JP2821258B2 - Duration analysis system - Google Patents

Description

DETAILED DESCRIPTION OF THE INVENTION [Industrial Application Field] The present invention relates to asset liability management (ALM: Asse
t and Liability Management), which relates to a system that comprehensively manages all assets and liabilities of financial institutions by applying the duration method, which is essentially a method of analyzing fixed-rate products, to other products.

[Conventional technology]

Conventionally, as a duration analysis system of the ALM system used in financial institutions, "Example Computer Banking No. 5" published by Hyundai Sales Co., Ltd. page 52
As described in -57, some were only for fixed-rate assets and liabilities. According to this method, cash flows (flows of future interest payments and principal redemptions, etc.) of fixed interest rate products represented by interest-bearing bonds are compounded to present value together with principal and interest, and weighted average by these present values The purpose is to perform risk decomposition based on the average remaining period (duration).

[Problems to be solved by the invention]

The above prior art does not take into account the general application of the duration method to financial products other than fixed-rate products, and new products and combination products appear in a short cycle, and their types are complex and diverse. Given this, there was a problem that the practicality of a comprehensive asset and liability management system for banks was lacking.

In addition, the above-mentioned conventional technology unconditionally includes all cash flows of fixed-interest products together with interests. No consideration has been given to the measurement of interest rate fluctuations at the end of a particular valuation period, and bank management may be most interested in measuring or estimating fluctuations in period profit or loss. For example, there was a problem that the practicality of a bank's asset and liability management system was lacking.

An object of the present invention is to ensure the practicality of a bank's comprehensive asset and liability management system by making it possible to easily apply the duration method to financial products other than fixed-rate products at the end-user level. .

Another object of the present invention is to measure the period profit and loss by enabling a duration calculation in which the analysis target period is limited to a given evaluation period, and to secure practicality as a bank asset and liability management system. .

[Means for solving the problem]

In order to achieve the above object, the present invention provides a management table capable of qualitatively describing characteristic factors of a financial product and allowing an end user to set and change a parameter value representing the characteristic factor at any time. When actually analyzing a product, if the characteristic factor management table shows that the product is a combination product, it first proceeds to some financial products (primitives) that are components that make up the product. Decomposed, then examined the characteristic factors of each of the decomposed primitives, read the cash flow occurrence pattern, judged the cash flow occurrence pattern and called the necessary calculation module to calculate the duration After that, the duration calculated for each primitive is finally added up, and the duration as one financial instrument A function calculations are those characterized.

In order to achieve the above and other objects, the present invention also improves the conventional duration calculation method in which all future cash flows are decomposed so that only cash flows generated within a given evaluation period are reduced. It is characterized by duration calculation that can be limited to calculation.

[Action]

When a new product is added on the characteristic factor management table, a database or table for holding the transaction details of the product must also exist at the same time,
When a user adds a new product, malfunction is prevented by obligating the creation of a database or a table for holding transaction details. In addition, depending on the combination of parameters set in the characteristic factor table, there is a possibility that a product that cannot actually exist may be defined. If is designated, rejection of new product registration prevents malfunctions.

〔Example〕

 An embodiment of the present invention will be described with reference to the drawings.

FIG. 1 is a diagram showing an outline of the present invention by a processing flow. In order to analyze the duration of financial product A,
Referring to the characteristic factor management table 11 of the financial product A,
Is counted (N in this example). The table 11 includes a part (parameter) for describing the characteristic factor 12 and a part for describing the item acquisition information 13. Next, the following processing is repeated for the N primitives. First, refer to item acquisition information (information for acquiring items necessary for duration calculation) 13 to acquire all necessary items such as contract amount, contract period, market rate, and then refer to characteristic factor 12 Read the cash flow occurrence pattern,
Calls the program module that calculates the appropriate duration, and presents the present value of each primitive, BPV (Basis P
oint Value: Calculates the present value fluctuation width and duration under given interest rate fluctuation conditions. Finally, the value of each primitive is added to the present value of financial instrument A, BPV
And duration.

