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MARKET RISK ASSESSMENT SYSTEM AND MARKET RISK ASSESSMENT PROGRAM
MARKET RISK ASSESSMENT SYSTEM AND MARKET RISK ASSESSMENT PROGRAM
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机译：市场风险评估系统和市场风险评估计划
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摘要
Provided is a risk evaluation system which, using a streamlined risk model, simply and reliably computes the degree of risk for an investment trust such that the risk is not undervalued. The risk evaluation system comprises a risk computation unit which computes the degree of risk according to a risk model 32, on the basis of attributes and positions for all issues on the computation date and historical data comprising price information and market indexes for all issues for a prescribed past period. The risk model 32 computes the degree of risk of each issue using the VaR method and takes the total thereof, and classifies the issues into: level A issues in which the degree of risk relating to each risk factor and the degree of residual risk of the target issue is computed by a variance-covariance method employing the sensitivity for each risk factor of the target issue; level B issues in which the degree of risk is computed by multiplying the specific risk of the target issue by the market price, etc.; and level C issues, in which the market price, etc., of the target issue is taken to be the degree of risk.
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