㩷వ┵⎇ⓥᣉ⸳౒↪䉟䊉䊔䊷䉲䊢䊮ഃ಴੐ᬺ䇼↥ᬺᚢ⇛೑↪䇽䇺䉂䉖䈭䈱䉴䊌䉮䊮䇻㪫㪪㪬㪙㪘㪤㪜䈮䉋䉎䊕䉺䉴䉬䊷䊦䈻䈱㘧⠍೑↪ႎ๔ᦠ䇭ᐔᚑ䋱䋹ᐕᐲᣂⷙ೑↪᜛ᄢណᛯ⺖㗴㩷㫀㪇㪎㫅㪸㌁ⴕᬺ䊶଻㒾ᬺ䈮䈍䈔䉎㪘㪣㪤䋨㪘㫊㫊㪼㫋㩷㪣㫀㪸㪹㫀㫃㫀㫋㫐㩷㪤㪸㫅㪸㪾㪼㫄㪼㫅㫋䋩䉲䉴䊁䊛䈱㐿⊒㪛㪼㫍㪼㫃㫆㫇㫄㪼㫅㫋㩷㫆㪽㩷㪘㪣㪤㩿㪘㫊㫊㪼㫋㩷㪣㫀㪸㪹㫀㫃㫀㫋㫐㩷㪤㪸㫅㪸㪾㪼㫄㪼㫅㫋㪀㩷㫊㫐㫊㫋㪼㫄㩷㪽㫆㫉㩷㪹㪸㫅㫂㫀㫅㪾㩷㪸㫅㪻㩷㫀㫅㫊㫌㫉㪼㫉㠽ዬ䇭⑲ⴕ㪟㫀㪻㪼㫐㫌㫂㫀㩷㪫㫆㫉㫀㫀䊆䊠䊷䊜䊥䉦䊦䊁䉪䊉䊨䉳䊷䉵ᩣᑼળ␠㪥㫌㫄㪼㫉㫀㪺㪸㫃㩷㪫㪼㪺㪿㫅㫆㫃㫆㪾㫀㪼㫊㩷㪠㫅㪺㫆㫉㫇㫆㫉㪸㫋㪼㪻㪿㫋㫋㫇㪑㪆㪆㫎㫎㫎㪅㫅㫌㫄㫋㪼㪺㪿㪅㪺㫆㪅㫁㫇㪆䇭ᚒ䈏࿖ᦨᄢ䈱䊜䉧䊋䊮䉪ⷙᮨ䈱ో⾗↥⽶ௌ䊘䊷䊃䊐䉤䊥䉥䉕ኻ⽎䈫䈚䈩䇮Ꮢ႐䊥䉴䉪䈍䉋䈶ା↪䊥䉴䉪䈱ᓇ㗀ਅ䇮ᣣᰴᢙᐕ㑆䈱⽷ോ䉲䊚䊠䊧䊷䉲䊢䊮䉕ⴕ䈇䇮㊄Ⲣᯏ㑐䊘䊷䊃䊐䉤䊥䉥䈱⋡ᮡ⺃ዉ䉕ⴕ䈉䇯⽷ോ䉲䊚䊠䊧䊷䉲䊢䊮䈱䊥䉝䊥䊁䉞䉕⏕଻䈜䉎䈼䈒䇮㊄Ⲣᯏ㑐ౝ䈪⃻ታ䈮ⴕ䉒䉏䈩䈇䉎⚻ℂ䉕䉮䊮䊏䊠䊷䉺䊝䊂䊦䈫䈚䈩᭴▽䈚䇮䊝䊮䊁䉦䊦䊨ᴺ䈮䉋䉎㪘㪣㪤䋨⾗↥⽶ௌ▤ℂ䋩䉲䊚䊠䊧䊷䉲䊢䊮䉕ⴕ䈉䇯㪫㪪㪬㪙㪘㪤㪜ⅣႺ䈮䈍䈇䈩ᦨᄢ⚂㪊㪇㪇㪇㪚㪧㪬䉕૶↪䈚䈢ਗ೉䉲䊚䊠䊧䊷䉲䊢䊮䉕ⴕ䈦䈢⚿ᨐ䇮䈖䉏䉁䈪ⴕ䈋䈭䈎䈦䈢ᄢⷙᮨ䈭⸘▚䉕ታᣉ䈜䉎䈖䈫䈏䈪䈐䈢䇯䉁䈢䇮䈖䈱䉋䈉䈭ᄢⷙᮨ⸘▚䈏ታᣉ䈪䈐䈢䈖䈫䈮䉋䉍䇮ᣂ䈢䈭䊖䉾䊃䉴䊘䉾䊃䈱⊒⷗䈮䉅䈧䈭䈏䈦䈢䇯
䇭The authors developed software with parallel simulation engine for ALM(Asset LiabilityManagement) executable under the TSUBAME Grid Cluster environment, and succeeded torun daily simulation of accounting journal of the largest Japanese mega-bank scale entire
asset-liability portfolio for several years with about 3000 CPUs. This calculation treatedmarket risk and credit risk and evaluated scenario-each journal book based on real financial
accounting by Monte Carlo simulation. This scale calculation also found the other hot-spot of
the simulation which was not clear with usual data size.
