JP2004303036A - System, method and program of bank alm - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To provide a system, a method and a program of bank ALM for performing ALM operation with unified calculation method and an evaluation method in a universal, correct and efficient manner by using a network . <P>SOLUTION: The bank ALM system 1 acquires, analyzes and summarizes information for ALM necessary for ALM from a bank system 6 via the network 3 by a communication means 11 and acquires analysis summary information effective for ALM from the information for ALM, performs ALM and its evaluation based on the analysis summary information and creates a report for general asset and liabilities management based on the evaluation result and the analysis summary information. The report is transmitted to the bank system 5 via the network 3 by the communication means and the evaluation result, the analysis summary information and the report for general asset-liability management are stored in a history database as history information. <P>COPYRIGHT: (C)2005,JPO&NCIPI

Description

[0001]
TECHNICAL FIELD OF THE INVENTION
The present invention relates to a bank ALM system, a method and a program, which are connected to a bank via a network and perform comprehensive asset and liability management in the bank.
[0002]
[Prior art]
2. Description of the Related Art In a bank, comprehensive asset management (Asset Liability Management) (hereinafter, abbreviated as ALM) is required for normal bank management. Implementing ALM requires a highly specialized knowledge of financial engineering, and therefore the current banking business has been challenged with the need for ALM either not implemented or in an individually closed form It is done independently. ALM is performed by using a mathematical formula based on financial engineering based on information on assets owned by a bank, and evaluating the result.
[0003]
Conventionally, as shown in FIG. 5, an ALM in a bank has a person in charge of know-how acquiring information from the system independently, and applying this acquired information and other information to tools such as spreadsheet software. After performing manual calculations using, the company makes its own judgments, performs individual evaluations, and submits the resulting numerical values to management meetings and the like, where evaluation is performed.
[0004]
On the other hand, a system for issuing an information card using an automatic teller machine (ATM) and printing privilege information corresponding to attribute information of each customer is also known (for example, see Patent Document 1).
[0005]
[Patent Document 1]
JP-A-2002-109243
[Problems to be solved by the invention]
Traditional ALM operations are performed independently by individual banks and lack accuracy and impartiality. In addition, the calculations required for ALM and the evaluation of the results are divided, resulting in inconsistency and inefficiency. Therefore, there is a need for an ALM system using a network for performing ALM accurately and efficiently without bias using unified calculation and evaluation.
[0007]
The present invention has been made in view of the above, and an object of the present invention is to provide a bank ALM system, a method, and a method for uniformly and accurately performing an ALM business using a network by a unified calculation method and evaluation method. To provide a program.
[0008]
[Means for Solving the Problems]
In order to achieve the above object, the present invention according to claim 1 is a bank ALM system connected to a bank system via a network and performing comprehensive asset and liability management in the bank system. Communication means for performing data communication, information acquisition means for acquiring asset and liability management information necessary for comprehensive asset and liability management from a bank system via a network by the communication means, and the acquired asset and liability management information Information analysis and aggregation means for analyzing and totalizing the information for asset and liability management in order to obtain effective analysis and aggregation information for comprehensive asset and liability management, and comprehensive asset and liability management based on the analysis and aggregation information obtained by the analysis and aggregation. Evaluating means for making evaluations and creating comprehensive asset and liability management reports based on the evaluation results and the analysis summary information Transmitting means for transmitting the comprehensive asset and liability management report to the banking system via the network by the communication means; and a history database for storing the evaluation result, analysis total information and the comprehensive asset and liability management report as history information The gist is to have
[0009]
According to the first aspect of the present invention, information for asset and liability management necessary for comprehensive asset and liability management is acquired from a bank system via a network by communication means, and the information for asset and liability management is analyzed and compiled. , Obtains analysis and summary information effective for comprehensive asset and liability management from the information for asset and liability management, performs comprehensive asset and liability management based on the analysis and summary information, and evaluates it. Creates a comprehensive asset and liability management report, transmits the comprehensive asset and liability management report to the banking system via a network via communication means, and records the evaluation results, analysis and summary information, and the comprehensive asset and liability management report In order to store the information in the history database, the ALM business conventionally performed individually and in various ways by each bank can be networked. It can be performed as a series of flow accurately and efficiently with impartiality in calculation method and the evaluation method unified through a click.
