A calculation method for calculating risk measures concerning losses associated with a portfolio including credits given to a plurality of companies, the calculation method being implemented by a computer including an arithmetic device and a storage device including sector function data storage means, the method comprising:
- a step of calculating, by a computer, for each of the companies, data of a loss index function, executed by a loss-index-function calculating unit, wherein the loss index function is a function of a probability of loss occurrence, which is the function of a sector variable, of the respective companies and an exponential of a value that is obtained by multiplying an auxiliary variable for Laplace transform by the exposure of the credits to the company, wherein the sector variable is a realization of a sector risk factor for each of the sectors into which the companies included in the portfolio are grouped, wherein the sector risk factor is a random variable common to the companies included in the sector and is defined as a linear combination of common risk factors, which are a plurality of risk factors that can affect firm values used for determination of the probability of loss occurrence, wherein the probability of loss occurrence is a conditional probability indicating the probability of the occurrence of loss of the company based on the firm value under the condition that the sector variable of the sector to which the company belongs is given, wherein the data of the loss index function is calculated by substituting each value of discretized valuation points for the sector variable in the probability of loss occurrence, wherein the discretized valuation points are a finite number of discrete points in a range corresponding to a distribution range of the sector variable and are calculated by the arithmetic device or are preliminarily stored in the storage device;
- a sector-function-data calculating step of calculating sector function data, for each of the discretized valuation points, and storing the calculated sector function data, for each of the sectors and for each of the discretized valuation points, in the sector function data storage means, the sector-function-data calculating step being executed by a sector-function-data calculating unit, wherein the sector function is a function defined for each of the sectors and including the product of the loss index functions for all the companies belonging to the sector, wherein the sector function data are values of the sector function at the discretized valuation points, wherein the sector function data are calculated by using the value obtained by taking the product of the data of the loss index functions for all the companies in the respective sectors, and wherein the sector-function-data calculating unit stores each value of the calculated sector function data in the sector function data storage means in association with at least the sector for which the sector function is defined and the discretized valuation point at which the value of the sector function is calculated;
- a sector multiplying step of calculating an approximate value of a conditional portfolio function at respective integration points, executed by a sector multiplying unit, wherein the conditional portfolio function is a function which includes the product of the sector functions for all the sectors included in the portfolio, wherein the integration points are a finite number of discrete points in a space of common risk variables for numerically performing integration over the common risk variables that are realization of the common risk factors, wherein the sector multiplying unit calculates the approximate value at the respective integration points, for each of the sectors, by specifying one of the discretized valuation points near the sector variable which is given by the linear combination of the components of the integration point, by retrieving the sector function data associated to the specified one discretized valuation point and the sector from the sector function data storage means, and by taking the product of the retrieved sector function data for all the sectors;
- a portfolio-function calculating step of calculating data of a portfolio function, executed by a portfolio-function calculating unit, wherein the portfolio function is a function defined as the product of an average of the conditional portfolio function with respect to the common risk factors and a portfolio auxiliary variable function which is a function of the auxiliary variable, wherein the portfolio-function calculating unit calculates the average of the conditional portfolio function with respect to the common risk factors by numerically performing integration calculation over the common risk variables of an integrand that includes the conditional portfolio function using the approximate value of the conditional portfolio function at the integration points, wherein the portfolio-function calculating unit calculates the data of the portfolio function by calculating the product of the calculated average over the common risk factors of the conditional portfolio function and the portfolio auxiliary variable function;
- a Laplace inversion step executed by a Laplace inversion unit, wherein the Laplace inversion unit calculates, using the data of the portfolio function, data of values of a function obtained by subjecting the portfolio function to Laplace inversion by numerically performing integration calculation over the auxiliary variable;
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- a risk-measure calculating step executed by a risk-measure calculating unit, wherein the risk-measure calculating unit calculates risk measures indicating risks concerning losses of the portfolio from the data of the values of the function obtained by subjecting the portfolio function to Laplace inversion.