Market risk capital assessment method and system
By using the Euler decomposition method, the problem of financial institutions' difficulty in clearly decomposing risk capital allocation in the market has been solved, realizing refined management and transparency of risk capital and adapting to the complex requirements of the new standard method for market risk.
Patent Information
- Authority / Receiving Office
- CN · China
- Patent Type
- Applications(China)
- Current Assignee / Owner
- IND BANK CO
- Filing Date
- 2026-03-19
- Publication Date
- 2026-05-29
AI Technical Summary
When assessing market risk capital allocation, financial institutions often find it difficult to clearly break it down into independent parts of different business lines, risk categories, or specific transactions, resulting in a lack of transparency and accuracy in risk capital allocation and management.
Using the Euler decomposition method, market risk capital is allocated layer by layer to specific portfolios, sub-portfolios, and even individual transactions through modules for sensitivity, default risk, and residual risk capital decomposition, combined with in-group and out-of-group correlation coefficients and hedging benefit ratios.
It enables refined management of risk capital, quantifies the specific contribution of each transaction or risk factor to total capital, identifies risk hedging and concentrated transactions, adapts to the complex requirements of the new market risk standard method, and provides comprehensive data support.
Smart Images
Figure CN122115114A_ABST
Abstract
Description
Technical Field
[0001] This invention relates to the field of financial technology, and in particular to a method and system for assessing market risk capital. Background Technology
[0002] Market risk capital is the capital buffer that financial institutions must hold and allocate to mitigate potential losses caused by adverse fluctuations in market prices, such as interest rates, exchange rates, stock prices, and commodity prices. Accurate measurement and reasonable allocation of market risk capital are core aspects of risk management and sound operation for financial institutions.
[0003] In current technological practices, financial institutions commonly employ various risk management models to assess the appropriateness of overall market risk capital allocation. However, these assessment methods generally suffer from the following technical problems: Due to the complexity of market risk, the interrelationship of risk factors, and the limitations of risk management models, financial institutions find it difficult to clearly break down market risk capital allocation into independent components of different business lines, risk categories, or specific transactions when assessing market risk capital allocation. Moreover, the allocation methods of current risk management models are rather crude; for example, Jinshi simply allocates it according to asset size or notional principal, which fails to truly reflect the actual contribution of different business units or transactions to the overall risk.
[0004] Therefore, existing technologies lack a method and system for accurately assessing the contribution of each portfolio or sub-portfolio to total market risk capital. This results in insufficient transparency and accuracy in the allocation and management of risk capital, hindering financial institutions from developing efficient capital allocation strategies and risk response measures. Summary of the Invention
[0005] In view of this, the present invention provides a market risk capital assessment method and system to solve at least one of the aforementioned problems.
[0006] To achieve the above objectives, the present invention adopts the following solution: According to a first aspect of the present invention, a market risk capital assessment system is provided, the system comprising: The input interface module is used to obtain the results of sensitivity calculation at the transaction level, the net position of sudden default risk of each transaction position output by the upstream system, and the notional principal and risk weight of each transaction. The sensitivity capital decomposition module is used to decompose risk capital based on sensitivity using Euler decomposition, based on the sensitivity calculation results at the transaction level. The default risk capital decomposition module is used to decompose the default risk capital based on the net position of sudden default risk of each transaction position output by the system and using Euler decomposition. The residual risk capital decomposition module is used to decompose the residual risk capital based on the notional principal and risk weight of each transaction. The evaluation module is used to assess the contribution of each portfolio or sub-portfolio to total risk capital based on the capital decomposition results of the sensitivity method, the capital decomposition results of default risk capital, and the capital decomposition results of residual risk capital, in order to analyze risk factors with high capital occupation and factors that help reduce capital occupation.
[0007] In some embodiments of this application, the sensitivity capital decomposition module includes: The weighted sensitivity acquisition unit is used to calculate the weighted sensitivity of the risk factor based on the transaction-level sensitivity calculation result and the risk weight mapped to the risk group to which the risk factor belongs; The risk position acquisition unit is used to sum the risk factors within the risk group using the weighted sensitivity of the risk factors with the intra-group correlation coefficient to obtain the risk position. The overall capital acquisition unit is used to sum the risk groups based on the risk position and the weighted sensitivity of the risk factors using the inter-group correlation coefficient to obtain the overall capital requirements under three correlation scenarios: high, medium, and low. The sensitivity capital acquisition unit is used to take the maximum value of the overall capital requirement among the three correlation scenarios as the sensitivity-based risk capital requirement; A sensitive capital decomposition unit is used to calculate the capital decomposition value of each portfolio corresponding to the sensitivity-based risk capital requirement based on Euler decomposition.
[0008] In some embodiments of this application, the weighted sensitivity acquisition unit described above is specifically used for: For Delta and Vega risk factors, for all instruments within the capital pool, the sensitivity of the same risk factor is pooled to obtain the net sensitivity of the corresponding risk factor, and the product of the net sensitivity and the corresponding risk weight is used as the weighted sensitivity of the corresponding risk factor. For the Curvature risk factor, for all instruments within the capital pooling scope, summarize and sum the CVR+ and CVR of the same Curvature risk factor. This yields the weighted sensitivity of the corresponding risk factors.
[0009] In some embodiments of this application, the aforementioned risk position acquisition unit is specifically used for: For risk group b in the first group of Delta and Vega risk factors, the risk position K is obtained according to the following formula.b : ; in, The weighted sensitivity to risk factor k; The correlation coefficient within the group; The weighted sensitivity to risk factor l; For the Delta and Vega risk factors, excluding the first group, the risk position is equal to the sum of the absolute values of the weighted sensitivity. For risk group b in the first group of the Curvature risk factors, the sum of the risk factors within the risk group under upward and downward changes in the risk factors is obtained according to the following formula. and : ; ; in, The weighted sensitivity to risk factor k. for, The weighted sensitivity to risk factor l; Pick and The maximum of the two is taken as the risk position K. b ; For the other groups in the Curvature risk factor besides the first group, the risk position K is obtained according to the following formula. b : .