ALM(Asset Liability Management), VaR(Value at Risk), EaR(Earnings at Risk),EDF(Expected Default Frequency), TP(Transfer Pricing), Basel II㩷䊶 ⢛᥊䈫⋡⊛䇭㌁ⴕᬺ䊶଻㒾ᬺ䈮䈍䈇䈩䇮⥄␠䈱⾗↥䉇⽶ௌ䈎䉌䇮ḩᦼ䉇㊄೑䈭䈬䈱ᕈᩰ䉕ᛠី䈚䇮 䉨䊞䉾䉲䊠䊐䊨䊷䇮ᵹേᕈ䇮 ὑᦧ䊥䉴䉪䇮 ㊄೑䊥䉴䉪䈭䈬䈱▤ℂ䉕䈜䉎䈢䉄 䈮 ⴕ 䈉 㪘㪣㪤 䋨㪘㫊㫊㪼㫋㩷㪣㫀㪸㪹㫀㫃㫀㫋㫐㩷㪤㪸㫅㪸㪾㪼㫄㪼㫅㫋䋩 䈲䇮㊄Ⲣᯏ㑐䈱࿖㓙┹੎ജ 㵰 ะ਄ 㵱 䈭䈇䈚 㵰 ⛽ᜬ 㵱 䈱ⷰὐ䈎䉌䈐䉒䉄䈩㊀ⷐᐲ䈱㜞䈇⚻༡⺖㗴䈪䈅䉎䇯㩷㩷㩷․䈮ᤓᐕ 䋨㪉㪇㪇㪎 ᐕ䋩 䈲䈇䉒䉉䉎ᣂ 㪙㪠㪪 ⷙ೙ 䋨⥄Ꮖ⾗ᧄᲧ₸ⷙ೙䇮 㪙㪸㫊㪼㫃㩷㪠㪠䋩 䈱ታᣉೋᐕᐲ䈪䉅䈅䉍䉰䊑䊒䊤䉟䊛໧㗴䈮ᄢ䈐䈒ំ䉏䈢ᐕ䈪䉅䈅䈦䈢䇯 ᧄ䊒䊨䉳䉢䉪䊃䈱⽷ോ䉲䊚䊠䊧䊷䉲䊢䊮䈲ᣂ 㪙㪠㪪 ⷙ೙䈱╙ੑ䈱ᩇ 䋨㪧㫀㫃㫃㪸㫉㩷㪠㪠䋩 䉕ᡰ䈋䉎ౝㇱ䊝䊂䊦䈪䈅䉍䇮 䊥䉴䉪䉝䉶䉾䊃㗵䈱ㆡᱜ䈭䉮䊮䊃䊨䊷䊦䇮 䊘䊷䊃䊐䉤䊥䉥ᦨㆡൻ䉕ㅢ䈛䈢 㪩㪦㪜 ะ਄䈲✕ᕆ䈱⺖㗴䈪䈅䉎䇯 䈢䈣䈚䈖䉏䉌䈲⸘▚㊂䈏⤘ᄢ䈮䈭䉎䈢䉄䈮ᓥ᧪䈭䉌䈳ᄢ᏷䈮 ♖ᐲ䉕ਅ䈕䈩 ⸘▚䉕 ⴕ䈇⹏ ଔ 䈞䈙䉎䉕ᓧ 䈭䈎䈦䈢䇯㩷㩷㩷㩷ᧄ䊒䊨䉳䉢䉪䊃䈪䈲䇮 䈖䈱⽷ോ䉲䊚䊠䊧䊷䉲䊢䊮䉕ᄢⷙᮨ䊊䉟䊌䊐䉤䊷䊙䊮䉴䉮䊮䊏䊠䊷䊁䉞䊮䉫 䋨㪟㪧㪚䋩ⅣႺ䈪䈅䉎 㪫㪪㪬㪙㪘㪤㪜 䉕૶↪䈚䈩㩷䊜䉧䊋䊮䉪ⷙᮨ䈱ోᢙ䉲䊚䊠䊧䊷䉲䊢䊮䉕ታᣉ䈚䇮 㪭㪸㪩䇮 㪜㪸㪩 ╬䈱䊥䉴䉪ᜰᮡ䈫䈫䉅䈮䇮 㪫㪧 ഀ䉍ᒰ䈩䇮 ੍ᗐ⽷ോ⻉⴫䈱૞ᚑ䉕䉲䊅䊥䉥Ფ䈮ⴕ䈦䈢䇯 ታᣉ䈱⚿ᨐ䇮 䈖䉏䉁䈪⸘▚ᤨ㑆䈱ᄢㇱಽ䉕භ䉄䈩䈇䈢ㇱಽ䈮ኻ䈚䇮 ਗ೉⸘▚䈱䈢䉄䈱 㪚㪧㪬 ᢙ䉕Ⴧട䈘䈞䉎䈮ᓥ䈦䈩⸘▚ᤨ㑆䈏ᷫዋ䈜䉎䈖䈫䈏⏕⹺䈪䈐䇮 ᄢⷙᮨ 㪟㪧㪚 ⅣႺ䈮䈍䈔䉎ᄢⷙᮨ 㪘㪣㪤 䉲䊚䊠䊧䊷䉲䊢䊮䈱น⢻ᕈ䉕␜䈚䈢䇯䊶 ᭎ⷐ㩷㩷㩷㩷ᚒ䈏࿖ᦨᄢ䈱䊜䉧䊋䊮䉪䉕ᗐቯ䈚䈢႐ว䈲䉲䊚䊠䊧䊷䉲䊢䊮䊝䊂䊦䈮౉ജ䈜䉎ขᒁⷙᮨ䈏⚂ 㪊㪇㪇 ਁઙ䇮 䉲 䊚䊠䊧䊷䉲䊢䊮ᣣᢙ䈲઒䈮 㪊 ᐕ㑆䈭䉌䈳⚂㪈㪇㪇㪇 ᣣ䇮 䈘䉌䈮䊝䊮䊁䉦䊦䊨ᴺ䉕 㪈 ਁ࿁ታᣉ䈜䉎䈫䈜䉎䇯 ✚⸘▚㊂䈲䈖䉏䉌䈱Ⓧ䈮䈭䉎䈢䉄⤘ᄢ䈭⸘▚㊂䈫䈭䉎䇯 䈖䉏䉕⚻༡䈱ᗧᕁ᳿ቯ䈮⾗䈜䉎䈮䈲⚂ 㪈ᣣ䈪ಣℂ䈚䈭䈔䉏䈳䈭䉌䈭䈇䇯䇭㩷ᧄ䊒䊨䉳䉢䉪䊃䈪䈲 㪫㪸㪹㫃㪼㪅㪈 䈮␜䈜䊜䉧䊋䊮䉪ⷙᮨ䈱䉻䊚䊷䊂䊷䉺䉕૶↪䈚䇮 ᑷ␠䉝䊒䊥䉬䊷䉲䊢䊮䈪䈅䉎 㪥㫌㫄㪼㫉㫀㪺㪸㫃㩷㪫㪼㪺㪿㫅㫆㫃㫆㪾㫀㪼㫊㩷㪘㫃㫋㫀㫋㫌㪻㪼㫤 䈱 ᄢ ⷙ ᮨ㪟㪧㪚 ⅣႺ䈪䈱Ⓙേ䉕⹜䉂䈢䇯㪈㪏㪐 䊉䊷䊄䉕૶↪䈚䇮 㪈 ਁ࿁䈱䊝䊮䊁䉦䊦䊨䉲䊚䊠䊧䊷䉲䊢䊮䉕ⴕ䈇䇮 䈖䈱㓙䈱⸘▚ᤨ㑆䈲ో૕䈪⚂ 㪈㪇 ᤨ㑆 㪊㪇 ಽ䈪䈅䈦䈢䇯㪈㪉㪅㪇㪫㫆㫋㪸㫃㪪㪺㪼㫅㪸㫉㫀㫆㩷㫊㫀㫄㫌㫃㪸㫋㫀㫆㫅

約 340 万件

取引件数
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約 5 億件
約 44 億件 / シナリオ

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㪋㪅㪇㪉㪅㪇

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約 20 万件

