Comprehensive Debt Guarantee System and Method

Abstract

This invention provides a comprehensive debt guarantee system and method that can calculate the guarantee fee rate for an entire debt portfolio, including multiple small-value debts. [Solution] In one embodiment, the comprehensive debt guarantee system includes an acquisition means for acquiring bad debt history information of debtors of debts included in a debt portfolio, and a calculation means for calculating the guarantee fee rate for the debt portfolio based on the bad debt history information and predetermined expense ratios and profit margins using the following formula (1). Guarantee fee rate = Credit cost rate + Expense rate + Profit margin ... Equation (1) In the above formula, the credit cost rate is calculated as (default rate × adjustment value × default loss rate), where the default rate (PD) is the average annual default rate based on loan default history information, the default loss rate (LGD) is the expected loss amount (EL) divided by the PD, and the adjustment value represents the difference in risk levels between the loan portfolio and the guaranteed portfolio in the loan default history information.

Description

Technical Field

[0001] The present disclosure relates to an inclusive debt guarantee system and method.

Background Art

[0002] Conventionally, an individual examination type debt guarantee scheme has been known. In the individual examination type debt guarantee, examination, premium rate calculation, guarantee limit setting, etc. are performed for each individual debt.

[0003] Also, Patent Document 1 discloses a method for calculating the premium received by each guarantor participating in a guarantee consignment syndication.

Prior Art Documents

Patent Documents

[0004]

Patent Document 1

Summary of the Invention

Problems to be Solved by the Invention

[0005] On the other hand, there is a need for an inclusive guarantee of a debt portfolio including a plurality of small-amount debts, to which the scheme of individual examination type debt guarantee cannot be applied. In order to meet such needs, an inclusive examination type debt guarantee (inclusive debt guarantee) is required. In the inclusive debt guarantee, examination of individual debts is not required, and examination, premium calculation, guarantee limit setting, etc. are performed for the entire debt portfolio, thereby making it possible to guarantee the accounts receivable of the guarantee applicant collectively.

[0006] The present disclosure has been made in view of such problems, and an object thereof is to provide an inclusive debt guarantee system and method capable of calculating a premium rate for an entire debt portfolio including a plurality of small-amount debts.

Means for Solving the Problems

[0007] According to one aspect of this disclosure, a comprehensive debt guarantee system for calculating the guarantee fee rate for a debt portfolio including multiple small-value debts includes an acquisition means for acquiring bad debt history information of debtors of debts included in the debt portfolio, and a calculation means for calculating the guarantee fee rate for the debt portfolio using the following formula (1) based on the bad debt history information and predetermined expense and profit margins, Guarantee fee rate = Credit cost rate + Expense rate + Profit margin ... Equation (1) The credit cost rate is calculated by (default rate × adjustment value × default loss rate), the default rate (PD) is the average annual default rate based on the loan default history information, the default loss rate (LGD) is the value obtained by dividing the expected loss amount (EL) by the PD, and the adjustment value is a value representing the difference in risk between the loan portfolio and the guaranteed portfolio in the loan default history information, and is characterized by comprising a calculation means.

[0008] Furthermore, according to one aspect of this disclosure, in a comprehensive debt guarantee system for calculating a guarantee fee rate for a debt portfolio including multiple small-value debts, a method for calculating the guarantee fee rate comprises the steps of: obtaining bad debt history information of debtors of debts included in the debt portfolio; and calculating the guarantee fee rate for the debt portfolio based on the bad debt history information and predetermined expense and profit margins using the following formula (1), Guarantee fee rate = Credit cost rate + Expense rate + Profit margin ... Equation (1) The credit cost rate is calculated by (default rate × adjustment value × default loss rate), wherein the default rate (PD) is the average annual default rate based on the loan default history information, the default loss rate (LGD) is the value obtained by dividing the expected loss amount (EL) by the PD, and the adjustment value is a value representing the difference in risk between the loan portfolio and the guaranteed portfolio in the loan default history information, and is characterized by including a step. [Effects of the Invention]

[0009] This disclosure provides a comprehensive debt guarantee system and method that can calculate guarantee rates for an entire debt portfolio, including multiple small-value debts. [Brief explanation of the drawing]

