SYSTEM AND METHOD FOR ESTIMATING GRADING TRANSITION PROBABILITY OF ENTERPRISE AND RECORDING MEDIUM WITH RECORDED PROGRAM MAKING COMPUTER TO IMPLEMENT THE SAME METHOD

PROBLEM TO BE SOLVED: To accurately estimate the grating transition probability of an enterprise according to the market price of bonds without depending upon a grating transition probability matrix that an existing grading institution makes open to the public. SOLUTION: The market price of the bond...

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Bibliographic Details
Main Authors AONUMA KIMIAKI, TANABE TAKAHITO
Format Patent
LanguageEnglish
Published 08.02.2002
Edition7
Subjects
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Summary:PROBLEM TO BE SOLVED: To accurately estimate the grating transition probability of an enterprise according to the market price of bonds without depending upon a grating transition probability matrix that an existing grading institution makes open to the public. SOLUTION: The market price of the bonds that the enterprise issues is reflected on variation in the grade of the enterprise, so the grading transition probability is computed on the basis of the yield spread of the bonds. More in concrete, the yield spread on a model is computed (step 112) from a relational expression showing the relation between the yield spread and grading transition probability and then grading transition probability which minimizes the weighted sum Z of errors of squares of the calculated value and the yield spread observed on the market is obtained through nonlinear optimization calculation (steps 114 to 128).
Bibliography:Application Number: JP20000225457