Patent ID: 8429053
Filing Date: 2013-04-23
Classification: G06Q

Abstract:
1. An information processing apparatus, comprising: a computer processor; a z calculating unit configured to calculate, via the computer processor, based on a confidence level α stored in a storage device, a percentile of a risk factor z corresponding to α using a rating threshold calculating unit configured to obtain, via the processor, a probability p a conditional probability calculating unit configured to obtain, via the computer processor, a constant a where N is a cumulative probability function of a standard normal distribution; a w a conditional expected value calculating unit configured to calculate, via the computer processor, a conditional expected value 1(z) of a portfolio value V under a condition that z is fixed based on w a conditional variance calculating unit configured to calculate, via the computer processor, a conditional variance v(z) of the portfolio value V under a condition that z is fixed based on w a qα calculating unit configured to calculate, via the computer processor, a percentile qα of a portfolio value based on a first derivative 1′(z) of 1(z) calculated in the conditional expected value calculating unit, a second derivative 1″(z) of 1(z) calculated in the conditional expected value calculating unit, v(z) calculated in the conditional variance calculating unit, and a first derivative v′(z) of v(z) calculated in the conditional variance calculating unit using an E[V a portfolio VaR calculating unit configured to calculate, via the computer processor, a portfolio VaR from the percentile q wherein the rating threshold calculating unit includes: a ps a ps a θ