[0010] In some embodiments of this application, the above-mentioned overall capital acquisition unit is specifically used for: For the risk groups of Delta and Vega risk factors, calculate the sum of the weighted sensitivities of all risk factors within each risk group; Based on the sum of the weighted sensitivities of all the aforementioned risk factors, the Delta or Vega sensitivities are summed across different risk groups using the following formula: ; Among them, K b For risk positions, The inter-group correlation coefficient. This is the sum of the weighted sensitivities of all risk factors within risk group b. This is the sum of the weighted sensitivities of all risk factors within risk group c; For the risk group of Curvature risk factors, the weighted sensitivity of all risk factors within the risk group is summed using the following formula; ; in, The weighted sensitivity to risk factor k; Based on the sum of the weighted sensitivities of all the risk factors, the Curvature sensitivity is summed across different risk groups using the following formula: ; in, ; Based on the given within-group correlation coefficient Correlation coefficient between groups Calculate the correlation coefficients for highly correlated scenarios and low correlated scenarios respectively; By applying the correlation coefficients under both high and low correlation scenarios, the Delta, Vega, and Curvature risk capital requirements for each scenario are obtained. The Delta, Vega, and Curvature risk capital requirements for the same scenario are then added together to obtain the overall capital requirements for the high, medium, and low correlation scenarios.
[0011] In some embodiments of this application, the aforementioned sensitive capital decomposition unit is specifically used for: Construct an intragroup risk intermediate variable that reflects intragroup aggregation effect, and an intergroup capital intermediate variable that reflects intergroup aggregation effect; For Delta and Vega risk factors, different calculation scenarios are divided according to the positive or negative state of the inter-group capital intermediate variable, whether the net sensitivity within the group is truncated and adjusted, and the state of the risk intermediate variable within the group. Based on the Euler allocation principle, the Euler decomposition weight coefficient of a single risk factor is calculated. For the Curvature risk factor, based on the positive and negative states of the inter-group capital intermediate variable and the intra-group risk intermediate variable, as well as the direction selection decomposition logic of the net sensitivity of the risk group, it is determined whether the risk factor plays a role in aggravating or hedging risk in the most unfavorable scenario that determines the total capital, and the Euler decomposition weight coefficient of the risk factor is calculated accordingly. The product of the calculated Euler decomposition weight coefficients of each risk factor and the corresponding sensitivity is used as the capital decomposition value of each portfolio.
[0012] In some embodiments of this application, the aforementioned default risk capital decomposition module includes: The hedging efficiency ratio acquisition unit is used to map the net position of sudden default risk to different risk groups, and obtain the hedging efficiency ratio of the risk group from the net long and net short positions of sudden default risk. The total default risk capital acquisition unit is used to obtain the default risk capital requirement within the risk group and the total default risk capital requirement based on the default risk weight, the net position of the sudden default risk, and the hedging benefit ratio. The default capital decomposition unit is used to calculate the marginal contribution of each transaction to the total default risk capital requirement using the Euler allocation principle: First, the capital requirement status of the risk group is determined. If the capital requirement of the risk group is zero, the capital contribution of transactions within the group is zero. If the capital requirement of the risk group is greater than zero, the allocation coefficient based on the Euler principle is calculated, and the product of the allocation coefficient and the transaction position is taken as the default risk capital contribution of the transaction. The allocation coefficient reflects the impact of changes in the position of a single transaction on the overall capital of the risk group after considering correlation and hedging effects.
[0013] In some embodiments of this application, the aforementioned residual risk capital decomposition module is specifically used for: Calculate the product of the notional principal of each transaction and the aforementioned risk weight, and use the result directly as the capital decomposition value of the remaining risk capital for that transaction.
[0014] According to a second aspect of the present invention, a market risk capital assessment method is provided, the method comprising: Obtain the results of sensitivity calculation at the transaction level, the net position of sudden default risk of each transaction position output by the upstream system, and the notional principal and risk weight of each transaction; Based on the transaction-level sensitivity calculation results, Euler decomposition is used to realize the risk capital decomposition based on sensitivity; Based on the net position of sudden default risk of each transaction position output by the aforementioned game system, the capital decomposition of default risk capital is achieved by using Euler decomposition. Based on the notional principal and risk weight of each transaction, the capital decomposition of the remaining risk capital is achieved. Based on the results of capital decomposition using the sensitivity method, the results of capital decomposition of default risk capital, and the results of capital decomposition of residual risk capital, the contribution of each portfolio or sub-portfolio to total risk capital is assessed to analyze risk factors with high capital requirements and factors that help reduce capital requirements.
[0015] According to a third aspect of the present invention, an electronic device is provided, including a memory, a processor, and a computer program stored in the memory and executable on the processor, wherein the processor executes the computer program to implement the steps of the above-described method.
[0016] According to a fourth aspect of the present invention, a computer-readable storage medium is provided having a computer program stored thereon, which, when executed by a processor, implements the steps of the above-described method.