[0010] [Figure 1] This is a schematic diagram of a comprehensive debt guarantee system according to one embodiment. [Figure 2] This figure shows an example of a computer hardware configuration according to one embodiment. [Figure 3] This figure shows an example of the functional configuration of a debt guarantee system according to one embodiment. [Figure 4] This is a sequence diagram of a method for calculating the guarantee fee rate for a debt portfolio according to one embodiment. [Figure 5] This diagram illustrates the process for calculating the guarantee fee rate for a debt portfolio according to one embodiment. [Figure 6] This figure shows an example of a guarantee application form and debtor details file according to one embodiment. [Figure 7] This figure shows an example of past debtor data according to one embodiment. [Figure 8] This figure shows an example of bad debt record data according to one embodiment of the present invention. [Figure 9] This figure shows an example of monthly data according to one embodiment. [Figure 10] This is a diagram illustrating the overview of a comprehensive debt guarantee. [Modes for carrying out the invention]

[0011] Embodiments of this disclosure will be described in detail below with reference to the accompanying drawings. The same elements are denoted by the same reference numerals throughout this specification and the accompanying drawings, and redundant descriptions are omitted.

[0012] (overview) In the comprehensive credit guarantee system according to the present disclosure, individual examination of credits is made unnecessary, and the guarantee fee rate and the like are automatically calculated and presented by utilizing credit portfolio data. By setting the dispersion condition of the number of credits, management of the guarantee limit amount for each individual debtor is made unnecessary.

[0013] FIG. 10 is a diagram for explaining the outline of comprehensive credit guarantee and shows the target credits of comprehensive credit guarantee. As shown in the figure, in the comprehensive credit guarantee according to the present disclosure, a credit portfolio including a plurality of small-amount credits is set as the guarantee target.

[0014] In the case of a large number of credits, the conventional method has not been able to provide a guarantee in accordance with the following situations. · It is impossible to provide a guarantee for a company lacking information necessary for individual examination of credits. As a result, an opportunity loss occurs. · Since detailed information of each credit is requested and visual examination is frequently used, the speed of examination is lacking. In addition, it is difficult to automate the examination. · Since it is an examination for each individual debtor, management of the guarantee limit amount is required, and a guarantee cannot be provided when the limit amount is exceeded.

[0015] Therefore, in the comprehensive credit guarantee system according to the present disclosure, instead of information on each credit, credit portfolio data is utilized to automatically present the guarantee fee rate and the like.

[0016] The specific method is as follows.

[0017] (1) Obtain the past performance data of the accounts receivable portfolio and the list of guarantee target destinations from the guarantee requester (customer), and import them into the comprehensive credit guarantee system. Considering other case conditions, calculate the guarantee fee rate for the customer and the like.

[0018] (2) The comprehensive debt guarantee system converts the amount of credit risk based on past performance data into the amount of credit risk of the guaranteed customer, based on the accounts receivable portfolio of past performance data, the accounts receivable portfolio of the guaranteed customer list, and the composition ratio of each debtor risk rank, and calculates the expected credit cost rate and expected profit rate. Based on the calculated rates, the system automatically presents the applicable guarantee rate for each case, taking into account the case conditions.

[0019] In this way, it becomes possible to guarantee a large number of debts. Furthermore, it is possible to reduce costs by moving away from manual-based screening and manual-heavy review processes, and to improve the speed of proposals.

[0020] (Example system configuration) Figure 1 is a schematic diagram of a comprehensive debt guarantee system according to one embodiment. Hereinafter, the comprehensive debt guarantee system will also be simply referred to as the debt guarantee system. The debt guarantee system 100 is connected to the guarantee requester terminal 101 via a network 102. The guarantee requester uses the guarantee requester terminal 101 to transmit information necessary for calculating the guarantee fee rate to the debt guarantee system 100. The network 102 may be an internet line or a secure network such as a dedicated line that restricts external access.

