step 510 for the monthly rate change Find the value of cash flow.
[0129]
The value of the advisory and partition cash flow that occurs on 1998/5/31 is interest cash flow from the base date 305, 1997/7/31 to the interim payment date 1998/5/31,
Interest-bearing cash flow = Current balance 311 x Contracted interest rate 308
× (Number of days from base date 305 to interest occurrence date) / 365
= 1,000,000 x 0.5 / 100
× (Days from 1997/7/31 to 1998/5/31) / 365
Dividend interest cash flow = current balance 311 x partition rate 309
× (Number of days from base date 305 to interest occurrence date) / 365
= 1,000,000 x 0.8 / 100
× (Days from 1997/7/31 to 1998/5/31) / 365
And calculated.
[0130]
The value of advisory and partition cash flow that occurs on 1999/5/31 is interest cash flow from the previous interim interest payment date 1998/5/31 to the next interim interest payment date 1999/5/31,
Interest-bearing cash flow = Current balance 311 x Contracted interest rate 308
× (Number of days from the previous interim interest payment date to the next interim interest payment date) / 365
= 1,000,000 x 0.5 / 100
X (days from 1998/5/31 to 1999/5/31) / 365
Dividend interest cash flow = current balance 311 x partition rate 308
× (Number of days from the previous interim interest payment date to the next interim interest payment date) / 365
= 1,000,000 x 0.8 / 100
× (Days from 1998/5/31 to 1999/5/31) / 365
And calculated. Also, principal cash flow 1,000,000 also occurs on 1999/5/31, about the regular date 307.
[0131]
After that, all the cash flows generated in the same year in the principal cash flow, counter cash flow and partition cash flow of the same item calculated in the DB (fixed) creation step 510 by monthly Add together.
[0132]
The cash flow information obtained as described above is stored in the banking DB 105.
[0133]
If the fixed / variable category 312 of the details extracted from the detail DB 103 by the detail extraction step 500 is a change, the applicable interest rate is already fixed at the contracted interest rate 308 and the partition rate 309, and there is no need to review the interest rate ( There is a portion where the interest rate has not yet arrived) and a portion where the applicable interest rate has not yet been finalized due to future renewal (the interest rate due portion).
[0134]
First, in the step 515 for creating the monthly database for rate renewal (variation 1), the principal cash flow of the portion for which the applicable interest rate is fixed and the interest rate does not need to be revised (the portion where the interest rate has not yet expired), Flow and partition cash flow are calculated based on the transaction date base date 305, deposit date 306, contract period 307, contracted interest rate 308, partition rate 309, contracted interest rate review cycle 310, current balance 311 and interim interest payment cycle 313 To do.
[0135]
For example, base date 305 = 1997/7/31, deposit date 306 = 1997/5/31, about regular date 307 = 1999/5/31, contracted interest rate 308 = 0.5%, partition rate 309 = 0. 8%, contracted interest rate review cycle 310 = 12 months, current balance 311 = 1,000,000 yen, and interim interest payment cycle 313 = 12 months. Since the contracted interest rate review cycle 310 is 12 months and the interim interest payment cycle 313 is 12 months, the advisory and partition interest cash flows occurring in 1998/5/31 have been finalized, and are calculated as follows.
[0136]
The value of the advisory and partition cash flow that occurs on 1998/5/31 is interest cash flow from 1997/7/31 of the base date 305 to the interim interest payment date of 1998/5/31.
Interest-bearing cash flow = Current balance 311 x Contracted interest rate 308
× (Number of days from base date 305 to interest occurrence date) / 365
= 1,000,000 x 0.5 / 100
× (Days from 1997/7/31 to 1998/5/31) / 365
Dividend interest cash flow = current balance 311 x partition rate 309
× (Number of days from base date 305 to interest occurrence date) / 365
= 1,000,000 x 0.8 / 100
× (Days from 1997/7/31 to 1998/5/31) / 365
And calculated.
[0137]
Next, at the step 520 for creating a monthly database for rate renewal (variation 2), the principal cash flow, counter cash flow, and partitioning cash for the portion where the applicable interest rate has not been finalized due to future renewal (interest due date) The flow includes the reference date 404 of the transaction details, the deposit date 316, the regular date 307, the contracted interest rate review cycle 310, the current balance 311, the interim interest payment cycle 313, and the subject interest rate scenario DB 104 of the storage device 108. , 406, 408, 410, 412, 414, 416, 418, 420, 422, 424, 426 and partition rates 405, 407, 409, 411, 413, 415, 417, 419, 421, 423, 425, 427 To do.
