Title:
RISK MANAGEMENT SYSTEM
Document Type and Number:
WIPO Patent Application WO/2017/212651
Kind Code:
A1
Abstract:
The present invention is a risk management system which measures counterparty credit risk exposure with the SA-CCR with regard to a derivative transaction of a financial institution, said risk management system being applicable with respect to an existing system while ensuring independence and scalability thereupon. Provided is a risk management system comprising: a pattern table 347 which, for each type of product relating to a derivative transaction, defines, by a combination of logic parts which are formed from mathematical formulae for respectively computing principal, delta, and MF, a logic pattern for computing an add-on for each asset class in a PFE computation; and a PFE add-on computation unit 341 which refers to the pattern table 347 according to the product type and acquires the corresponding logic pattern, and computes the PFE add-on. Then, by the SA-CCR, the risk management system computes the PFE on the basis of the computed PFE, and computes RC, and on the basis of the PFE and RC, computes EAD.
Inventors:
ITO HIROSHI (JP)
HOKAZONO YASUNORI (JP)
HOKAZONO YASUNORI (JP)
Application Number:
PCT/JP2016/067436
Publication Date:
December 14, 2017
Filing Date:
June 10, 2016
Export Citation:
Assignee:
NOMURA RES INST LTD (JP)
International Classes:
G06Q40/02
Foreign References:
| JP2000020618A | 2000-01-21 |
Other References:
"The standardised approach for measuring counterparty credit risk exposures", BASEL COMMITTEE ON BANKING SUPERVISION, 30 April 2014 (2014-04-30), XP055455543, Retrieved from the Internet [retrieved on 20160805]
Attorney, Agent or Firm:
TSUTSUI & ASSOCIATES (JP)
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