[0021] Furthermore, the debt guarantee system 100 includes a terminal device 103, a storage device 104, and a guarantee fee rate calculation device 105. The terminal device 103, the storage device 104, and the guarantee fee rate calculation device 105 are connected to each other via a wired or wireless network such as a LAN (Local Area Network) or WAN (Wide Area Network). The guarantee client terminal 101 and the terminal device 103 are computers such as tablet terminals or PCs (Personal Computers). The storage device 104 and the guarantee fee rate calculation device 105 are composed of one or more computers and perform various processing according to this embodiment. Note that the number of guarantee client terminals 101 and terminal devices 103 of the debt guarantee system 100 may be more than one, as shown in the figure.

[0022] (Computer hardware configuration) Figure 2 shows an example of the hardware configuration of a computer according to one embodiment. The computer 200 can be a computer that comprises a guarantee requester terminal 101, a terminal device 103, a storage device 104, and a guarantee fee rate calculation device 105.

[0023] The computer 200 in this embodiment includes a processor 201, a memory 202, a storage device 203, a communication interface (I / F) 205, an input device 206, and an output device 207, which are communicated together via a bus 210.

[0024] The processor 201 is a CPU (Central Processing Unit) that controls each component connected via the bus 210 and processes data. The processor 201 also performs various processes according to this embodiment by reading and executing programs stored in the memory 202 or storage device 203.

[0025] Memory 202 can be a ROM (Read Only Memory), RAM (Random Access Memory), or other type of memory, and stores programs and data for executing various processes according to this embodiment. RAM operates as work memory and can load programs read by processor 201.

[0026] The storage device 203 can be a high-capacity storage device such as an HDD (Hard Disk Drive) or an SSD (Solid State Drive), and stores programs and data for executing various processes according to this embodiment.

[0027] Communication interface (I / F) 205 is an interface for connecting to a wired or wireless network and for sending and receiving data, enabling communication with other computers.

[0028] The input device 206 can be a keyboard, mouse, or a touch panel display that also functions as an output device 207.

[0029] The output device 207 can be a liquid crystal display, an organic EL (Electro-Luminescence) display, or the like.

[0030] Furthermore, the computer's hardware configuration is not limited to the configuration examples described above and may include other elements.

[0031] (Functional Configuration) Figure 3 shows an example of the functional configuration of a debt guarantee system according to one embodiment. The debt guarantee system 100 includes a debt information receiving unit 301, a debt information storage unit 302, a debt information acquisition unit 303, a guarantee fee rate calculation unit 304, and a guarantee fee rate transmission unit 305. These functional units can be implemented by the processor 201 of the computer 200 reading and executing a program stored in the memory 202 or storage device 203. In this specification, the functional units relating to this embodiment will be described in particular, but the debt guarantee system 100 may also include other functional units.

[0032] Figure 4 is a sequence diagram of a method for calculating the guarantee fee rate for a debt portfolio according to one embodiment. The following describes the functional configuration of the debt guarantee system according to one embodiment and each step included in the method for calculating the guarantee fee rate for a debt portfolio, with reference to Figures 3 and 4.

[0033] In S401, the guarantee client terminal 101 transmits debt information necessary for calculating the guarantee fee rate for the debt portfolio to the debt guarantee system 101. The data format of the debt information can be arbitrary, as long as it can be processed by a computer. The debt information data may also be transmitted as an email attachment or by fax. Details of the debt information will be described later.

[0034] In S402, the debt information receiving unit 301 receives debt information necessary for calculating the guarantee fee rate for the debt portfolio from the guarantee client terminal 101 and stores it in the debt information storage unit 302. The debt information receiving unit 301 may be implemented by the terminal device 103 of the debt guarantee system 100. The debt information storage unit 302 may be the storage device 104 of the debt guarantee system 100. The debt information stored in the debt information storage unit 302 can be displayed on the terminal device 103, modified as needed, or missing information can be added. If debt information data is received by email or fax, the person in charge may use the terminal device 103 to input the debt information and store it in the debt information storage unit 302.

[0035] In S403, the debt information acquisition unit 303 acquires the target debt information stored in the debt information storage unit 302. The target debt information can be identified in response to instructions from the terminal device 103.