シミュレーション期間3年

モンテカルロ法の回数

1000 回〜 1 万回

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時価法+ アモチ・アキュム処理㪫㪸㪹㫃㪼㪅㪈㩷㪪㫀㫄㫌㫃㪸㫋㫀㫆㫅㩷㪺㫆㫅㪻㫀㫋㫀㫆㫅㩷㩷㩷㪫㪪㪬㪙㪘㪤㪜 䈲৻⥸⊛䈭 㫏㪏㪍㪄㪍㪋 䉝䊷䉨䊁䉪䉼䊞䈮䉋䉍᭴ᚑ䈘䉏䈢䊊䊷䊄䉡䉢䉝䈫ᮡḰ⊛䈭 㪦㪪 䈪䈅䉎㪣㫀㫅㫌㫏 䉕 ណ ↪ 䈚 䈢 ⸘ ▚ ᯏ Ⅳ Ⴚ 䈪 䈅 䈦 䈢 䈢 䉄䇮㪫㪪㪬㪙㪘㪤㪜 ਄䈪Ⓙേ䈘䈞䉎䈢䉄䈮ⷐ䈚䈢ᤨ㑆䈲䈗䈒䉒䈝䈎䈪䈅䈦䈢䇯 ⽷ോ䉲䊚䊠䊧䊷䉲䊢䊮䈪䈲䊝䊮䊁䉦䊦䊨ᴺ䉕૶䈦䈩ᓧ䈢Ꮢ႐䉲䊅䊥䉥䈍䉋䈶୘೎ડᬺ䈱ା↪䉲䊅䊥䉥䉕ర䈮䈚䈩ᄙᢙ࿁➅䉍㄰䈜䇯 䈖䉏䉌䈱⇣䈭䉎䉲䊅䊥䉥㑆䈮䈲⸘▚䈱㑐ㅪ䈏䈭䈇䈢䉄䇮 䊝䊮䊁䉦䊦䊨ᴺ䈲ⶄᢙ䈱䊉䊷䊄਄䈪หᤨ䈮ಣℂ䉕䈜䉎䈱䈮ㆡ䈚䈩䈇䉎䈫⸒䈋䉎䇯䊶 ⚿ᨐ䈍䉋䈶⠨ኤ䇭㩷㪫㪪㪬㪙㪘㪤㪜 ਄䈪૶↪䈜䉎䊉䊷䊄ᢙ䉕ᄌൻ䈘䈞䈢႐ว䈱䉪䊤䉴䉺ᕈ⢻䉕 㪝㫀㪾㪅㪈 䈮␜䈜 䋨䊝䊮䊁䉦䊦䊨ᴺ䈱䉲䊚䊠䊧䊷䉲䊢䊮࿁ᢙ 䋺 㪈㪇㪇㪇 ࿁䋩䇯㩷㩷㩷ⶄ ᢙ 䊉 䊷 䊄 䉕 ૶ ↪ 䈚䈩 ਗ ೉ ಣ ℂ 䉕 ⴕ 䈦䈩 䈇 䉎㪪㪺㪼㫅㪸㫉㫀㫆㩷㪪㫀㫄㫌㫃㪸㫋㫀㫆㫅 ㇱಽ䈲㜞䈇ਗ೉ൻല₸䈏ᓧ䉌䉏䈩䈇䉎䈖䈫䈏⏕⹺䈪䈐䈢䇯 㪫㫆㫋㪸㫃 ㇱಽ䈱⚿ᨐ䈮⷗䉌䉏䉎䉋䈉䈮⸘▚ో૕䈫䈚䈩䈱ਗ೉ൻല₸䈲䊉䊷䊄ᢙ䈏Ⴧട䈜䉎䈮䈧䉏䈩ਅ䈏䈦䈩䈇䉎䈏䇮 䈖䉏䈲ో૕⊛䈭⸘▚ᤨ㑆䈏⍴❗䈘䉏䉎䈮䈅䈢䉍䇮ᣂ䈢䈭䊖䉾䊃䉴䊘䉾䊃䈏㗼࿷ൻ䈚䇮 䉁䈢ઁ䈱ೋᦼൻಣℂ䈭䈬䈱භ䉄䉎ഀว䈏Ⴧട䈚䈢䈢䉄䈪䈅䉎䇯 