[0017] As can be seen from the above technical solutions, the market risk capital assessment method and system provided in this application, by introducing Euler decomposition, allocates the total market risk capital calculated based on complex nonlinear formulas back to specific portfolios, sub-portfolios, and even individual transactions layer by layer by calculating partial derivatives (marginal contributions). This solves the problem that traditional methods struggle to clearly decompose the total capital, after considering diversification effects, into independent parts. The system can quantify the specific contribution value of each transaction or risk factor to the total capital, achieving refined management of risk capital. In the decomposition process, this application not only considers the risk exposure of a single asset but also calculates weighted sensitivity using intra-group correlation coefficients, inter-group correlation coefficients, and hedging benefit ratios, combined with the chain rule. This can identify which transactions play a risk hedging role in the portfolio (i.e., showing a negative capital contribution, helping to reduce capital occupation) and which transactions are sources of risk concentration (occupying high capital). Compared to simple proportional allocation, Euler decomposition can more scientifically reflect the marginal risk cost actually borne by each business unit after considering multiple correlations (high, medium, and low correlation scenarios). Finally, this application system constructs a modular architecture, encompassing three independent yet interconnected modules: sensitivity capital decomposition, default risk capital decomposition, and residual risk capital decomposition. It can adapt to the complex requirements of the new standardized approach to market risk, enabling standardized capital measurement and decomposition of linear risk, nonlinear risk, and residual risk within the same system framework, providing comprehensive data support for financial institutions to optimize resource allocation. Attached Figure Description
[0018] To more clearly illustrate the technical solutions in the embodiments of the present invention or the prior art, the drawings used in the description of the embodiments or the prior art will be briefly introduced below. Obviously, the drawings described below are only some embodiments of the present invention. For those skilled in the art, other drawings can be obtained based on these drawings without creative effort. In the drawings: Figure 1 This is a schematic diagram of the structure of a market risk capital assessment system provided in an embodiment of this application; Figure 2 This is a schematic diagram of the structure of the sensitivity capital decomposition module provided in the embodiments of this application; Figure 3 This is a schematic diagram of the structure of the default risk capital decomposition module provided in the embodiments of this application; Figure 4 This is a flowchart illustrating a market risk capital assessment method provided in an embodiment of this application; Figure 5 A schematic block diagram of the system configuration of the electronic device provided in the embodiments of the invention. Detailed Implementation
[0019] To make the objectives, technical solutions, and advantages of the embodiments of the present invention clearer, the embodiments of the present invention will be further described in detail below with reference to the accompanying drawings. Here, the illustrative embodiments of the present invention and their descriptions are used to explain the present invention, but are not intended to limit the present invention.
[0020] In this application, all relevant information and data (including but not limited to user biometrics) are authorized by the user or fully authorized by all parties. The collection, storage, use, processing, transmission, provision, disclosure, and application of relevant information and data comply with the relevant laws, regulations, and standards of the relevant countries and regions, and necessary confidentiality measures have been taken. They do not violate public order and good morals, and corresponding operation entry points are provided for users to choose to authorize or refuse.
[0021] like Figure 1 The diagram shown is a structural schematic of a market risk capital assessment system provided in an embodiment of this application. The system includes: an input interface module 110, a sensitivity capital decomposition module 120, a default risk capital decomposition module 130, a residual risk capital decomposition module 140, and an assessment module 150, which are connected sequentially. The input interface module 110 is used to obtain the transaction-level sensitivity calculation results, the net position of sudden default risk of each transaction position output by the upstream system, and the notional principal and risk weight of each transaction.
[0022] Sensitivity capital decomposition module 120 is used to realize sensitivity-based risk capital decomposition based on the transaction-level sensitivity calculation results using Euler decomposition.
[0023] The default risk capital decomposition module 130 is used to decompose the default risk capital based on the sudden default risk net position of the transaction position output by the game system and using Euler decomposition.
[0024] The residual risk capital decomposition module 140 is used to decompose the residual risk capital based on the notional principal and risk weight of each transaction.
[0025] Evaluation module 150 is used to evaluate the contribution of each portfolio or sub-portfolio to total risk capital based on the capital decomposition results of the sensitivity method, the capital decomposition results of default risk capital, and the capital decomposition results of residual risk capital, in order to analyze risk factors with high capital occupation and factors that help reduce capital occupation.
[0026] The market risk capital assessment system provided in this application introduces Euler decomposition to allocate the total market risk capital calculated based on complex nonlinear formulas back to specific portfolios, sub-portfolios, and even individual transactions by calculating partial derivatives (marginal contributions). This solves the problem that traditional methods struggle to clearly decompose the total capital, after considering diversification effects, into independent parts. The system can quantify the specific contribution of each transaction or risk factor to the total capital, achieving refined management of risk capital. In the decomposition process, this application not only considers the risk exposure of a single asset but also calculates weighted sensitivity using intra-group and inter-group correlation coefficients, hedging benefit ratios, and the chain rule. It can identify which transactions play a risk hedging role in the portfolio (i.e., showing a negative capital contribution, helping to reduce capital occupation) and which transactions are sources of risk concentration (occupying high capital). Compared to simple proportional allocation, Euler decomposition can more scientifically reflect the marginal risk cost actually borne by each business unit after considering multiple correlations (high, medium, and low correlation scenarios). Finally, this application system constructs a modular architecture, encompassing three independent yet interconnected modules: sensitivity capital decomposition, default risk capital decomposition, and residual risk capital decomposition. It can adapt to the complex requirements of the new standardized approach to market risk, enabling standardized capital measurement and decomposition of linear risk, nonlinear risk, and residual risk within the same system framework, providing comprehensive data support for financial institutions to optimize resource allocation.
[0027] The following is a description of each part of the above system.
[0028] The sensitivity capital decomposition module 120 is used to realize the risk capital decomposition based on sensitivity using Euler decomposition based on the transaction-level sensitivity calculation results. It is mainly responsible for processing the sensitivity data of three risk factors: Delta, Vega and Curvature. Its workflow follows a logical closed loop of first aggregating to calculate the total and then decomposing to calculate the contribution.
[0029] Delta, Vega, and Curvature are three risk factors defined in the standardized market risk approach, used to measure the degree to which portfolio value responds to changes in different market variables.