[0036] In S404, the guarantee fee rate calculation unit 304 uses the debt information acquired by the debt information acquisition unit 303 to calculate the guarantee fee rate for the debt portfolio. The calculation process for the guarantee fee rate will be described later.

[0037] In S405, the guarantee fee rate transmission unit 305 transmits the calculated guarantee fee rate to the terminal device 103. The person in charge can then present the guarantee fee rate received by the terminal device 103 to the guarantee requester. Alternatively, the terminal device 103 may transmit the received guarantee fee rate to the guarantee requester terminal 101. In this case, the guarantee requester terminal 101 receives the guarantee fee rate (S407), and the guarantee requester can confirm the guarantee fee rate on the guarantee requester terminal 101.

[0038] As described above, according to the debt guarantee system of this embodiment, the guarantee fee rate for the debt portfolio can be calculated based on the debt information submitted by the guarantee requestor and presented to the guarantee requestor.

[0039] Furthermore, the functional configuration of the debt guarantee system 100 is not limited to the functional configuration described above, and may include other components.

[0040] (Calculation process for guarantee fee rate) Figure 5 illustrates the calculation process for the guarantee fee rate of a debt portfolio according to one embodiment. The debt information of the debt portfolio described above includes guarantee application forms and debtor details files 600, debtor historical data 700, bad debt history details data 800, and monthly data 900. The guarantee fee rate calculation device 105 uses this debt information to calculate the guarantee fee rate 501 of the debt portfolio using a predetermined calculation formula.

[0041] Next, we will explain each of the data mentioned above, referring to Figures 6 to 9.

[0042] Figure 6 shows an example of a guarantee application form and debtor details file according to one embodiment. As shown in the figure, the guarantee application form and debtor details file 600 include the application date 601, the applicant's name 602, the desired guarantee amount 603, and debtor details 604. The debtor details 604 also includes the corporate number, Imperial Enterprise number, company name, and address. The desired guarantee amount 603 sets the guarantee amount per debtor within a certain limit. It is mandatory to list all of the guarantee applicant's business partners (excluding those not covered by the guarantee). In addition, it is mandatory to list all items, but if the corporate number and Imperial Enterprise number are left blank, they can be entered on the debt guarantee system 100 using the terminal device 103.

[0043] Figure 7 shows an example of debtor historical data (debtor details) according to one embodiment. In the debtor historical data 700, the reference year and month of the debtor historical data are set to a certain period prior to the calculation review period. For example, in the case where it is set to one year prior, if the calculation review period is April 2023, the data will cover March or April 2022. In addition, it is mandatory to list all business partners of the guarantee applicant (excluding those not covered by the guarantee). Although it is mandatory to list all items, if the corporate number and Teikoku Enterprise Number are left blank, they can be entered using the terminal device 103 on the debt guarantee system 100 side.

[0044] Figure 8 shows an example of bad debt history data according to one embodiment. The bad debt history data 800 covers multiple years, or the period for which monthly data is submitted (target number of years) or longer. The bad debt amount is the outstanding debt balance at the time the incident occurred. If the bad debt amount exceeds the set guarantee limit, it is corrected to the guarantee limit and recorded. Corrections can be made on the debt guarantee system 100 side using the terminal device 103.

[0045] Figure 9 shows an example of monthly data (transaction performance) according to one embodiment. The monthly data 900 includes the number of customers on a monthly basis over multiple years. The total amount of receivables is calculated as the number of customers × the guarantee limit per debtor. For example, in Figure 9, the total amount of receivables of 1,600 million yen in June 2023 is calculated as the number of customers (320) × the guarantee limit per debtor (5 million yen).

[0046] Next, a method for calculating the guarantee fee rate for a debt portfolio in one embodiment will be specifically described.

