Risk measurement system, risk measurement method, and risk measurement program

JP2026019531APending Publication Date: 2026-02-05MIZUHO FINANCIAL GROUP +2
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Patent Information

Application Number
JP2024121172
Authority / Receiving Office
JP · JP
Patent Type
Applications
Current Assignee / Owner
Filing Date
2024-07-26
Publication Date
2026-02-05

AI Technical Summary

Technical Problem

Existing methods for calculating credit VaR, such as Monte Carlo simulation and analytical methods, struggle with high computational loads and inability to accurately account for complex inter-company relationships and chain bankruptcies, leading to impractical risk allocation.

Method used

A risk measurement system that includes a debtor information storage unit, calculation result storage unit, and control unit to perform simulations considering chain bankruptcies, record loss amounts, and calculate VaR and CVaR for each debtor, using an algorithm that integrates Monte Carlo simulations with analytical methods to account for inter-company relationships.

Benefits of technology

Enables efficient and accurate credit risk calculation and management by accounting for chain bankruptcies and inter-company relationships, improving risk allocation accuracy.

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Abstract

To provide a risk measurement system, a risk measurement method, and a risk measurement program for managing credit risk.SOLUTION: The control unit 21 of the assistance server 20 repeats the simulation in consideration of the cascading bankruptcy using the obligor information recorded in the obligor information storage unit 22, records the amount of loss in each repetition and the default obligor in the calculation result storage unit 23, sorts the repetitions in order of the amount of loss recorded in the calculation result storage unit 23, calculates the VaR which is the amount of loss in the predetermined rank, calculates the default number rate for each obligor after the predetermined rank, and calculates the CVaR for each obligor by multiplying the default number rate by the credit amount of the obligor. CVaR-based allocation in the VaR is calculated by using the VaR and the CVaR for each obligor.SELECTED DRAWING: Figure 1
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Citation Information

Patent Citations

  • Method and system for credit risk measurement

    JP2002063345A

  • Method and apparatus for calculating credit risk of portfolio

    JP2009032237A