JP2007272738A - Financial transaction management system, method, and program - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To calculate a comprehensive credit risk to customer orders in financial transactions such as exchange transactions. <P>SOLUTION: A financial transaction management system has a control part 3 including an order acceptance control function 3a of writing information on a financial transaction order from a customer terminal 9 into an order acceptance management DB 4, a credit line/executed transaction/outstanding transaction inquiry function 3b of inquiring the customer's credit line of a credit line management DB 5, inquiring executed transactions of an executed transaction management DB 6 and inquiring outstanding transactions of the order acceptance management DB 4, a prevailing market rate inquiry function 3c of inquiring prevailing market rates of a prevailing market rate management DB 8, an arithmetic function 3d of reading set values for the calculation of risks to the new order, executed transactions and outstanding transactions from a set value management DB 7 to calculate such risks, and an order acceptance determination function 3e of executing an acceptance determination by calculating an executed transaction balance, an outstanding order balance and an acceptable amount based on the risks and calculating an order deposit amount based on the risks from a received amount for the new order. <P>COPYRIGHT: (C)2008,JPO&INPIT

Description

  The present invention relates to a financial transaction management system, a financial transaction management method, and a financial transaction management program.

 Currently, the financial institution's credit management for financial transactions between financial institutions and customers is set by the financial institution for each customer or transaction using the principal (transaction amount itself) or notional principal in the transaction. A method of managing by comparing with the credit extreme is common. This is because, in the conventional traditional loan business, if the principal, that is, the loan amount is directly managed, it is possible to substantially satisfy the requirements for credit management.

On the other hand, in recent years, the volume of so-called off-balance-sheet transactions such as derivative transactions and foreign exchange transactions aimed at hedging against risks due to fluctuations in prevailing rates in financial markets has been increasing in financial transactions between financial institutions and customers. It is increasing. For these off-balance transactions, credit management on the financial institution side is generally an extension of the existing lending business and the assumed principal of the transaction itself is subject to credit management.

Patent Document 1 discloses a computerized financial transaction system in which a financial operator who has applied for a financial product from a customer makes a rating of the customer, that is, a customer's rating, a price of the financial product, and a credit. Yes.
JP 2002-007703 A

  The prior art employs a principal-based credit risk management method for transactions such as forward exchange contracts. In this method, credit risk for customer orders cannot be calculated precisely, so it is indispensable for financial institutions to set up extreme margins with sufficient margins in comparison with actual transaction amounts for credit to customers. Conversely, when viewed from the customer's perspective, the maximum amount that the customer can order may be limited to transactions only within an extreme that is less than necessary.

  The purpose of the present invention is to enable precise setting for the enterprise side by realizing precise calculation of credit risk for customer orders for financial transactions such as foreign exchange transactions, Is to enable transactions within reasonable limits.

  According to the first aspect of the present invention, a communication control unit that communicates with a customer terminal, an order reception management database that stores financial transaction order reception data from a customer, and stores the customer credit extreme data A credit extreme management database, a contracted transaction management database that stores data on transactions that have been closed among orders received from the above customers, a setting value management database that stores setting values for calculating risks, and a market Market prevailing rate management database that stores prevailing rates, an order acceptance control function that accepts orders for financial transactions from the customer terminals, and writes information related to the orders to the order acceptance management database, and preset for each customer When the credit extreme is inquired in the credit extreme management database, and the contracted transaction of the above customer is inquired in the contracted transaction management database. Inquiry of the above-mentioned customer's deposit transaction in the order reception management database, the credit limit / contracted transaction / deposit transaction transaction inquiry function, the market trend rate query function to query the market trend rate in the market trend rate management database, new orders, Read the setting values for calculating the risk of contracted transactions and transactions in deposit from the setting value management database, and calculate the risk of new orders, contracted transactions and transactions in deposit, and this calculated risk. An order acceptance determination function that calculates at least the contracted transaction balance, the order deposit balance, and the acceptable amount received, calculates the order deposit amount in consideration of the risk from the receipt amount for a new order, and performs acceptance determination A financial transaction management system comprising: a control unit;

  In the first aspect, the risk may be a current exposure and a potential exposure. Further, the risk may be a current exposure, a potential exposure, and a settlement exposure.