[0010]
According to a second aspect of the present invention, in the first aspect, the communication unit includes an encryption unit that protects and encrypts data to be communicated with the bank system via a network. And
[0011]
According to the second aspect of the present invention, since data to be communicated with the bank system via the network is encrypted and protected, important data for ALM is not leaked to the outside. By using the API provided by the bank ALM system for the client-side bank system, data can be exchanged without being aware of the communication part protection and communication protocol.
[0012]
Further, according to a third aspect of the present invention, in the first or second aspect of the invention, the information analysis and tallying means includes an evaluation result, an analysis tallying information and a comprehensive The gist of the present invention is to include history information reference means for analyzing and totalizing the asset liability management information with reference to the asset liability management report.
[0013]
According to the third aspect of the present invention, the current asset and liability management information is referred to by referring to the evaluation result, the analysis and aggregation information and the comprehensive asset and liability management report previously stored as history information in the history database. In order to perform the analysis and the totalization, the trend of each bank can be grasped while referring to the previously stored history information, and the trend can be reflected in the current ALM.
[0014]
According to a fourth aspect of the present invention, in the first aspect of the present invention, the communication unit, the information acquisition unit, the information analysis and aggregation unit, the evaluation unit, the transmission unit, and the history database include a network. Data communication with a plurality of banking systems individually, obtain asset and liability management information from each banking system, analyze and aggregate asset and liability management information for each banking system, and obtain comprehensive asset information for each banking system. Create and send a liability management report, and store the comprehensive asset liability management report as history information in the history database. Make a summary.
[0015]
According to the present invention as set forth in claim 4, in order to acquire information for asset and liability management from a plurality of bank systems, analyze and aggregate the information, and create and transmit a comprehensive asset and liability management report, ALM operations can be performed accurately and efficiently without bias using a unified calculation method and evaluation method for each of the banks.
[0016]
The present invention according to claim 5 is a bank ALM method for performing comprehensive asset and liability management in a bank system in a bank ALM system connected to the bank system via a network. Information for asset and liability management necessary for comprehensive asset and liability management is obtained from the bank system via the network by a communication means for performing data communication with the bank system via the network. Analyze and aggregate the asset and liability management information in order to obtain effective analysis and aggregation information for liability management, perform comprehensive asset and liability management and evaluation based on the analyzed and aggregated analysis and aggregation information. A comprehensive asset and liability management report is created based on the analysis and aggregated information. Transmitted to the bank system port via the network by the communication means, the evaluation result is summarized in that for storing analysis summary information and overall ALM Reports as history information in the history database.
[0017]
According to the fifth aspect of the present invention, information for asset and liability management necessary for comprehensive asset and liability management is acquired from a bank system via a network by communication means, and the information for asset and liability management is analyzed and compiled. , Obtains analysis and summary information effective for comprehensive asset and liability management from the information for asset and liability management, performs comprehensive asset and liability management based on the analysis and summary information, and evaluates it. Creates a comprehensive asset and liability management report, transmits the comprehensive asset and liability management report to the banking system via a network via communication means, and records the evaluation results, analysis and summary information, and the comprehensive asset and liability management report In order to store the information in the history database, the ALM business conventionally performed individually and in various ways by each bank can be networked. It can be performed as a series of flow accurately and efficiently with impartiality in calculation method and the evaluation method unified through a click.
[0018]
Further, according to a sixth aspect of the present invention, in the fifth aspect, the communication means protects and encrypts data to be communicated with a bank system via a network.
[0019]
According to the sixth aspect of the present invention, since data to be communicated with the bank system via the network is encrypted and protected, important data for ALM is not leaked to the outside. By using the API provided by the bank ALM system for the client-side bank system, data can be exchanged without being aware of the communication part protection and communication protocol.
[0020]
According to a seventh aspect of the present invention, in the invention according to the fifth or sixth aspect, the analysis / aggregation processing of the asset and liability management information includes the evaluation result and the analysis / aggregation information previously stored as history information in the history database. The gist of the present invention is to analyze and totalize the asset liability management information with reference to the comprehensive asset liability management report.
