Systematic risk control method, system and computer program product thereof
A systematic and risky technology, applied in computing, instrumentation, finance, etc., can solve problems such as the inability to deal with the correlation between investment positions
Inactive Publication Date: 2010-06-16
钜融资本管理股份有限公司
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[0017] The purpose of the present invention is to overcome the defects existing in the existing systematic risk control methods, systems and computer program products, and to provide a new systematic risk control method, system and computer program products. The technical problem is to make it integrate the leverage ratio aggregate control mechanism (ALR) to control credit risk by using the risk leverage ratio; cooperate with the extreme value risk measurement mechanism (ExR) to closely monitor the measurement ability of tail risk; and use the correlation structure (Copula) The statistical model successfully improves the risk measurement accuracy of the overall value-at-risk (VaR) of the investment portfolio, solves the problem that traditional value-at-risk (VaR) estimates cannot deal with the correlation between investment positions, and realizes risk control that can accurately measure and monitor systemic risks mechanism, well suited for practical
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[0070] In order to further explain the technical means and effects adopted by the present invention to achieve the intended purpose of the invention, the following describes the systemic risk control method, system and computer program product according to the present invention in detail in conjunction with the accompanying drawings and preferred embodiments. Embodiments, methods, steps, structures, features and effects thereof are described in detail below.
[0071] The aforementioned and other technical contents, features and effects of the present invention will be clearly presented in the following detailed description of preferred embodiments with reference to the drawings. Through the description of the specific implementation mode, when the technical means and functions adopted by the present invention to achieve the predetermined purpose can be obtained a deeper and more specific understanding, but the accompanying drawings are only for reference and description, and ar...
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The invention relates to a systematic risk control method, a system and a computer program product thereof. The method comprises the following programs of: setting a corresponding relation between the global market common sense risk value and the leverage ratio by a risk control unit; selecting financial products with a plurality of standards by using an interface unit; acquiring the data of the selected financial products with a plurality of the standards from a storage unit by the risk control unit; calculating the risk value of each financial product with a plurality of the standards respectively by the risk control unit; adjusting the leverage ratio of each financial product with a plurality of the standards respectively according to the corresponding relation selectively; and putting the financial products with a plurality of the standards into an asset pool, and outputting the financial products with a plurality of the standards through the interface unit.
Description
technical field [0001] The present invention relates to a systematic risk control method, system and computer program (that is, program, referred to herein as a program) product, in particular to a systematic risk control method, system and its computer program products. Background technique [0002] Since 1988, the Basel Committee has begun to propose risk capital management recommendations, and also proposed the Standard Approach and Internal Model Approach for market risk measurement in 1996, and the Committee proposed in 2001 The New Basel Accord (or "Basel II"), which brings together the most suitable practices of the internal management of major large international banks into the guidelines for risk control of global banks, these guidelines are derived from major international financial institutions The internal risk control policies and management methods implemented by the institution for many years will be finalized by the Basel Committee. The Basel Committee is b...
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IPC IPC(8): G06Q40/00G06Q40/06
Inventor 郑振和王克陆牛维方王南杰林诗珊
Owner 钜融资本管理股份有限公司