[0138]
For example, in the same way as above, in the case of subjects with variable period, base date 306 = 1997/7/31, deposit date 306 = 1997/5/31, about regular date 307 = 1999/5/31, review of contracted interest rate Cycle 310 = 12 months, current balance 311 = 1,000,000 yen, and intermediate interest payment cycle = 12 months. The advisory and partition interest cash flows that occur on 1999/5/31 are the advisory rates 404, 406, 408, 410 of the 1998/5 item interest rate scenario DB 104 where the contracted interest rate review cycle 310 is in the future from 12 months. 412, 414, 416, 418, 420, 422, 424, 426 and partition rates 405, 407, 409, 411, 413, 415, 417, 419, 421, 423, 425, 427. The counter rate of 1998/5 is 0.6, and the partition rate is 0.9. The value of advisory and partition cash flow generated on 1999/5/31 is interest cash flow from the previous interim payment date 1998/5/31 to the next interim interest payment date 1999/5/31,
Interest-bearing cash flow = Current balance 311 x Advisory rate
× (Number of days from the previous interim interest payment date to the next interim interest payment date) / 365
= 1,000,000 x 0.6 / 100
X (days from 1998/5/31 to 1999/5/31) / 365
Dividend interest cash flow = current balance 311 x partition rate
× (Number of days from the previous interim interest payment date to the next interim interest payment date) / 365
= 1,000,000 x 0.9 / 100
X (days from 1998/5/31 to 1999/5/31) / 365
And calculated. Also, principal cash flow 1,000,000 also occurs on 1999/5/31, about the regular date 307.
[0139]
After that, the interest rate is revised in the same year and calculated in the same month, calculated by the monthly database (variation 1) step 515 and the renewal month DB (variation 2) creation program 520. Add the values of flow, counter cash flow, and partition cash flow for each period.
[0140]
The cash flow information obtained as described above is stored in the banking DB 105.
[0141]
In the banking DB105, in the year 503, 1998 was in May of that year, in the counter cash flow 510 in the year, 2,000 was in May, the partition cash flow in 511 was 4,000, and in the year 503, 1999 was in May of that year. Suppose that 3,000 is stored in the counter cash flow 510 and 5,000 is stored in the partition cash flow 511 in May.
[0142]
In addition, 1998 is stored in the interest rate scenario DB 106 in fiscal year 601 with 1998 in discount factor 603 of May of that year, and 1999 in fiscal year 601 is stored in discount factor 603 in May of that year with 99.0. Suppose that
[0143]
Then, in the item interest rate scenario (before change) market price calculation step 525, the present value of the item interest rate scenario (before change) is calculated as follows.
[0144]
Current value of interest rate scenario (before change) (consideration) =
Year 503 is 1998 May May Cash Flow 510
X Discount factor 603+ in May with year 503 being 1998
Cash flow 510 for May in year 503 in 1999
× Discount factor 603 in May with year 503 being 1999
= 2,000 × 99.5 / 100 + 3,000 × 99.0 / 100
Current value of interest rate scenario (before change) (partition) =
Fiscal year 503 is 1998. May partition cash flow 511
X Discount factor 603+ in May with year 503 being 1998
Fiscal year 503 is 1999, May partition cash flow 511
× Discount factor 603 in May with year 503 being 1999
= 4,000 x 99.5 / 100 + 5,000 x 99.0 / 100
Thereafter, the interest rate scenario (after change) or the item interest rate scenario (after change) is calculated by a method such as the Viceek model.
[0145]
Subject interest rate scenario (after change) banking (by monthly rate change) creation step 535, DB for monthly rate change (fixed) creation step 510, DB for monthly rate change (fluctuation 1) step 515 and DB for monthly rate change (variation 2) creation Using the course DB (after change) 105 created in the program 520, the course rate scenario (after change) and the course rate scenario DB 104 created in step 530 for generating the interest rate pass, Create a separate monthly basis for repricing. The portion for which the applicable interest rate is fixed and the interest rate does not need to be revised (the portion where the interest rate date has not yet arrived) is the reference date 305 of the detail DB 103 and the reference date 305 of the detail DB 103. Since it is the same case, the growth DB (DB by rate renewal month) 105 is not corrected.
[0146]
The portion for which the applicable interest rate has not been finalized due to future repricing (the interest due date) is the subject interest rate scenario (prior to change) corresponding to the repricing date 505 of the banking DB (DB for each repricing month) and the repricing year The course of the subject interest rate scenario (after change) (by renewal month) is created in the same manner as the subject interest rate scenario (after change) execution creation step 130 in the ratio with the subject interest rate scenario (after change) corresponding to the month 505.