  According to the second aspect of the present invention, the order acceptance control means accepts an order of the financial transaction from the customer terminal, writes information relating to the order into the order acceptance management database, and the credit limit / contracted transaction / deposit Use the middle transaction inquiry means to query the preset credit limit for each customer in the credit limit management database, query the customer's contracted transactions in the contracted transaction management database, and accept orders from the customers in-stored transactions Inquire in the management database, use the market prevailing rate inquiry means to inquire about the prevailing market rate in the market prevailing rate management database, and use the computing means to calculate the set values for calculating the risk of new orders, contracted transactions, and deposit transactions. Read from the set value management database, calculate the risk of new orders, contracted transactions and transactions in deposit, , Calculate at least the contracted transaction balance, order deposit balance and acceptable amount taking into account this calculated risk, calculate the order deposit amount taking into account the risk from the received amount for new orders, and perform acceptance judgment A financial transaction management method is provided.

  In the second aspect, the risks may be current exposure and potential exposure. Further, the risk may be a current exposure, a potential exposure, and a settlement exposure.

  According to the third aspect of the present invention, an order acceptance control function for accepting an order for a financial transaction from the customer terminal and writing information related to the order in an order acceptance management database in the computer, and presetting for each customer The credit limit management database, the contracted transaction management database of the above customer, the transaction management database of the customer, and the transaction of the customer in the order reception management database. Inquiry transaction inquiry function, market actual rate inquiry function that inquires the market actual rate in the market actual rate management database, and set value management database for setting values to calculate the risk of new orders, contracted transactions and transactions in deposit Read more, calculate the risk of new orders, contracted transactions and transactions in deposit, and the calculated risk An order acceptance determination function for calculating at least a contracted transaction balance, an order deposit balance, an acceptable amount received, calculating an order deposit amount in consideration of the risk from the received amount for a new order, and determining acceptance A financial transaction management program is provided for implementation.

  In the third aspect, the risk may be a current exposure and a potential exposure. Further, the risk may be a current exposure, a potential exposure, and a settlement exposure.

  According to the present invention, for financial transactions such as foreign exchange transactions, it is possible to set an appropriate extreme for a company by realizing precise calculation of credit risk for a customer order, and it is appropriate for a customer. It is possible to provide a financial transaction management system, a financial transaction management method, and a financial transaction management program that enable transactions within extreme limits.

  Embodiments of the present invention will be described below with reference to the drawings.

  The features of the financial transaction management system according to one embodiment of the present invention are as follows.

  (1) By referring to a contract transaction in which a financial transaction such as a foreign exchange transaction has been concluded, a risk (loss amount on the financial institution side) when a transaction between the financial institution and the customer fails is calculated. As this risk will be described in detail later, the current exposure (MTM) and the potential exposure (PE) may be calculated, and in addition to these, the settlement exposure (SE) may be calculated. That is, in the system according to an embodiment, every time an order of a financial transaction such as a new currency exchange transaction is accepted, a transaction that is being deposited such as a contract transaction and a limit order is referred to (MTM + PE (plus SE). It is also possible to recalculate.

  (2) For a financial transaction such as a foreign exchange transaction, for example, when there is a new order such as a limit order, (MTM + PE (which may further include SE)) in the new order is calculated, and details will be described later. However, it calculates (MTM + PE (additionally, SE may be taken into account)) related to transactions under execution such as contracted transactions and limit orders, etc., and comprehensively considers them to determine whether or not acceptance is possible.

  Based on the above, an embodiment of the present invention will be described in detail.

  FIG. 1 is a configuration diagram of a financial transaction management system according to an embodiment of the present invention.

  As shown in FIG. 1, the financial transaction management system 1 includes a communication control unit 2 for communicating with a customer terminal 9 via a communication network 10 such as the Internet, and a control unit 3 for controlling the entire system. , Consisting of various databases (hereinafter abbreviated as DB) 4 to 8.

  Examples of the various DBs include an order reception management DB 4, a credit extreme management DB 5, a contracted transaction management DB 6, a set value management DB 7, and a market prevailing rate management DB 8.

  The order reception management DB 4 stores reception data for financial transaction orders received from customers by financial institutions. The credit limit management DB 5 stores the MTM + PE-based credit limit allowed by the financial institution to the customer, the longest acceptable delivery period, and the like. The contracted transaction management DB 6 stores data of transactions that have been concluded among orders of financial transactions received from customers. The setting value management DB 7 stores setting values for the financial institution to set PE and SE described later. And the market prevailing rate management DB8 preserve | saves a prevailing market rate.

