Patent ID: 7050999

Claim:
A computer based system for computing probability distribution of loan losses in a financing organization having a plurality of loan customers, comprising: a scenario acquiring means for acquiring loan amounts of each loan customer and acquiring a plurality of bankruptcy probabilities of each said loan customer by predicting future fluctuations, and then using these values as a plurality of scenarios; a characteristic function calculating means for calculating characteristic functions for each said scenario on the basis of said loan amounts and said bankruptcy probabilities acquired by said scenario acquiring means; a probability distribution calculating means for calculating probability distributions for each said scenario by Fourier transform inversion of said characteristic functions calculated by said characteristic function calculating means; an average probability distribution calculating means for calculating an average probability distribution which is the average of said probability distributions for each said scenario; and a probability distribution output means for outputting said average probability distribution calculated by said average probability distribution calculating means, wherein said scenario acquiring means expresses probabilities of bankruptcy of said loan customers by a function, and acquires said plurality of bankruptcy probabilities according to said function, wherein said function expressing probabilities of said loan customers is Norm ⁡ [ Y k - ∑ r = 1 R ⁢ ⁢ a kr ⁢ u r ] where k indicates each loan customer, u r are random variables according to an R-dimensional normal distribution, and a kr are constants, wherein Norm ( ) is a cumulative distribution function of a standard normal distribution and Y k is a constant.