[0030] In some embodiments of this application, the above-mentioned Figure 2 As shown, the aforementioned sensitivity capital decomposition module 120 includes: a weighted sensitivity acquisition unit 121, a risk position acquisition unit 122, an overall capital acquisition unit 123, a sensitivity capital acquisition unit 124, and a sensitivity capital decomposition unit 125, wherein: The weighted sensitivity acquisition unit 121 is used to calculate the weighted sensitivity of the risk factor based on the transaction-level sensitivity calculation result and the risk weight mapped to the risk group to which the risk factor belongs.
[0031] The weighted sensitivity acquisition unit 121 is responsible for data standardization, transforming the original transaction sensitivity into a weighted sensitivity. The transaction-level sensitivity calculation result here refers to the degree of sensitivity to different market risk factors calculated for each specific financial transaction instrument. It is the unweighted, granular, single-transaction risk exposure data output to this system by the upstream valuation engine, including the risk group of each transaction and the corresponding Delta / Vega / Curvature net sensitivity.
[0032] Preferably, the weighted sensitivity acquisition unit 121 is specifically used for: For Delta and Vega risk factors, for all instruments within the capital pool, the sensitivity of the same risk factor is aggregated to obtain the net sensitivity of the corresponding risk factor (i.e., a simple summation of the sensitivity of the same risk factor), and the product of the net sensitivity and the corresponding risk weight is used as the weighted sensitivity of the corresponding risk factor, that is: (1) in, The weighted sensitivity to risk factor k. The risk weight of risk factor k This represents the net sensitivity to risk factor k.
[0033] For the Curvature risk factor, for all instruments within the capital pooling scope, summarize and sum the CVR+ and CVR of the same Curvature risk factor. This yields the weighted sensitivity of the corresponding risk factor, i.e.: (2) (3) in, and For the weighted sensitivity of risk factor k, CVR+ and CVR Curvature, or convexity, is a mathematical designation used to generate CVR+ and CVR- for stress tests under two scenarios: upward impact and downward impact.
[0034] The risk position acquisition unit 122 is used to sum the risk factors within the risk group using the weighted sensitivity of the risk factors with the intragroup correlation coefficient to obtain the risk position.
[0035] In this embodiment, this unit is mainly responsible for the aggregate calculation within a risk group, that is, considering the correlation between different risk factors within the same risk group. Similarly, the method by which this unit obtains the risk position varies depending on the different risk factors.
[0036] Preferably, the risk position acquisition unit 122 is specifically used for: For risk group b in the first group of Delta and Vega risk factors, the risk position K is obtained according to the following formula (4). b : (4) in, The weighted sensitivity to risk factor k; The correlation coefficient within the group; This represents the weighted sensitivity of risk factor l.
[0037] The “first group” here is in contrast to the “other groups”. Specifically, the other groups refer to: Group 16, which is the risk group for non-securitized credit spread and securitized credit spread (CTP) risk, Group 25, which is the risk group for non-CTP risk, and Group 11, which is the equity risk group.
[0038] For the Delta and Vega risk factors, excluding the first group, the risk position equals the sum of the absolute values of the weighted sensitivities, i.e.: (5) For risk group b in the first group of Curvature risk factors, the sum of risk factors within the risk group under the conditions of upward and downward changes of risk factors can be obtained according to the following formulas (6) and (7). and : (6) (7) in, The weighted sensitivity to risk factor k. for, The weighted sensitivity to risk factor l, , .
[0039] Then, take the above and The maximum of the two is taken as the risk position K. b .
[0040] In addition, this unit is also responsible for recording the selected scenarios, which will be used for the inter-group summation of the Curvature risk factor in the subsequent overall capital acquisition unit 123, i.e.: like This is an upward impact scenario; like This is a downward impact scenario; like Then when > It is an upward impact scenario; otherwise, it is a downward impact scenario.
[0041] For the other groups in the Curvature risk factor besides the first group, the risk position K is obtained according to the following formula (8). b : (8) The overall capital acquisition unit 123 is used to obtain the overall capital requirements under three correlation scenarios (high, medium, and low) by summing the risk groups based on the risk position and using the inter-group correlation coefficient to weight the sensitivity of the risk factors.
[0042] In this embodiment, the unit is mainly responsible for the aggregate calculation between risk groups, as well as the parallel calculation of multiple scenarios (high, medium, and low correlation).
[0043] Preferably, the overall capital acquisition unit 123 is specifically used for: For the risk groups of Delta and Vega risk factors, the weighted sensitivity of all risk factors within each risk group is calculated as follows: (9) (10) in, This is the sum of the weighted sensitivities of all risk factors within risk group b. This is the sum of the weighted sensitivities of all risk factors within risk group c.
[0044] In this embodiment, the system also needs to verify whether the above formula makes The value is negative. If it is negative, then and The formula is: (11) (12) Based on the sum of the weighted sensitivities of all the aforementioned risk factors, the Delta or Vega sensitivities are summed across different risk groups using the following formula: (13) Among them, K b For risk positions, This represents the correlation coefficient between groups.
[0045] For the risk group of Curvature risk factors, the weighted sensitivity of all risk factors within the risk group is summed using the following formula; (14) in, The weighted sensitivity to risk factor k; Based on the sum of the weighted sensitivities of all the risk factors, the Curvature sensitivity is summed across different risk groups using the following formula: (15) in, .
[0046] Based on the given within-group correlation coefficient Correlation coefficient between groups Calculate the correlation coefficients for highly correlated scenarios and low correlated scenarios, specifically: Based on the correlation coefficient given by regulators and The correlation coefficients for highly correlated and low-correlation scenarios are calculated using the following formula (applicable to Delta, Vega, and Curvature risk factors): (16) (17) (18) (19) The correlation coefficients for high and low correlation scenarios (i.e., using equations (13) and (15) above) are applied respectively to obtain the Delta, Vega, and Curvature risk capital requirements for each scenario. The Delta, Vega, and Curvature risk capital requirements for the same scenario are then added together to obtain the total capital requirements for high, medium, and low correlation scenarios (where the correlation coefficient for the medium correlation scenario is the correlation coefficient given by the regulator above). and This process can be represented by the following equations (20)-(22): (20) (twenty one) (twenty two) Sensitivity capital acquisition unit 124 is used to take the maximum value of the overall capital requirement among the three correlation scenarios as the sensitivity-based risk capital requirement, that is: (twenty three) Sensitive capital decomposition unit 125 is used to calculate the capital decomposition value of each portfolio corresponding to the sensitivity-based risk capital requirement based on Euler decomposition. This unit utilizes the Euler decomposition principle to obtain the marginal contribution of the portfolio to the total capital.