  Hereinafter, each will be described in more detail with reference to FIGS.

  For example, an order reception management table as shown in FIG. 2 is stored in the order reception management DB 4. That is, in the order reception management table, for each exchange transaction, the reception number, reception date, reception time, customer account number, reception status, transaction currency type (currency 1, currency 2), transaction type (side), limit price, amount, Delivery date, deposit period, result confirmation date, result confirmation time, contract number, etc. are associated and managed. Among these, the “acceptance status” cell stores, as data, information indicating whether acceptance is being accepted, depositing, acceptance refusal, contract, or contract is not completed. More specifically, a case where a financial institution accepts a limit order from a customer will be described. In the “acceptance status” cell, data indicating “acceptance determination is in progress” is first written. Then, after the acceptance / rejection determination is made, the status is updated to “custody” or “rejection acceptance”. Next, after acceptance / rejection determination is made, if acceptance is possible, the limit order is kept until the limit receipt deadline, data of “being kept” is written, and the actual rate is compared with the limit price. In addition, if the acceptance is rejected after the acceptance / non-acceptance determination, data of “reception acceptance” is written. In this way, if the actual rate reaches the limit during the deposit period and the contract is established, the data of “contract” is written, and if the actual rate does not reach the limit during the deposit period and the contract is not established The data “incomplete” is written.

  In addition, in the “transaction currency type” cell, currency types (USD, EUR, GBP, JPY) that are the targets of the exchange transaction are stored as data for each of the currencies 1 and 2 of the transaction currency type. In the “side” cell representing the transaction type, whether it is buying (BID) or selling (OFFER) is stored as data. The cell of “result confirmation date” shows the date and time when the result as a limit order is confirmed after the status is closed or the deposit time limit is exceeded. In the “contract number” cell, the data of the contract number assigned when the market actual rate reaches the limit price during the deposit period and the contract is established is written.

  On the other hand, the credit extreme management DB 5 stores a credit extreme management table as shown in FIG. 3, for example. That is, in the credit limit management table, the MTM + PE credit limit, the SE credit limit, and the longest acceptable delivery period that are set in advance for each customer account number are managed in association with each other.

  The contracted transaction management DB 6 stores a contracted transaction management table as shown in FIG. 4, for example. That is, in the contracted transaction management table, the contract number, contract date, contract time, customer account number, transaction currency type (currency 1, currency 2), transaction type (side), limit price, amount, and delivery date are associated with each other. It is managed. Among these, the “transaction currency type” cell stores the type of currency (USD, EUR, GBP, JPY) as the object of the exchange transaction for each of the currencies 1 and 2 as data. In the “side” cell representing the transaction type, whether it is buying (BID) or selling (OFFER) is stored as data.

  On the other hand, the setting value management DB 7 includes a PE setting value table 1 (for each currency pair) as shown in FIG. 5, a PE setting value table 2 (for each remaining period) as shown in FIG. An SE set value table (for each exposure lifetime) as shown is stored.

  Details will be described below.

  That is, in the PE setting value table 1, the transaction currency type (currency 1, currency 2) and the daily price fluctuation rate (multiplication) by currency pair are managed in association with each other. Further, in the PE setting value table 2, the multiplication marks for each remaining period are managed. Although details will be described later, the control unit 3 calculates PE by referring to these tables by the calculation function 3d.

  In addition, in the SE setting value table, a product for each exposure lifetime is managed. Although details will be described later, the control unit 3 calculates SE by referring to the table by the calculation function 3d.

  In addition to the above, the market actual rate management DB 8 stores a market actual rate management table as shown in FIG. In the table, transaction currency type (currency 1, currency 2), transaction type (side), period, and rate are managed in association with each other. In the “transaction currency type” cell, the type of currency (USD, EUR, GBP, JPY) that is the target of the exchange transaction for each of the currencies 1 and 2 is stored as data. In the “side” cell representing the transaction type, whether it is buying (BID) or selling (OFFER) is stored as data. In the “period” cell, data related to the period such as SP, SN, 1W, and 1M is stored. If the cash flow delivery date does not match the standard (SN, 1W, 1M...) Where the market rate exists, complementation (such as linear apportionment) is performed and applied. The graph of the rate and period after the supplement is called a yield curve, and there are various methods for deriving it.