[0147]
Thereafter, in the item interest rate scenario (after change) market price calculation step 540, the present value of the item interest rate scenario (after change) is calculated in the same manner as the interest rate scenario (after change) market value calculation step 125.
[0148]
In the simulation number determination step 135, it is determined whether the control program 111 has been repeated for the number of simulations input from the keyboard 101.
Using the present value of the subject interest rate scenario (after change) and the present value of the subject interest rate scenario (before change) calculated repeatedly for the number of simulations, in the simulation result calculation step 550, the current value of the subject interest rate scenario (after change) is calculated. The expected value, standard deviation, and market value change width (3 standard deviations, 2 standard deviations, 1.65 standard deviations) are calculated in the same manner as the detailed result calculation step 140. Then, it stores in simulation result DB107.
[0149]
As described above, by creating the banking DB (DB by interest rate renewal month) 105 that aggregates the items with the same interest rate renewal month for each subject in advance, the risk to be performed for each item while maintaining the calculation accuracy This is a risk calculation method that is tens and hundreds of times faster than the calculation process.
[0150]
Further, although examples of risk calculation (value at risk) have been described, a risk index (earning at risk) can also be calculated by a similar process. In the flowchart of FIG. 2, the fixed / variation determination step 120 and the subject interest rate scenario (after variation) execution creation step 130 are not performed. In the flowchart of FIG. 8, the processing does not perform the step 535 for creating the subject interest rate scenario (after change) execution (by renewal month).
[0151]
FIG. 9 shows an example of a display screen 900 that displays the risk index calculated as described above on the display 100.
[0152]
A risk calculation result of a certain subject is displayed in a table 901 and a bar graph 902. The market price change width in Table 901 is the market price change width (market price after interest rate change-market price before interest rate change) obtained from the simulation results, and shows the maximum and minimum values, and the number of simulation divisions that the control program 111 has entered from the keyboard 101. Based on this, a value obtained by equally dividing the maximum and minimum values into the number of simulation divisions is set. For the frequency, the number of simulations corresponding to the market price change width is set. The probability is calculated from the number of simulations and the frequency input from the keyboard 101 by the control program 111. The bar graph 902 is a bar graph of the table 901.
[0153]
The table 903 is a table in which the values obtained in the simulation result calculation step 150 are set.
[0154]
The subject selection button 950 enables the setting of subjects to be displayed on the screen display 900 to be switched.
[0155]
The simulation re-execution button 955 allows a simulation to be performed again based on the calculated risk index result. When the simulation button 955 is pressed, a display screen 1000 shown in FIG. 10 is displayed on the display 100.
[0156]
The risk calculation result of a certain subject is displayed in Table 1001 and Table 1002. The market price change width in Table 1001 is the market price change width (market price after interest rate change-market price before interest rate change) obtained from the simulation result. The maximum and minimum values and the number of simulation divisions that the control program 111 has entered from the keyboard 101 Based on this, a value obtained by equally dividing the maximum and minimum values into the number of simulation divisions is set. For the frequency, the number of simulations corresponding to the market price change width is set. The maximum number of times number sets the number of simulations that realizes the maximum market price change width in the market price change width, and the maximum value market price change width sets the value at that time. Similarly to the maximum value count number, the minimum value count number also sets the number of simulations that realizes the minimum market price change width in the market price change width, and the minimum value price change width sets the value at that time.
[0157]
A table 1002 is a table in which the values obtained in the simulation result calculation step 150 are set.
[0158]
The subject selection button 1050 allows the setting of subjects to be displayed on the screen display 1000 to be switched.
[0159]
The simulation re-execution button 1055 enables the simulation to be performed again based on the calculated risk index result. When the maximum value number and the minimum value number displayed in the table 1001 are selected and the simulation re-execution button 1055 is pressed, the simulation when it is realized can be executed again.
[0160]
The interest rate scenario re-occurrence button 1060 enables the interest rate scenario to be generated again based on the calculated risk index result. When the maximum value number and the minimum value number displayed in the table 1001 are selected and the interest rate scenario re-generation button 1060 is pressed, the interest rate scenario when it is realized can be generated again.
[0161]
The previous screen button 1065 is a button for returning to the display screen 900.
[0162]
As described above, according to the present invention, it is possible to realize a Monte Carlo simulation that improves the processing speed while maintaining accuracy.