[0047] The sensitive capital decomposition unit 125 is specifically used for: constructing intra-group risk intermediate variables reflecting intra-group aggregation effects and inter-group capital intermediate variables reflecting inter-group aggregation effects; for Delta and Vega risk factors, different calculation scenarios are divided according to the positive or negative state of the inter-group capital intermediate variables, whether the intra-group net sensitivity is truncated, and the state of the intra-group risk intermediate variables, and the Euler decomposition weight coefficient of a single risk factor is calculated according to the Euler allocation principle; for Curvature risk factors, the decomposition logic is selected based on the positive or negative state of the inter-group capital intermediate variables, the intra-group risk intermediate variables, and the direction of the risk group net sensitivity to determine whether the risk factor plays a role in aggravating or hedging risk in the most unfavorable scenario that determines total capital, and the Euler decomposition weight coefficient of the risk factor is calculated accordingly; the product of the calculated Euler decomposition weight coefficient of each risk factor and the corresponding sensitivity is used as the capital decomposition value of each portfolio.
[0048] In this embodiment, the input data of the sensitive capital decomposition unit 125 includes the aforementioned input Delta, Vega, Curvature sensitive capital requirement, and the sensitivity of investment portfolio i to risk factor k. Risk weights of risk factor k Within-group correlation coefficient (Step 5) Intergroup correlation coefficient Delta risk positions in risk groups (Step 1) Weighted sensitivity of risk factor k The constructed intragroup risk median variable reflecting the intragroup aggregation effect is A. b The intermediate variable representing the intergroup aggregation effect is Q, and the intermediate variable is A. b Q can be obtained in the following way: Risk requirements within the Delta / Vega group: (twenty four) For within-group risk requirements of Curvature: (25) (26) (27) For Delta / Vega intergroup sensitivity capital requirements: (28) in, , .
[0049] For the Curvature intergroup sensitivity capital requirement: (29) in, , , 。
[0050] When the sensitivity is Delta risk factor, the parameters Q and ... are evaluated according to relevant standards. Make a judgment and obtain the final capital decomposition value according to the following formula. : like , (30) , (31) , (32) , (33) like , (34) When the sensitivity is the Vega risk factor, parameters Q and ... are evaluated according to relevant standards. Make a judgment and obtain the final capital decomposition value according to the following formula. : like , (34) like , (35) like , (36) , (37) like , (38) When the sensitivity is the Curvature risk factor, the parameters Q and ... are evaluated according to relevant standards. Make a judgment and obtain the final capital decomposition value according to the following formula. : like , (39) like , (40) like , (41) like (42) The final capital decomposition value in the above formulas (30)-(41) These are the results obtained by taking the partial derivative (Euler allocation) of the total capital calculation formula. They represent how much capital each risk factor actually contributes after considering the diversification effect of all levels.
[0051] In some embodiments of this application, such as Figure 3 As shown, the aforementioned default risk capital decomposition module 130 includes: The hedging efficiency ratio acquisition unit 131 is used to map the net default risk position (net JTD) to different risk groups, and obtain the hedging efficiency ratio of the risk group from the net long and net short net default risk positions.
[0052] In this embodiment, the hedging benefit ratio for both non-securitized products and securitized products (non-CTP) is obtained using the following formula: (43) in, This is a simple summation of all net long risk positions for default risk under different credit ratings within the same risk group; It is the absolute value of the simple summation of all net short risk positions for default risk under the same risk group and different credit ratings.
[0053] For securitized products (CTPs), the hedging benefit ratio is obtained using the following formula: (44) in, This is a simple summation of all net long risk positions for default risk across all credit ratings in all risk groups. It is the absolute value of the simple summation of all net short risk positions for default risk under all credit ratings in all risk groups.
[0054] Total default risk capital acquisition unit 132 is used to obtain the default risk capital requirement within the risk group and the total default risk capital requirement based on the default risk weight, the net position of sudden default risk and the hedging benefit ratio.
[0055] For non-securitized products and securitized products (non-CTP), the default risk capital requirement within the risk group is obtained using the following formula: (45) For securitized products (CTPs), the default risk capital requirement within a risk group is obtained using the following formula: (46) For non-securitized portfolios and securitized products (uncorrelated trading portfolios), the total default capital requirement is a simple sum of the capital requirements for different risk groups, with no diversification effect between risk groups.
[0056] For securitized products (related transaction portfolios), the total default risk capital requirement is calculated as follows: (47) The default capital decomposition unit 133 is used to calculate the marginal contribution of each transaction to the total default risk capital requirement using the Euler allocation principle: First, the capital requirement status of the risk group is determined. If the capital requirement of the risk group is zero, the capital contribution of the transactions within the group is zero. If the capital requirement of the risk group is greater than zero, the allocation coefficient based on the Euler principle is calculated, and the product of the allocation coefficient and the transaction position is taken as the default risk capital contribution of the transaction. The allocation coefficient reflects the impact of changes in the position of a single transaction on the overall capital of the risk group after considering correlation and hedging effects.