  The control unit 2 receives an order for a financial transaction from the customer terminal 9 and inquires the order acceptance control function 3a for writing information related to the order in the order acceptance management DB 4 and the credit extreme management DB 5 for the customer's credit extreme, The customer's contracted transaction is inquired in the contracted transaction management DB 6 and the customer's deposit transaction is inquired in the order reception management DB 4. The market actual rate inquiry function 3c to be inquired in the actual rate management DB 8 and setting values for calculating the risk of new orders, contracted transactions and transactions in deposit are read from the set value management DB 7, and new orders, contract transactions and deposits are read. The calculation function 3d that calculates the risk of medium transactions, and at least the contracted transaction balance, the order deposit balance, and the acceptable amount taking into account the calculated risk, From the reception amount of the order by adding the risk to calculate an order amount of deposit has a order reception determination function 3e to perform acceptance determination, and a main control function 3f responsible for other control. When the control unit 2 performs these functions 3a to 3f, the order reception control means, the credit limit / confirmed transaction / deposited transaction inquiry means, the market prevailing rate inquiry means, the calculation means, the order acceptance determination means, respectively. , Acting as the main control means.

  Hereinafter, with reference to the conceptual diagram of FIG. 9, risk management by the financial transaction management system according to the embodiment of the present invention will be described.

  In FIG. 9, the present system manages credit risk (# 1). This credit risk means that after a financial institution and a customer conclude a transaction (for example, a forward exchange contract, etc.), the transaction cannot be performed as originally scheduled due to the convenience of the customer (for example, bankruptcy or deterioration of funds). In this case, the loss that the financial institution will suffer.

  That is, this system manages the credit exposure at the time of default and the probability that the other party defaults (# 2, # 3).

  Here, the “default time point” means a time point when it becomes clear that the customer of the financial institution cannot fulfill the contract as originally contracted.

  For example, in general, “foreign exchange transaction” means that when a transaction is concluded between a financial institution and a customer, exchange obligations between different currencies such as foreign currency and Japanese currency at the same time or in the future occur. The default point in foreign exchange trading is the current state between the two parties determined at the conclusion of the transaction, and the supplier will no longer be able to fulfill their obligations for the exchange of foreign currency and Japanese currency at the future time as originally agreed. This is the time when it was found out.

  In other words, the “probability that the counterparty defaults” means the probability that a customer of a financial institution will not be able to fulfill the contract as originally agreed (transfer to the current day and transfer of money at a future time), “Credit exposure at the time of default” means the amount of loss actually incurred by the financial institution when the counterparty defaults.

  Further, in this system, unsettled risk and settlement risk are managed as conceptually included in the credit exposure at the default time (# 4, # 5).

  For example, in the case of foreign exchange transactions, “unsettled risk” is based on the assumption that a transaction is concluded between a financial institution and a customer, and there is an obligation to exchange between different currencies such as foreign currency and Japanese currency at a future time. This means the loss incurred by the financial institution when it becomes clear that the date of exchange has not arrived and future exchanges with customers are no longer possible.

  On the other hand, “settlement risk” refers to the fact that the above exchange date has arrived and the financial institution has first paid the customer foreign currency or Japanese currency according to the transaction, but the customer went bankrupt during that day. This means the amount of loss that a financial institution suffers if it cannot be received by the financial institution.

  This unsettled risk includes MTM and PE (# 6, # 7).

  “MTM” refers to the restructuring cost that a financial institution must bear when restructuring the same transaction with a third party when the counterparty cannot continue the transaction due to bankruptcy or the like. In practice, MTM is the sum of present value (PV) at the current market prevailing rate in the cash flow of both the payer and the receiver (all if there are multiple payments) for the subject transaction. Calculated. MTM (calculated as the present value by discounting the interest) can be calculated by the following equation.

MTM = present value of the first payment + ... + present value of the nth payment
= Σ {PV _{(CF on payment side)} + PV _{(CF on receiving side)} }
= Σ {FV / (1 + R) ⁿ }
PV: Present value FV: Future value (delivery amount in the future)
R: Discount rate (eg annual interest rate)
n: period from the present to the future (for example, yearly)
In this MTM, the control unit 3 reads the applicable rate by referring to the market actual rate management table stored in the market actual rate management DB 8 by the calculation function 3d, calculates the discount rate based on the rate, It is obtained from the above formula.

Here, as an example, a case is assumed where the delivery amount 100, which is the future value (FV) of one year, is replaced with the present value (PV). Now, assuming that the interest rate (discount rate) for one year is 5% and the investment amount that makes the total principal and interest 100 is X,
X × (1 + 5%) = 100
X = 100 / (1 + 5%)
X = 95.238 = 95.24
If the discount rate is 5%, the current 95.24 is equivalent to 100.00 one year later.