[0047] The guarantee fee rate for a bond portfolio can be calculated using the following formula (1). Guarantee fee rate = Credit cost rate + Expense rate + Profit margin ... (1)

[0048] 1. Credit cost rate The credit cost rate is calculated using the following formula (2), with respect to the PD (Probability of Default) calculated from the loan default history data, the adjusted value based on the homogeneity verification results described later, and the LGD (Loss Given Default). Credit cost ratio = PD (default rate) × adjustment value × LGD (loss rate in case of default) ... (2)

[0049] The following data submitted by the guarantee applicant will be used to calculate the credit cost ratio. • Loan default data for the most recent multiple years (including the number of cases, the number of defaults, the total amount of receivables, and the total amount of bad debts) · Payment port list in the above performance data (used for confirming the homogeneity with the guaranteed party) · Data in the same amount range as the guaranteed amount (if the guaranteed party is 5 million yen or less, the data should also be 5 million yen or less).

[0050] <Calculation methods of PD and LGD> (1) Estimate the PD in the default performance data for the recent several years by the following method. PD represents the probability that the borrower will be in a default (failure to fulfill obligations) state within a certain period. PD: mean(annual PD) Annual PD: Moving average of (total number of DF cases from month N to month N - 11) ÷ (average number of payment ports from month N - 11 to month N) Thus, PD is the average value of the annual default rate.

[0051] (2) Estimate the LGD in the default performance data (i.e., default performance information) for the recent several years by EL (Expected Loss: expected loss amount) ÷ PD. LGD represents the ratio of the amount that reaches the actual loss to the outstanding loan balance (EAD) at the time of default for the defaulted borrower. mean(total default amount for 12 months ÷ product of total guaranteed amount of payment ports for 12 months) ÷ PD

[0052] 2. Expense rate A predetermined expense rate is applied to the expense rate.

[0053] 3. Profit rate The profit rate can be calculated by the following formula (3). Profit rate = Risk capital rate × certain multiplier... (3) The risk capital rate is calculated as min(required equity rate, (guarantee fulfillment upper limit rate - credit cost rate)).

[0054] <Confirmation of homogeneity between the guaranteed object and the submitted data> In one embodiment, the homogeneity between the group to be guaranteed and the submitted data for calculating the guarantee fee rate is confirmed. The confirmation method is as follows.

[0055] • Assign debtor risk ranks to the "performance data from a certain period prior" and the "guaranteeed parties" list, and perform a significance test on the two lists. If there is no significant difference, apply the unadjusted guarantee rate (adjustment value = 1). On the other hand, if there is a significant difference, apply the guarantee rate calculated using the following formula (4). Guarantee fee rate = (PD × Adjusted value × LGD) + Expense rate + Profit margin ... (4)

[0056] The correction value is calculated using the following formula (5). Correction value = PD of the guaranteed entity ÷ PD of past performance data...(5) The PD in the above formula is calculated by applying the PD, which is determined from internally accumulated information for each debtor risk rank. For those with no rank, it is calculated backward from the PD of the guarantee requestor. Thus, in homogeneity verification, the credit cost rate is calculated by multiplying the PD by an adjustment value, and the adjustment value can be calculated by dividing the guaranteed borrower's PD by the PD based on past default history information. In other words, the adjustment value is a value that represents the difference in risk levels between the debt portfolio and the guaranteed portfolio in the default history information.

[0057] Furthermore, since the profit margin changes due to homogeneity verification, it will be recalculated based on the credit cost rate.

[0058] <Handling of additional coverage during the warranty period> In one embodiment, the guarantee fee rate is calculated when additional coverage is added during the guarantee period. The calculation method is as follows:

[0059] • Assign a debtor risk rank to each company added to the guarantee coverage, and perform a significance test on each guarantee coverage list before and after the addition. If there is no significant difference, the current guarantee rate will be applied. On the other hand, if there is a significant difference, the guarantee rate calculated using the following formula (6) will be applied. Guarantee fee rate = (PD × Adjusted value × LGD) + Expense rate + Profit margin ... (6)

[0060] The correction value is calculated using the following formula (7). Correction value = PD of the guaranteed recipients after the mid-term addition ÷ PD of the current guaranteed recipients ... (7) The PD in the above formula is calculated by applying the PD, which is determined from internally accumulated information for each debtor risk rank. For those with no rank, it is calculated backward from the PD of the guarantee requestor. In this way, when a guarantee target is added during the period, the credit cost rate is calculated by multiplying the PD by an adjustment value, and the adjustment value can be calculated by dividing the PD of the guarantee target after the mid-term addition by the PD of the current guarantee target.