[0163]
【The invention's effect】
As described above, according to the present invention, it is possible to calculate the value at risk and the earning at risk at high speed by calculating by Monte Carlo simulation.
[Brief description of the drawings]
FIG. 1 is an overall configuration diagram showing an example of a risk calculation device applied to the present invention.
FIG. 2 is a flowchart showing one embodiment of risk calculation using detailed information in the processing procedure of the present invention.
FIG. 3 is a data configuration diagram showing an example of information stored in a detail DB.
FIG. 4 is a data configuration diagram showing an example of information stored in a subject interest rate scenario DB.
FIG. 5 is a data configuration diagram showing an example of information stored in a market DB.
FIG. 6 is a data configuration diagram showing an example of information stored in an interest rate scenario DB.
FIG. 7 is a data configuration diagram showing an example of information stored in a simulation result DB.
FIG. 8 is a flowchart showing one embodiment of risk calculation using a market DB (DB for each renewal) in the processing procedure of the present invention.
FIG. 9 is a diagram showing a first example of a screen display of risk calculation results on the display screen of the present invention.
FIG. 10 is a diagram showing a second example of the screen display of the risk calculation result on the display screen of the present invention.
[Explanation of symbols]
100 ... display, 101 ... keyboard, 102 ... CPU,
103 ... Detail DB, 104 ... Subject interest rate scenario DB,
105 ... Growth DB 106 ... Interest Scenario DB,
107 ... simulation result DB 108 ... storage device
109 ... Bus, 110 ... Memory, 111 ... Control program,
112 ... Growth DB creation program, 113 ... Interest rate pass creation program
114 ... VAR / EAR calculation program, 115 ... work area
120: CD-ROM driver.

Claims (1)

A risk calculation device for calculating VaR of a financial product,
For each financial product , a transaction that includes information on the balance of the financial product, the interest rate, the interest rate review cycle, the base date, maturity, a fixed variable category that indicates whether the interest rate is fixed or variable, and an item code that identifies the transaction information and detailed data indicating the contents, and subjects rate scenario data including information about the predicted interest of the subjects code and monthly for each item of the transaction relates to the discount rate of the monthly when discounting future cash flows a storage device for storing and interest scenario data including,
A memory device storing a program for executing processing in the risk calculating device;
According to a program stored in the memory device,
Extracting, from the storage device, a plurality of detailed data of the financial product for which the VaR is calculated, the same subject code ,
In each of the plurality of detailed data extracted,
When it is determined that the fixed fluctuation category of the detail data indicates a fixed interest rate, it is a banking data including a cash flow from the base date to the maturity of the detail data by multiplying the balance of the detail data and the interest rate. Generate fixed rate market data,
When it is determined that the fixed fluctuation category of the detail data indicates a variable interest rate, a renewal month indicating a month for reviewing the interest rate of the financial product is calculated based on a base date and a review cycle of the detail data, and the storage By extracting the item interest rate scenario data having the same item code from the device, and multiplying the predicted interest rate of the renewal month included in the extracted item interest rate scenario data by the balance of the item data, the item data Generate floating interest rate market data, which is the market data including the cash flow from the base date to the maturity of
By adding the result of multiplying the cash flow of the fixed interest rate execution data and the discount rate of the interest rate scenario data extracted from the storage device every month, the market price of the fixed-rate financial product before the interest rate change To calculate
By adding the result of multiplying the cash flow of the floating interest rate market data and the discount rate of the interest rate scenario data extracted from the storage device every month, the market price of the financial product with the floating interest rate before the interest rate change To calculate
Based on the mathematical model set in advance, the variable rate interest rate scenario data that is the variable rate interest rate scenario data after the interest rate change and the variable rate interest rate scenario data that is the interest rate scenario data after the interest rate change,
By adding the result of multiplying the cash flow of the fixed interest rate market data and the discount rate of the post-fluctuation interest rate scenario data every month, the market value of the fixed-rate financial product after the interest rate change is calculated,
By multiplying the cash flow of the floating interest rate market data by the ratio of the predicted interest rate of the item interest rate scenario data after the change to the predicted interest rate of the item interest rate scenario data, After generating interest rate fluctuation data, add the result of multiplying the generated cash flow of the variable interest rate market data after the fluctuation and the discount rate of the variable interest rate scenario data every month. Calculate the market value of a financial product with a variable interest rate
A risk calculation device comprising: a processing device for calculating a market value change width which is VaR by calculating a standard deviation based on the market value of a financial product before and after interest rate fluctuation .

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