  On the other hand, “PE” is an expected fluctuation amount of the MTM balance due to a possible change in interest rate or exchange rate in the future. This PE can be calculated by the following equation, for example.

PE = MTM × Price fluctuation rate by currency pair per day × Remaining period-by-life period This PE is stored in the PE setting value table 1 and the PE setting value table 2 in the setting value management DB 7 by the calculation function 3d. Refer to and obtain the multiplication factor corresponding to the transaction currency type (corresponding to the price fluctuation rate by currency pair) and the multiplication factor corresponding to the remaining period (corresponding to the multiplication by remaining term) and substituting it into the above equation And

  In this system, settlement risk (SE) is managed (# 8).

  “SE” is an exposure at the time of settlement, and when there is a delivery of money between you and a trading partner, it becomes impossible to cancel the payment instruction regarding the selling currency unilaterally. This refers to the risk that the partner will go bankrupt and not receive compensation from the partner during the time it takes to confirm the payment from the partner (exposure lifetime). SE can be calculated by the following equation.

SE = multiply corresponding to delivery amount × exposure duration This SE is obtained by the control function 3d by referring to the SE setting value table in the setting value management DB 7 using the calculation function 3d. Read and obtain with the above equation.

  Next, credit management by the financial transaction management system according to the embodiment of the present invention will be described with reference to the conceptual diagram of FIG. Here, MTM + PE-based credit management is taken as an example, but it is needless to say that SE may be further added to this.

  In FIG. 10, the vertical axis represents the MTM + PE-based credit balance, and the horizontal axis represents time.

  The credit balance on the basis of MTM + PE means “deposited transaction balance calculated on an MTM + PE basis for the contract transaction stored in the contract transaction management DB 6 and“ deposits ”such as limit orders stored in the order reception management DB 4. There are two types of order deposit balances calculated on a MTM + PE basis for “medium” transactions. Here, the management is performed using the MTM + PE-based credit extreme stored in the credit extreme management DB 5, the MTM + PE-based contracted transaction balance, the order deposit balance, and the acceptable amount. Acceptable amount is the amount to be compared with the MTM + PE-based order deposit amount when determining whether to accept an order. From the MTM + PE-based credit limit to the MTM + PE-based contracted transaction balance, and the MTM + PE-based Calculated by subtracting the order deposit balance.

  Hereinafter, it demonstrates in detail in time series. First, before acceptance, the control unit 3 calculates the MTM + PE-based contracted transaction balance, the order deposit balance, and the acceptable amount by the calculation function 3d. In this example, MTM + PE-based credit limit is “50”, MTM + PE-based contracted transaction balance is “30”, MTM + PE-based order deposit balance is “5”, and MTM + PE-based acceptable amount is “15”. Yes.

  Subsequently, at the time of acceptance, the control unit 3 accepts an order of “10” as the acceptance amount by the order acceptance control function 3a. Thereafter, at the time of acceptability determination, the control unit 3 calculates an MTM + PE-based order deposit amount from the received amount “10” by the calculation function 3d. In this example, it is “2”.

  After the acceptability determination of comparing the MTM + PE-based acceptable amount with the MTM + PE-based limit order deposit amount, the acceptability is judged and the status of the “accepting acceptance” transaction of the transaction stored in the order acceptance management DB 4 is “ "Deposited". That is, in this example, “2”, which is the MTM + PE-based order deposit amount, is included in the MTM + PE-based order deposit balance, and the balance is “7”. Therefore, the MTM + PE based acceptable amount is “13”. Thereafter, when the market prevailing rate reaches the limit and the contract is concluded for the order being deposited, the MTM + PE-based contracted transaction balance is “32” and the order deposit balance is “5”. The acceptable amount remains “13”.

  In the above series of processing, the contracted transaction balance, the order deposit balance, and the acceptable amount may be calculated by further adding SE to MTM + PE.

  Finally, a series of processing by the financial transaction management system according to the embodiment of the present invention will be described with reference to the flowchart of FIG. Note that FIG. 1 will be referred to as appropriate.