[0021]
According to the seventh aspect of the present invention, the current asset and liability management information is referred to by referring to the evaluation result, the analysis and aggregation information and the comprehensive asset and liability management report previously stored as history information in the history database. In order to perform the analysis and the totalization, the trend of each bank can be grasped while referring to the previously stored history information, and the trend can be reflected in the current ALM.
[0022]
The present invention described in claim 8 is the invention according to any one of claims 5 to 7, wherein the bank ALM system individually performs data communication with a plurality of bank systems via a network. Obtains information for asset and liability management from the banking system, analyzes and aggregates information for asset and liability management for each banking system, creates and sends a comprehensive asset and liability management report for each banking system, The gist is that a plurality of bank systems are dealt with so that a debt management report is stored as history information in a history database.
[0023]
According to the present invention described in claim 8, in order to acquire asset liability management information from a plurality of bank systems, analyze and aggregate the information, and create and transmit a comprehensive asset liability management report, ALM operations can be performed accurately and efficiently without bias using a unified calculation method and evaluation method for each of the banks.
[0024]
Furthermore, a ninth aspect of the present invention is directed to causing a computer to execute the bank ALM method according to any one of the fifth to eighth aspects as a computer-executable bank ALM program.
[0025]
According to the ninth aspect of the present invention, since the bank ALM method is recorded as, for example, a bank ALM program on a recording medium or the like and executed by a computer, the distribution of the program can be enhanced by using the recording medium.
[0026]
BEST MODE FOR CARRYING OUT THE INVENTION
Hereinafter, embodiments of the present invention will be described with reference to the drawings. FIG. 1 is a block diagram of a bank ALM system according to an embodiment of the present invention. The bank ALM system 1 of the embodiment shown in FIG. 1 is connected to a plurality of bank systems 5a, 5b,... 5n via a network 3 and performs ALM business at the request of each bank system 5, resulting in a comprehensive business. The report for asset and liability management is presented to the banking system.
[0027]
The bank ALM system 1 includes a communication unit 11 for performing data communication with each bank system 5 via the network 3, and information for inputting ALM information necessary for the ALM acquired from the bank system 5 via the communication unit 11. Input means 13 constituting acquisition means, ALM engine constituting information analysis and summation means for analyzing and compiling ALM information acquired from bank system 5 via this input means 13 and acquiring analysis and accumulation information effective for ALM 15. Receiving the analysis and aggregation information analyzed and aggregated by the ALM engine 15, performs comprehensive asset and liability management and evaluation based on the information, and creates an ALM report 23 based on the evaluation result and the analysis aggregation information. The ALM report 23 is transmitted to the bank system 5 via the network 3 by the communication means 11. A report creation means 17 constituting an evaluation means and a transmission means, an analysis total information in the ALM engine 15, an evaluation result in the report creation means 17, and a history database 21 for storing the ALM report 23 as history information for each bank system 5; And a result registering means 19 for receiving the analysis total information, the evaluation result, and the ALM report 23 and controlling the received result to be stored in the history database 21.
[0028]
Further, the communication unit 11 conceals communication with the bank system 5 via the network 3, enables communication without being aware of complicated protocols, and protects data to be communicated with the bank system 5. Is provided. The ALM engine 15 refers to the evaluation result, the analysis summary information, and the comprehensive asset and liability management report previously stored as history information in the history database 21 and refers to the asset and liability management information currently acquired by the input means 13. It has history information reference means for performing analysis and totalization.
[0029]
Further, the bank ALM system 1 of FIG. 1 includes a communication unit 11, an input unit 13, an ALM engine 15, a report creation unit 17, a result registration unit 19, and a history database 21 via a network 3 through a plurality of bank systems 5a, 5b, .. Performs data communication individually with 5n, obtains asset liability management information from each bank system 5, analyzes and totals asset liability management information for each bank system 5, and generates an ALM report 23 for each bank system. It is configured so as to cope with a plurality of bank systems in cooperation with each other so as to create and transmit the ALM report 23 as history information in the history database 21.