[0057] Specifically, the capital contribution to default risk It can be obtained through the following formula: = (48) (49) in, , = k represents the issuer of investment group i belonging to risk group c, and b represents the risk group to which investment group i belongs. The priority of group i; The net short position for sudden default risk of debtor k with priority s; above. and The measurement formula is based on maximizing the offsetting effect between long and short positions; ; ; .
[0058] In some embodiments of this application, the aforementioned residual risk capital decomposition module 140 is specifically used to: calculate the product of the notional principal of each transaction and the risk weight, and directly use the calculation result as the capital decomposition value of the residual risk capital for that transaction.
[0059] In some embodiments of this application, the evaluation module 150 evaluates the contribution of each portfolio or sub-portfolio to the total risk capital based on the capital decomposition results of the sensitivity method, the capital decomposition results of default risk capital, and the capital decomposition results of residual risk capital. This is to analyze risk factors with high capital requirements and factors that help reduce capital requirements, including: The system breaks down capital contribution to the transaction level and categorizes transactions based on their intrinsic elements (such as counterparty, currency, product type, and department). It then calculates and quantifies the total capital required for each element. Alternatively, it aggregates and summarizes contributions using corresponding portfolio tags or combined trading strategies for each exchange, generating an element-level capital contribution report. Another approach is to directly utilize the Euler decomposition weight coefficients obtained during capital decomposition to identify and rank risk factors with higher coefficients, quantifying their marginal contribution to total capital. Based on these analyses, the system supports automatic monitoring and setting element-level capital limit thresholds. For example, if the capital required for a certain element exceeds a preset threshold, an alarm mechanism is triggered, helping management optimize capital allocation decisions and guiding long-term risk strategies.
[0060] like Figure 4 The diagram shown is a flowchart of a market risk capital assessment method provided in an embodiment of this application. The method includes the following steps: Step S401: Obtain the transaction-level sensitivity calculation results, the net position of sudden default risk of each transaction position output by the upstream system, and the notional principal and risk weight of each transaction. Step S402: Based on the transaction-level sensitivity calculation results, use Euler decomposition to realize the risk capital decomposition based on sensitivity; Step S403: Based on the total position and net position of sudden default risk of each transaction output by the game system, the capital decomposition of default risk capital is realized by using Euler decomposition. Step S404: Based on the notional principal and risk weight of each transaction, perform capital decomposition of the remaining risk capital; Step S405: Based on the capital decomposition results of the sensitivity method, the capital decomposition results of default risk capital, and the capital decomposition results of residual risk capital, evaluate the contribution of each portfolio or sub-portfolio to the total risk capital, in order to analyze the risk factors with high capital occupation and the factors that help reduce capital occupation.
[0061] The descriptions of each of the above steps can be found in the corresponding descriptions in the foregoing system embodiments, and will not be repeated here.
[0062] As can be seen from the above technical solution, the market risk capital assessment method provided in this application, by introducing Euler decomposition, reverses the allocation of total market risk capital calculated based on complex nonlinear formulas back to specific portfolios, sub-portfolios, and even individual transactions by calculating partial derivatives (marginal contributions). This solves the problem that traditional methods struggle to clearly decompose total capital, after considering diversification effects, into independent parts. The system can quantify the specific contribution value of each transaction or risk factor to the total capital, achieving refined management of risk capital. In the decomposition process, this application not only considers the risk exposure of a single asset but also calculates weighted sensitivity using intra-group correlation coefficients, inter-group correlation coefficients, and hedging benefit ratios, combined with the chain rule. This can identify which transactions play a risk hedging role in the portfolio (i.e., showing a negative capital contribution, helping to reduce capital occupation) and which transactions are sources of risk concentration (occupying high capital). Compared to simple proportional allocation, Euler decomposition can more scientifically reflect the marginal risk cost actually borne by each business unit after considering multiple correlations (high, medium, and low correlation scenarios). Finally, this application system constructs a modular architecture, encompassing three independent yet interconnected modules: sensitivity capital decomposition, default risk capital decomposition, and residual risk capital decomposition. It can adapt to the complex requirements of the new standardized approach to market risk, enabling standardized capital measurement and decomposition of linear risk, nonlinear risk, and residual risk within the same system framework, providing comprehensive data support for financial institutions to optimize resource allocation.
[0063] This invention also provides an electronic device, including a memory, a processor, and a computer program stored in the memory and executable on the processor, wherein the processor executes the program to implement the above-described method.
[0064] This invention also provides a computer-readable storage medium storing a computer program for performing the above-described methods.
[0065] like Figure 5 As shown, the electronic device 600 may also include: a communication module 210, an input unit 220, an audio processor 230, a display 260, and a power supply 270. It is worth noting that the electronic device 600 does not necessarily need to include these components. Figure 5 All components shown; in addition, electronic device 600 may also include Figure 5 For components not shown, refer to existing technology.
[0066] like Figure 5 As shown, the central processing unit 200, sometimes also referred to as a controller or operating control, may include a microprocessor or other processor device and / or logic device. The central processing unit 200 receives inputs and controls the operation of various components of the electronic device 600.
[0067] The memory 240 may be one or more of the following: a cache, flash memory, hard drive, removable media, volatile memory, non-volatile memory, or other suitable device. It may store the aforementioned failure-related information, and also store a program for executing that information. The central processing unit 200 may execute the program stored in the memory 240 to perform information storage or processing, etc.
[0068] Input unit 220 provides input to central processing unit 200. Input unit 220 may be, for example, a keypad or touch input device. Power supply 270 provides power to electronic device 600. Display 260 displays images and text. Display may be, for example, an LCD display, but is not limited thereto.
[0069] The memory 240 can be a solid-state memory, such as a read-only memory (ROM), random access memory (RAM), a SIM card, etc. It can also be a memory that retains information even when power is off, can be selectively erased, and contains more data; examples of this type of memory are sometimes referred to as EPROMs. The memory 240 can also be some other type of device. The memory 240 includes a buffer memory 241 (sometimes referred to as a buffer). The memory 240 may include an application / function storage unit 242 for storing application and function programs or processes for executing the operation of the electronic device 600 via the central processing unit 200.