  When receiving an order for a financial transaction such as a currency exchange transaction from the customer terminal 9 via the communication network 10 and the communication control unit 2, the control unit 3 uses the order reception control function 3a to send information related to the order in the order reception management DB 4 Write in the order reception management table (step S1). Subsequently, the control unit 3 uses the credit limit / contracted transaction / in-deposit transaction inquiry function 3b to query the customer's MTM + PE-based credit limit in the credit limit management table of the credit limit management DB 5 (step S2). Further, the control unit 3 refers to the contracted transaction management table of the contracted transaction management DB 6 for the customer's contracted transaction using the credit limit / contracted transaction / deposited transaction inquiry function 3b (step S3). Further, the control unit 3 uses the order reception management table to inquire the customer's deposit transaction using the credit limit / contracted transaction / deposit transaction inquiry function 3b (step S4). Further, the control unit 3 uses the market actual rate inquiry function 3c to inquire the market actual rate distributed periodically from the market 11 in the market actual rate management table of the market actual rate management DB 8 (step S5).

  Subsequently, the control unit 3 reads setting values for calculating PEs and SEs of new orders, contracted transactions and transactions in deposit from the setting value management DB 7 using the calculation function 3d (step S6). Specifically, the PE setting parameter table (for each currency pair) in FIG. 5 and the PE setting value table (for each remaining period) in FIG. The SE calculation parameter table (multiplication) is read with reference to the SE set value table (for each exposure lifetime).

  And the control part 3 calculates MTM + PE and SE of a new order, a contracted transaction, and the transaction under deposit by the calculation function 3d (step S7). Since these calculations are the same as those described above with reference to FIG. 10, a duplicate description is omitted here.

  Thus, based on the calculated MTM + PE and SE, the control unit 3 uses the calculation function 3d to execute the MTM + PE-based contracted transaction balance, the order deposit balance, the acceptable amount, and the logic as described above with reference to FIG. The order deposit amount is calculated, and the acceptance judgment is performed by the order acceptance judgment function 3e (step S8).

  As a result of the acceptance determination, when the deposit is in progress, the control unit 3 performs an order acceptance completion notification from the customer by the main control function 3f (step S9), and updates the order acceptance management table in the order acceptance management DB 4 (Step S10), and the process is terminated. On the other hand, if the acceptance is rejected as a result of the acceptance determination in step S7, the control unit 3 performs an order acceptance failure notification from the customer by the main control function 3f (step S11), and the order in the order acceptance management DB 4 The reception management table is updated (step S10), and all the processes are terminated.

  As explained above, in conventional risk management based on principal, assuming that both the buying and selling sides are traded at the same moment for the same amount, credit risk when the customer goes bankrupt before delivery of the actual product. Although it should be “0”, there is no concept of selling and buying, so if the transaction amount is the same, the credit risk was simply doubled. According to the embodiment, this problem can be solved. Furthermore, since the concept of the period was not taken into account in the past, if the number of days remaining until the delivery date is actually reduced, the risk of bankruptcy on the customer side will be reduced, but the risk amount at the time of reception will be reduced. Although it remained constant until the delivery date, according to the present embodiment, this problem can be solved.

  In addition, since there is no concept of rate fluctuation in the past, the balance is managed with the principal set at the time of acceptance, so if the rate fluctuates after the acceptance date, the amount of risk that increases or decreases due to the fluctuation is balance. However, according to the present embodiment, this problem can be solved. In addition, since there is no concept of currency pairs, there is no distinction between currency pairs with relatively large rate fluctuations and small currency pairs, and there is no distinction in liquidity in the market for each currency pair. If they are the same amount, they are regarded as the same risk amount, but according to the present embodiment, such a problem can be solved.

  Although one embodiment of the present invention has been described above, the present invention is not limited to this, and various improvements and modifications can be made without departing from the spirit of the present invention. For example, the present invention can be applied to commodity futures transactions.

The block diagram of the financial transaction management system concerning one embodiment of this invention. The figure which shows an example of the order reception management table of order reception management DB4. The figure which shows an example of the credit extreme management table of credit extreme management DB5. The figure which shows an example of the contracted transaction management table of contracted transaction management DB6. The figure which shows an example of the setting value table 1 for PE of setting value management DB7. The figure which shows an example of the setting value table 2 for PE of setting value management DB7. The figure which shows an example of the setting value table for SE of setting value management DB7. The figure which shows an example of the market prevailing rate management table of market prevailing rate management DB8. The conceptual diagram explaining the risk management by the financial transaction management system which concerns on one embodiment of this invention. The conceptual diagram explaining the credit management by the financial transaction management system which concerns on one embodiment of this invention. The flowchart explaining a series of processes by the financial transaction management system which concerns on one embodiment of this invention.