[0030]
Further, the input unit 13 determines that the communication sent to the bank system 5 via the communication unit 11 is a prescribed message, and determines whether the ALM engine 15 can calculate the message by, for example, an attribute and a digit. In addition to checking the number, upper and lower limits, etc., it also has a function of partially converting data according to the function of the ALM engine 15. The result registration unit 19 also has a function of registering the past result data in the history database 21 in order to add the result data to the calculation result by the ALM engine 15.
[0031]
Further, the report creating means 17 has a function of displaying and outputting the calculation analysis result of the ALM engine 15 and creating an ALM report 23 by adding a human evaluation based on the result as necessary.
[0032]
On the other hand, each bank system 5 collects and refers to various asset and liability management information from within the system, and collects and references other information and the like. An information collection reference application (AP) 51 and the information collection reference application 51 Various information including the asset liability management information collected and referenced by the information collection and reference application 51 is transmitted to the bank ALM system 1 via the network 3 or the ALM report 23 from the bank ALM system 1 is provided. The communication means 53 receives various information including the above information via the network 3.
[0033]
Next, the operation of the bank ALM system 1 according to the present embodiment configured as described above will be described with reference to the flowchart shown in FIG.
[0034]
In FIG. 2, first, the bank ALM system 1 inputs data including ALM information and the like from the bank system 5 via the communication means 11 and the network 3 (step S11), and inputs the input data including ALM information. Check by means 13 (step S13). If the checked data is not correct, the NG content is output to the history database 21 and the process is stopped (step S15).
[0035]
On the other hand, if the result of the check at the input means 13 is that the input data is correct, the ALM information, which is the bank output data, is supplied to the ALM engine 15, and the ALM engine 15 analyzes and analyzes the ALM information. Aggregation is performed, and analysis aggregation information effective for comprehensive asset and liability management is obtained from the ALM information (step S19). If the input data is not correct in the analysis and aggregation processing, the log file is output and the processing is stopped (step S21). If the input data is correct, the ALM engine 15 The obtained analysis summary information is supplied as engine output data to the report creation means 17 (step S23), and it is checked whether the analysis summary result is correct (step S25). Is output (step S27), but if correct, the report creation means 17 performs comprehensive asset and liability management based on the analysis summary information and evaluates it, and evaluates the evaluation result and analysis summary. To create an ALM report 23 based on the information (step S29), and to register it in the history database 21 Supplied to the result registration means 19. The result registration unit 19 checks the data to be registered in the history database 21 (step S31). If the data is not correct, it outputs a log file and stops the processing (step S33). Is registered in the history database 21 and checks whether or not to output the ALM report 23 as a form output (step S35). If not, a log file is output and the process is stopped ( If not (step S37), if not, the ALM report 23 is transmitted as a form output from the communication means 11 to the bank system 5 via the network 3 (step S39). It is also possible to directly start the process of step S35 from the outside and output the form.
[0036]
Similarly, the operation of the bank ALM system 1 according to the present embodiment will be described in more detail with reference to the flowchart shown in FIG.
[0037]
In FIG. 3, the bank ALM system 1 of the present embodiment acquires various information, that is, information for asset and liability management, from the banking system 5 via the communication means 11 via the network 3, specifically, the debt file of the bank, the loan Acquisition of asset status such as file, stock file, call file, etc. (step S111), acquisition of asset information such as ordinary deposit file, time deposit file, exchange contract file, interest rate swap file, futures (step S113), interest rate scenario Acquisition of each product information such as file, exchange scenario file, stock index file (step S115), acquisition of ALM parameters such as VaR (Value At Risk) calculation parameter, interest rate / exchange / stock correlation file, rating correlation file (step S117) ), Default sale file, automatic Various asset and liability management information is acquired as in the acquisition of schedule information such as a file and a cash flow input file (step S119), and the acquired various asset and liability management information is input to the input means 13 using the attribute, the number of digits, An input check is performed for the upper and lower limits, etc. (step S121), and the various types of asset and liability management information that have passed the input check are converted into dates according to a predetermined format, specifically, converted into dates compatible with the ALM engine 15. Is performed (step S123).