[0070] The memory 240 may also include a data storage unit 243 for storing data, such as contacts, digital data, pictures, sounds, and / or any other data used by the electronic device. The driver storage unit 244 of the memory 240 may include various drivers for the electronic device for communication functions and / or for performing other functions of the electronic device (such as messaging applications, address book applications, etc.).
[0071] The communication module 210 is a transmitter / receiver that transmits and receives signals via the antenna 211. The communication module 210 (transmitter / receiver) is coupled to the central processing unit 200 to provide input signals and receive output signals, which is the same as in a conventional mobile communication terminal.
[0072] Based on different communication technologies, multiple communication modules 210 can be configured in the same electronic device, such as cellular network modules, Bluetooth modules, and / or wireless LAN modules. The communication module 210 (transmitter / receiver) is also coupled to a speaker 231 and a microphone 232 via an audio processor 230 to provide audio output via the speaker 231 and receive audio input from the microphone 232, thereby realizing typical telecommunications functions. The audio processor 230 may include any suitable buffer, decoder, amplifier, etc. Additionally, the audio processor 230 is coupled to a central processing unit 200, enabling on-device recording via the microphone 232 and on-device playback of stored audio via the speaker 231.
[0073] Those skilled in the art will understand that embodiments of the present invention can be provided as methods, systems, or computer program products. Therefore, the present invention can take the form of a completely hardware embodiment, a completely software embodiment, or an embodiment combining software and hardware aspects. Furthermore, the present invention can take the form of a computer program product embodied on one or more computer-usable storage media (including, but not limited to, disk storage, CD-ROM, optical storage, etc.) containing computer-usable program code.
[0074] This invention is described with reference to flowchart illustrations and / or block diagrams of methods, apparatus (systems), and computer program products according to embodiments of the invention. It will be understood that each block of the flowchart illustrations and / or block diagrams, and combinations of blocks in the flowchart illustrations and / or block diagrams, can be implemented by computer program instructions. These computer program instructions can be provided to a processor of a general-purpose computer, special-purpose computer, embedded processor, or other programmable data processing apparatus to produce a machine, such that the instructions, which execute via the processor of the computer or other programmable data processing apparatus, generate instructions for implementing the flowchart illustrations and / or block diagrams. Figure 1 One or more processes and / or boxes Figure 1 A device that provides the functions specified in one or more boxes.
[0075] These computer program instructions may also be stored in a computer-readable storage medium that can direct a computer or other programmable data processing device to function in a particular manner, such that the instructions stored in the computer-readable storage medium produce an article of manufacture including instruction means, which are implemented in a process Figure 1 One or more processes and / or boxes Figure 1The function specified in one or more boxes.
[0076] These computer program instructions may also be loaded onto a computer or other programmable data processing equipment to cause a series of operational steps to be performed on the computer or other programmable equipment to produce a computer-implemented process, thereby providing instructions that execute on the computer or other programmable equipment for implementing the process. Figure 1 One or more processes and / or boxes Figure 1 The steps of the function specified in one or more boxes.
[0077] Specific embodiments have been used to illustrate the principles and implementation methods of this invention. The descriptions of the embodiments above are only for the purpose of helping to understand the method and core ideas of this invention. At the same time, for those skilled in the art, there will be changes in the specific implementation methods and application scope based on the ideas of this invention. Therefore, the content of this specification should not be construed as a limitation of this invention.
Claims
1. A market risk capital assessment system, characterized in that, The system includes: The input interface module is used to obtain the results of sensitivity calculation at the transaction level, the net position of sudden default risk of each transaction position output by the upstream system, and the notional principal and risk weight of each transaction. The sensitivity capital decomposition module is used to decompose risk capital based on sensitivity using Euler decomposition, based on the sensitivity calculation results at the transaction level. The default risk capital decomposition module is used to decompose default risk capital based on the net position of sudden default risk of each transaction position output by the upstream system and using Euler decomposition. The residual risk capital decomposition module is used to decompose the residual risk capital based on the notional principal and risk weight of each transaction. The evaluation module is used to assess the contribution of each portfolio or sub-portfolio to total risk capital based on the capital decomposition results of the sensitivity method, the capital decomposition results of default risk capital, and the capital decomposition results of residual risk capital, in order to analyze risk factors with high capital occupation and factors that help reduce capital occupation.
2. The market risk capital assessment system as described in claim 1, characterized in that, The sensitivity capital decomposition module includes: The weighted sensitivity acquisition unit is used to calculate the weighted sensitivity of the risk factor based on the transaction-level sensitivity calculation result and the risk weight mapped to the risk group to which the risk factor belongs; The risk position acquisition unit is used to sum the risk factors within the risk group using the weighted sensitivity of the risk factors with the intra-group correlation coefficient to obtain the risk position. The overall capital acquisition unit is used to sum the risk groups based on the risk position and the weighted sensitivity of the risk factors using the inter-group correlation coefficient to obtain the overall capital requirements under three correlation scenarios: high, medium, and low. The sensitivity capital acquisition unit is used to take the maximum value of the overall capital requirement among the three correlation scenarios as the sensitivity-based risk capital requirement; A sensitive capital decomposition unit is used to calculate the capital decomposition value of each portfolio corresponding to the sensitivity-based risk capital requirement based on Euler decomposition.
3. The market risk capital assessment system as described in claim 2, characterized in that, The weighted sensitivity acquisition unit is specifically used for: For Delta and Vega risk factors, for all instruments within the capital pool, the sensitivity of the same risk factor is pooled to obtain the net sensitivity of the corresponding risk factor, and the product of the net sensitivity and the corresponding risk weight is used as the weighted sensitivity of the corresponding risk factor. For the Curvature risk factor, for all instruments within the capital pooling scope, summarize and sum the CVR+ and CVR of the same Curvature risk factor. This yields the weighted sensitivity of the corresponding risk factors.