ᦨᄢ૶↪䊉䊷䊄ᢙ䈫䈚䈩䈲㪇㪅㪇㪇㪉㪇㪋㪇㪍㪇㪥㫌㫄㪹㪼㫉㩷㫆㪽㩷㪺㪸㫃㪺㫌㫃㪸㫋㫀㫆㫅㩷㫅㫆㪻㪼㫊㪏㪇㪈㪇㪇㪝㫀㪾㪅㪈㩷㪚㫃㫌㫊㫋㪼㫉㩷㫇㪼㫉㪽㫆㫉㫄㪸㫅㪺㪼㩷㪽㫆㫉㩷㪘㪣㪤㩷㫊㫀㫄㫌㫃㪸㫋㫀㫆㫅㩷㫆㫅㩷㪫㪪㪬㪙㪘㪤㪜㩷㩿㪥㫌㫄㪹㪼㫉㩷㫆㪽㩷㫊㫀㫄㫌㫃㪸㫋㫀㫆㫅㫊㪑㩷㪈㪇㪇㪇㪀㩷㩷㩷ᣂ䈢䈮⊒⷗䈘䉏䈢䊖䉾䊃䉴䊘䉾䊃䈲ା↪䉲䊅䊥䉥䈱↢ᚑ 䋨ᄙᄌ㊂⋧㑐ਅ䈱ᣣᰴ 㪜㪛㪝 ▚಴䈭䉌䈶䈮⚻〝ଐሽ䈱䊂䊐䉤䊦䊃್ቯ䋩 䉕ⴕ䈦䈩䈇䉎ㇱಽ䈪䈅䉍䇮䉰䊑䊒䊤䉟䊛໧㗴䈭䈬䈮㑐ㅪ䈜䉎ା↪䊥䉴䉪䉕⹏ଔ䈜䉎਄䈪䈐䉒䉄䈩㊀ⷐ䈭ㇱಽ䈪䈅䉎䇯䈠䈱䈢䉄䇮䈖䈱䊖䉾䊃䉴䊘䉾䊃䈻䈱ኻᔕ䈲✕ᕆ䈱⺖㗴䈪䈅䉎䇯䊶 䉁䈫䉄䇮 ੹ᓟ䈱⺖㗴䇭㩷ᄢⷙᮨ 㪟㪧㪚 ⅣႺ䈪䈅䉎 㪫㪪㪬㪙㪘㪤㪜 ਄䈪䇮 䊜䉧䊋䊮䉪ⷙᮨ䈱ోᢙ 㪘㪣㪤 䉲䊚䊠䊧䊷䉲䊢䊮䈱น⢻ᕈ䉕␜䈚䈢䇯 㪫㪪㪬㪙㪘㪤㪜 䈱䉋䈉䈭ᄢⷙᮨ 㪟㪧㪚 ⅣႺ䉕᳃㑆ડᬺ䈏⥄೨䈪↪ᗧ䈜䉎䈮䈲䇮 ᄙᄢ䈭ᤨ㑆䈫ᢙචం౞ⷙ ᮨ䈱ᛩ⾗䈏ᔅⷐ䈫䈭䉎䇯 䉁䈢䇮 㪫㪪㪬㪙㪘㪤㪜䈲᳃㑆ડᬺ䈪䉅૶↪䈘䉏䈩䈇䉎 㪣㫀㫅㫌㫏 䉰䊷䊋䊷䈫䈇䈉 ৻ ⥸ ⊛ 䈭 䉝 䊷 䉨 䊁 䉪 䉼 䊞 䉕 ណ ↪ 䈚 䈩 䈍 䉍䇮㪫㪪㪬㪙㪘㪤㪜 ਄䈪േ૞䉕䈘䈞䉎䈢䉄䈱૞ᬺ䉅ᔅⷐᦨዊ㒢䈱ᤨ㑆䈪ⴕ䈉䈖䈫䈏䈪䈐䈢䇯㩷㩷㩷ᧄ䊒䊨䉳䉢䉪䊃䈪䈲ᣢሽ䉮䊷䊄䈱ᄌᦝ䉕ᭂജⴕ䉒䈝䈮ᄢⷙᮨ 㪟㪧㪚 ⅣႺ䈪䈱ᕈ⢻ะ਄䉕⹜䉂䈢䇯 ੹ᓟ䈲ᣂ䈢䈮⊒⷗䈘䉏䈢䊖䉾䊃䉴䊘䉾䊃䈻䈱ኻᔕ䉇ᄢⷙᮨ㪟㪧㪚 ⅣႺ䈮ㆡ䈚䈢䉮䊷䊄䈱ᡷㅧ䈮䉋䉍䇮 䈘䉌䈭䉎ᕈ⢻ะ਄䉕⹜䉂䇮 ㌁ ⴕᬺ 䊶 ଻㒾ᬺ䈪ዉ౉น⢻䈭⃻ታ⊛䈭⸘▚ᯏⅣႺ䈮䈩ታോ਄ᔅⷐ䈫䈘䉏䉎 㪈㪇 ਁ࿁ⷙᮨ䈱⸘▚䈏น⢻䈪䈅䉎䈖䈫䉕␜䈚䈢䈇䇯