Explanation of symbols

  DESCRIPTION OF SYMBOLS 1 ... Financial transaction management system, 2 ... Communication control part, 3 ... Control part, 3a ... Order reception control function, 3b ... Credit extreme, contracted transaction, on-deposit transaction inquiry function, 3c ... Market prevailing rate inquiry function, 3d ... Arithmetic function, 3e ... Order reception determination function, 3f ... Main control function, 4 ... Order reception management DB, 5 ... Credit extreme management DB, 6 ... Contracted transaction management DB, 7 ... Setting value management DB, 8 ... Market prevailing rate Management DB, 9 ... customer terminal, 10 ... communication network, 11 ... market.

Claims (9)

A communication control unit for communicating with the customer terminal;
Order reception management database that stores data on the receipt of orders for financial transactions from customers, credit extreme management database that stores data on the customer's credit limit, and data on transactions that have been closed among orders received from the customer A contracted transaction management database that stores data, a setting value management database that stores setting values for calculating risks, a market rate management database that stores market rate rates,
An order reception control function for receiving an order for financial transactions from the customer terminal and writing information related to the order in an order reception management database, and referring to a credit maximum management database set in advance for each customer, Inquiry of customer's contracted transaction in the contracted transaction management database and inquiry of the above-mentioned customer's deposit transaction in the order reception management database. The market rate inquiry function that inquires in the management database and the setting value for calculating the risk of new orders, contracted transactions and transactions in deposit are read from the setting value management database, and new orders, contracted transactions and transactions in deposit are Arithmetic function to calculate risk and the balance of contracted transaction, order deposit balance, taking account of this calculated risk At least calculate the amount, and a control unit having in consideration the risk of accepting money according to the new order to calculate the order amount of deposit, the order reception determination function for acceptance determination, a,
A financial transaction management system characterized by comprising:   The financial transaction management system according to claim 1, wherein the risks are current exposure and potential exposure.   2. The financial transaction management system according to claim 1, wherein the risks are a current exposure, a potential exposure, and a settlement exposure. The order acceptance control means accepts an order for the financial transaction from the customer terminal, writes information relating to the order in the order acceptance management database,
The credit limit / contracted transaction / in-deposit transaction inquiry means is used to inquire the preset credit limit for each customer in the credit limit management database, the contracted transaction of the customer is referred to in the contracted transaction management database and the above Inquire about the customer's transactions in the order reception management database,
Use the market prevailing rate reference means to check the prevailing market rate in the prevailing market rate management database,
The calculation means reads the setting value for calculating the risk of new orders, contracted transactions and transactions in deposit from the setting value management database, calculates the risk of new orders, contracted transactions and transactions in deposit,
The order acceptance determination means calculates at least the contracted transaction balance, the order deposit balance, and the acceptable amount taking this calculated risk into account, and calculates the order deposit amount taking into account the risk from the received amount for new orders. , Make a reception decision,
A method of managing financial transactions.   The financial transaction management method according to claim 4, wherein the risks are current exposure and potential exposure.   The financial transaction management method according to claim 4, wherein the risks are current exposure, potential exposure, and settlement exposure. On the computer,
An order reception control function for receiving an order for a financial transaction from the customer terminal and writing information related to the order in an order reception management database;
Credit for inquiring the preset credit limit for each customer in the credit limit management database, inquiring the customer's contracted transactions in the contracted transaction management database, and inquiring the customer's deposit transactions in the order reception management database Extreme / contracted transaction / in-transaction transaction inquiry function,
Market prevailing rate inquiry function to inquire the prevailing market rate in the prevailing market rate management database,
A calculation function that reads the setting value for calculating the risk of new orders, contracted transactions and transactions in deposit from the setting value management database, and calculates the risk of new orders, contracted transactions and transactions in deposit,
Orders for which acceptance is determined by calculating at least the contracted transaction balance, order deposit balance and acceptable amount taking into account the calculated risk, calculating the order deposit amount taking into account the risk from the received amount for new orders Acceptance judgment function,
Financial transaction management program to realize   The financial transaction management program according to claim 7, wherein the risks are current exposure and potential exposure.   8. The financial transaction management program according to claim 7, wherein the risk is a current exposure, a potential exposure, and a settlement exposure.

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