4. The market risk capital assessment system as described in claim 2, characterized in that, The risk position acquisition unit is specifically used for: For risk group b in the first group of Delta and Vega risk factors, the risk position K is obtained according to the following formula. b : ； in, The weighted sensitivity to risk factor k; The correlation coefficient within the group; The weighted sensitivity to risk factor l; For the Delta and Vega risk factors, excluding the first group, the risk position is equal to the sum of the absolute values of the weighted sensitivity. For risk group b in the first group of the Curvature risk factors, the sum of the risk factors within the risk group under upward and downward changes in the risk factors is obtained according to the following formula. and : ； ； in, The weighted sensitivity to risk factor k. for, The weighted sensitivity to risk factor l; Pick and Of the two The maximum value is used as the risk position K b ; For the other groups in the Curvature risk factor besides the first group, the risk position K is obtained according to the following formula. b : 。 5. The market risk capital assessment system as described in claim 2, characterized in that, The overall capital acquisition unit is specifically used for: For the risk groups of Delta and Vega risk factors, calculate the sum of the weighted sensitivities of all risk factors within each risk group; Based on the sum of the weighted sensitivities of all the aforementioned risk factors, the Delta or Vega sensitivities are summed across different risk groups using the following formula: ； Among them, K b For risk positions, The inter-group correlation coefficient. This is the sum of the weighted sensitivities of all risk factors within risk group b. This is the sum of the weighted sensitivities of all risk factors within risk group c; For the risk group of Curvature risk factors, the weighted sensitivity of all risk factors within the risk group is summed using the following formula; ； in, The weighted sensitivity to risk factor k; Based on the sum of the weighted sensitivities of all the risk factors, the Curvature sensitivity is summed across different risk groups using the following formula: ； in, ; Based on the given within-group correlation coefficient Correlation coefficient between groups Calculate the correlation coefficients for highly correlated scenarios and low correlated scenarios respectively; By applying the correlation coefficients under both high and low correlation scenarios, the Delta, Vega, and Curvature risk capital requirements for each scenario are obtained. The Delta, Vega, and Curvature risk capital requirements for the same scenario are then added together to obtain the overall capital requirements for the high, medium, and low correlation scenarios.
6. The market risk capital assessment system as described in claim 2, characterized in that, The sensitive capital decomposition unit is specifically used for: Construct an intragroup risk intermediate variable that reflects intragroup aggregation effect, and an intergroup capital intermediate variable that reflects intergroup aggregation effect; For Delta and Vega risk factors, different calculation scenarios are divided according to the positive or negative state of the inter-group capital intermediate variable, whether the net sensitivity within the group is truncated and adjusted, and the state of the risk intermediate variable within the group. Based on the Euler allocation principle, the Euler decomposition weight coefficient of a single risk factor is calculated. For the Curvature risk factor, based on the positive and negative states of the inter-group capital intermediate variable and the intra-group risk intermediate variable, as well as the direction selection decomposition logic of the net sensitivity of the risk group, it is determined whether the risk factor plays a role in aggravating or hedging risk in the most unfavorable scenario that determines the total capital, and the Euler decomposition weight coefficient of the risk factor is calculated accordingly. The product of the calculated Euler decomposition weight coefficients of each risk factor and the corresponding sensitivity is used as the capital decomposition value of each portfolio.
7. The market risk capital assessment system as described in claim 1, characterized in that, The default risk capital decomposition module includes: The hedging efficiency ratio acquisition unit is used to map the net position of sudden default risk to different risk groups, and obtain the hedging efficiency ratio of the risk group from the net long and net short positions of sudden default risk. The total default risk capital acquisition unit is used to obtain the default risk capital requirement within the risk group and the total default risk capital requirement based on the default risk weight, the net position of the sudden default risk, and the hedging benefit ratio. The default capital decomposition unit is used to calculate the marginal contribution of each transaction to the total default risk capital requirement using the Euler allocation principle: First, the capital requirement status of the risk group is determined. If the capital requirement of the risk group is zero, the capital contribution of transactions within the group is zero. If the capital requirement of the risk group is greater than zero, the allocation coefficient based on the Euler principle is calculated, and the product of the allocation coefficient and the transaction position is taken as the default risk capital contribution of the transaction. The allocation coefficient reflects the impact of changes in the position of a single transaction on the overall capital of the risk group after considering correlation and hedging effects.
8. The market risk capital assessment system as described in claim 1, characterized in that, The residual risk capital decomposition module is specifically used for: Calculate the product of the notional principal of each transaction and the aforementioned risk weight, and use the result directly as the capital decomposition value of the remaining risk capital for that transaction.
9. A market risk capital assessment method, characterized in that, The method includes: Obtain the results of sensitivity calculation at the transaction level, the net position of sudden default risk of each transaction position output by the upstream system, and the notional principal and risk weight of each transaction; Based on the transaction-level sensitivity calculation results, Euler decomposition is used to realize the risk capital decomposition based on sensitivity; Based on the total position and net position of sudden default risk of each transaction output by the upstream system, the capital decomposition of default risk capital is realized by using Euler decomposition. Based on the notional principal and risk weight of each transaction, the capital decomposition of the remaining risk capital is achieved. Based on the results of capital decomposition using the sensitivity method, the results of capital decomposition of default risk capital, and the results of capital decomposition of residual risk capital, the contribution of each portfolio or sub-portfolio to total risk capital is assessed to analyze risk factors with high capital requirements and factors that help reduce capital requirements.
10. An electronic device comprising a memory, a processor, and a computer program stored in the memory and executable on the processor, characterized in that, When the processor executes the computer program, it implements the steps of the method of claim 9.