 Examples of the present invention will be described with reference to specific examples.

FIG. 2 shows an example of a transaction statement table for the management swap. In order to analyze the duration of this transaction, the interest rate swap that refers to the interest rate swap characteristic factor management table 11 shown in FIG. 3 is composed of two primitives. In this figure, for example, the fact that the fourth parameter of primitive 1 is 1 indicates that primitive 1 is a fixed interest rate product. Characteristic factor 12
In the description part of the item acquisition information 13 after the description part, the description of the table of the transaction details and the field as the nominal principal in the section of the face value 31 of the primitive 1 is as follows.
The value representing the face value of the primitive 1 is a field named nominal principal in the transaction details table 21 shown in FIG.
Indicates that it is held in 22. Similarly, in the term of the face interest rate 32 of primitive 2, the table is the base interest rate table, the field is the base interest rate, and the key is the base interest rate code. The value indicating the face interest rate of primitive 2 is shown in the transaction statement table. Is stored in a field named base interest rate in the base interest rate table where various index interest rates are registered, and the value of the code held in the field named base interest rate code is used as a key. Indicates that search / acquisition is required. The same applies to the start date 33, the maturity date 34, the interest payment interval 35, the interest payment month 36, and the like. First, referring to the characteristic factor 12 in order to analyze the primitive 1, the primitive 1 has a parameter in kind (denoted by 1) and an intermediate interest payment (3
Since this is a fixed-interest product with a), referring to the table in FIG. 4 showing the relationship between the characteristic factor 12 and the calculation method 41 of the analytical index, the present value of primitive 1 is calculated by the percent-of-par method. It can be seen that (the market price of the financial product) should be calculated. The calculation module based on the percent-of-par method is based on the face value 3 in the item acquisition information 13.
1. Generates interest-bearing bond-type cash flows based on six data: coupon rate 32, start date 33, maturity date 34, interest payment interval 35, and interest payment month 36. All of these cash flows are as of the current date. Discount and sum to the present value.

In FIG. 4, when the combination of the four parameters of the characteristic factors is not shown in FIG. 4, the registration of a new product is rejected.

However, in the case where the user specifies a specific evaluation period in advance, the cash flow generated at a time other than that period is not considered as a calculation target. Next, the BP is also calculated using the percent of par method.
Calculate V. Next, the duration is calculated. Primitive 2 is calculated in the same way, except that face interest rate 32 is read from the base interest rate table, and floating interest rates are converted to fixed interest rates just prior to calculation using the percent-of-par method. 2 points.

When the present value, BPV, and duration of primitive 1 and primitive 2 are calculated in this way, the result shown in FIG. The ultimate goal, present value of interest rate swaps, BPV and duration are calculated by the formulas shown in this figure. Here, the duration of the interest rate swap is calculated as a weighted average based on the present value of each primitive, but this principle does not change regardless of the number of primitives.

FIG. 6 shows the relationship between the characteristic factor 12 and the cash flow occurrence pattern. As shown in FIG. 6, the cash flow occurrence pattern is determined by the parameter values of the third and fourth terms of the description part of the characteristic factor 12 in the characteristic factor table of FIG. When the parameter is set to 4 (= interest rate) in the third term, it is impossible to determine the cash flow, but it can be generally calculated by replacing the parameter when it is set to 1 (= add-on). 6, the case where the parameter of the third term of the characteristic factor is 4 is omitted. As shown in FIG. 4, even if the cash flow occurrence patterns are exactly the same (that is, even if the parameter values of the third and fourth characteristic factors are the same), due to differences in other characteristic factors, the current Value and BPV may be calculated differently. Sixth
In the figure, the third and fourth tiers show the case where an interim interest payment occurs, but in the case of the fourth tier, a cash flow equivalent to the face value is generated on the interest rate revision date closest to the current day. It is generally known that ignoring any coupon cash flows thereafter is the correct way to generate cash flows. Note that the interest rate change date closest to the current date can be read from the transaction statement or other information source (such as a brand management table).