[0061] Furthermore, since the profit margin changes due to the addition of guaranteed debtors, the profit margin will be recalculated based on the credit cost rate.

[0062] As described above, according to this embodiment, a comprehensive debt guarantee system and method can be provided for calculating the guarantee fee rate for an entire debt portfolio that includes multiple small debts in a comprehensive debt guarantee. [Explanation of symbols]

[0063] 100 Comprehensive Debt Guarantee System 101 Guarantee Request Terminal 102 Network 103 Terminal device 104 Storage device 105 Guarantee fee rate calculation device 200 Computers 201 CPU 202 memory 203 Storage device 205 Communication Interface 206 Input Device 207 Output device 210 Bus 301 Debt Information Receiving Department 302 Debt Information Storage Unit 303 Debt Information Acquisition Department 304 Guarantee Fee Rate Calculation Department 305 Guarantee Fee Rate Transmission Section

Claims

1. A comprehensive debt guarantee system for calculating the guarantee fee rate for a debt portfolio that includes multiple small-value debts, A means for obtaining information on the bad debt history of debtors of the debts included in the aforementioned debt portfolio, A calculation means for calculating the guarantee fee rate for the debt portfolio based on the aforementioned bad debt history information and predetermined expense ratios and profit margins, using the following formula (1): Guarantee fee rate = Credit cost rate + Expense rate + Profit rate ... Equation (1) The calculation means is The aforementioned credit cost rate is calculated by (default rate × correction value × default loss rate), The default rate (PD) is calculated as the average annual default rate based on the loan default history information. As the default loss rate (LGD), the value obtained by dividing the expected loss amount (EL) based on the bad debt history information by the PD is calculated. The aforementioned correction value is a value representing the difference in risk amount between the debt portfolio and the guaranteed portfolio in the default history information, and the calculation means calculates it by dividing the guaranteed party's PD by the PD based on past default history information. A comprehensive debt guarantee system characterized by having the following features.

2. The comprehensive debt guarantee system according to claim 1, characterized in that the guarantee amount per debtor for the aforementioned multiple small debts is within a certain amount.

3. The comprehensive debt guarantee system according to claim 1, characterized in that the aforementioned bad debt information covers the most recent multiple years.

4. The calculation means is When adding items to the warranty coverage period, The aforementioned correction value is calculated by dividing the PD of the insured parties added during the period by the PD of the currently insured parties. The profit margin is recalculated based on the credit cost rate using the following formula (3): Profit margin = Risk capital ratio × Constant multiplier ... (3) The calculation means is The aforementioned risk capital ratio is calculated as min(required capital ratio, (guarantee performance limit - aforementioned credit cost rate)). A comprehensive debt guarantee system according to claim 1, characterized by the following:

5. The comprehensive debt guarantee system according to claim 1, further comprising a receiving means for receiving and storing the aforementioned bad debt history information in a storage unit.

6. The comprehensive debt guarantee system according to claim 1, further comprising a transmission means for transmitting the calculated guarantee fee rate to the guarantee requester's terminal.

7. A computer in a comprehensive debt guarantee system that calculates the guarantee rate for a debt portfolio including multiple small debts, provides a method for calculating the said guarantee rate, The steps include obtaining information on the default history of debtors of the receivables included in the aforementioned receivable portfolio, The step of calculating the guarantee fee rate for the debt portfolio based on the aforementioned bad debt history information and predetermined expense ratios and profit margins, using the following formula (1): Guarantee fee rate = Credit cost rate + Expense rate + Profit rate ... Equation (1) The aforementioned credit cost rate is calculated by (default rate × correction value × default loss rate), The default rate (PD) is calculated as the average annual default rate based on the loan default history information. As the default loss rate (LGD), the value obtained by dividing the expected loss amount (EL) based on the bad debt history information by the PD is calculated. The aforementioned correction value is a value that represents the difference in the amount of risk between the loan portfolio and the guaranteed portfolio in the loan default history information, and is calculated by dividing the guaranteed borrower's PD by the PD based on past loan default history information, and A method characterized by including the following.

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