Hereinafter, the term of the duration will be described in the calculation method 41 shown in FIG. Macaulay Duration
This is the most primitive definition of the duration calculation formula. When returning future cash flows to their present value, they all use the same return rate (also called discount rate) (for example, 7.0%). In contrast, effective
In Dureshun, the return rate can be changed according to the remaining period. For example, cash flows that occur three months later can use the three-month yield, and cash flows that occur one year later can use the one-year yield. Therefore, it can be said that the effective duration has higher accuracy.

FIG. 7 shows a flowchart of the calculation module for calculating the present value, the BPV, and the duration when the third term of the characteristic factor 12 is set to 3 (intermediate interest payment occurs). As a basic flow, calculation is performed for all cash flows one by one, sequentially shifting from the cash flow generated at the time point farthest from the current date by the interest payment interval. However, cash flows that occur outside the evaluation period set by the user are not included in the calculation.

The computer system for realizing the above processing is
The characteristic factor management table 11, the transaction details table 21, the tables shown in FIG. 4, and the like are stored in a memory such as a main storage or an external storage device, and the above processing including calculation by the calculation module can be performed by executing a computer program. . The specific evaluation period may be input from an appropriate input device and stored on the memory.

According to the present embodiment, the end user can easily add or change the specification of the product, and can calculate the profit and loss by calculating only the cash flows generated within the specific period. is there.

〔The invention's effect〕

According to the present invention, it is possible to apply the duration method to products other than fixed interest rates only by setting parameters, so that there is an effect that program correction is not required even when a new product appears.

In addition, since the amount of change in period profit and loss can be measured, the duration method is highly practical as a method of managing assets and liabilities in banks.

[Brief description of the drawings]

FIG. 1 is a diagram showing an outline of the present invention, FIG. 2 is a diagram showing an example of an interest rate swap transaction, FIG. 3 is a diagram showing a characteristic factor management table of an interest rate swap, and FIG. FIG. 5 is a diagram showing a method of deriving an analysis result as a whole from an analysis result for each primitive, FIG. 6 is a diagram showing a relationship between a characteristic factor and a cash flow occurrence pattern, and FIG. 5 is a flowchart illustrating an example of processing of a calculation module. 11: Characteristic factor management table, 12: Characteristic factor 13: Item acquisition information 21: Transaction details table 41: Calculation method

Continuing on the front page (72) Inventor Kenji Ando 890-12 Kashimada, Saiwai-ku, Kawasaki-shi, Kanagawa Prefecture Inside the Hitachi, Ltd. Information Systems Plant (72) Inventor Mitsushige Tsukada 890-12 Kashimada, Sai-ku, Kawasaki-shi, Kanagawa Prefecture (56) References Naoto Sugioka, “Asset Liability Management Methods and System Design,” Operations Research, Vol. 32, No. 12, 1987. 783-787 Motoyoshi Tani et al. "Support for Foreign Affairs and Development of Strategic Information Systems of Regional Financial Institutions with ALM at the Core," Hitachi Review, Vol. 51, No. 2, 1989. 141-146 Atsushi Tanaka et al., "Design Concept of Financial Simulation Function in Asset and Liability Integrated Management (ALM) System," Proc. Of the IPSJ National University, Vol. 38, No. 3, 1989 1790-1791 Hidetaka Kawakita, "A Perspective on Duration and Occurrence Accounting," Corporate Accounting Vol. 42, No. 6, 1990 76-80

Claims (1)

(57) [Claims] 1. A management system which holds, for each of the primitives constituting a financial instrument, item acquisition information for specifying parameter information indicating characteristic factors and item information necessary for calculating duration, for a financial instrument to be analyzed. A table, means for acquiring item information on the financial instrument based on the item acquisition information, means for determining a cash flow generation pattern for each primitive of the financial instrument based on the parameter, and the determining means Means for calculating a duration for each primitive in accordance with the determined occurrence pattern, and calculating a duration of the financial instrument based on the calculated duration for each primitive.