[0038]
Then, the input data, that is, various information for asset and liability management, is supplied to the ALM engine 15, and the ALM engine 15 performs the calculation / evaluation including the analysis and the aggregation processing (step S125). In step S127, the ALM engine 15 outputs the analysis result information and the evaluation result to the report creation means 17 based on the evaluation result and the analysis result information. The ALM report 23 is created as a form tally (step S129), and the balance transition tally (step S131), the aberration transition estimation tally (step S135), the cash flow transition tally (step S139), and the gap analysis as the ALM report 23. Aggregate( Step S133), NAV (Net Asset Value; NAV), BPV (Basis Point Value) analysis summary (step S137), and outputs the VaR (Value At Risk) analysis summary (step S141).
[0039]
FIG. 4 is a graph showing a change in the balance by asset, which is one of the ALM reports 23 output in this manner. In the figure, “A” represents a mortgage loan (long plastic), “B” represents a mortgage loan (fixed), “C” represents a mortgage loan (short plastic), and “D” represents a municipal bond from 2002 to 2005 AD. Of each quarter.
[0040]
Note that the processing procedure of the bank ALM system of the above embodiment is recorded as a program on a recording medium such as a CD or FD, and this recording medium is incorporated into a computer system, or the program recorded on the recording medium is transmitted to a communication line. Of course, it is possible to function as a bank ALM system by downloading to a computer system via a computer system or installing from a recording medium and operating the computer system with the program. , The distribution of which can be enhanced.
[0041]
【The invention's effect】
As described above, according to the present invention, the information for asset and liability management necessary for comprehensive asset and liability management is obtained from the bank system via the network by the communication means, and the information for asset and liability management is analyzed and compiled. , Obtains analysis and summary information effective for comprehensive asset and liability management from the information for asset and liability management, performs comprehensive asset and liability management based on the analysis and summary information, and evaluates it. Creates a comprehensive asset and liability management report, transmits the comprehensive asset and liability management report to the banking system via a network via communication means, and records the evaluation results, analysis and summary information, and the comprehensive asset and liability management report Since the information is stored in the history database, ALM operations conventionally performed individually and in various ways by each bank can be networked. With impartiality in calculation method and the evaluation method unified through the workpiece can be performed as a series of flow accurately and efficiently.
[0042]
Further, according to the present invention, since data to be communicated with the banking system via the network is encrypted and protected, important data for ALM is not leaked to the outside, and the client side for communication is not required. By using the API provided by the bank ALM system for the bank system, it is possible to protect the communication part and exchange data without being aware of the communication protocol.
[0043]
Further, according to the present invention, by referring to the evaluation result, analysis aggregation information and comprehensive asset liability management report previously stored as history information in the history database, analysis and aggregation of the current asset liability management information are performed. Is performed, the trend of each bank can be grasped while referring to the history information stored earlier, and the tendency can be reflected in the current ALM.
[0044]
According to the present invention, information for asset and liability management is acquired from a plurality of bank systems, the analysis and aggregation processing are performed, and a comprehensive asset and liability management report is created and transmitted. ALM operations can be performed accurately and efficiently without bias using a unified calculation method and evaluation method.
[0045]
Further, according to the present invention, the bank ALM method is recorded as a bank ALM program on, for example, a recording medium and executed by a computer, so that the distribution can be enhanced using the recording medium.
[Brief description of the drawings]
FIG. 1 is a block diagram showing a configuration of a bank ALM system according to an embodiment of the present invention.
FIG. 2 is a flowchart showing the operation of the bank ALM system of the embodiment shown in FIG.
FIG. 3 is a flowchart showing a more detailed operation of the bank ALM system of the embodiment shown in FIG. 1;
FIG. 4 is a graph showing changes in the balance by asset, which is one of ALM reports output by the bank ALM system of the embodiment shown in FIG. 1;
FIG. 5 is an explanatory diagram showing a procedure in a bank that performs a conventional ALM operation.
[Explanation of symbols]
1 Bank ALM system 3 Network 5 Bank system 11, 53 Communication means 13 Input means 15 ALM engine 17 Report creation means 19 Result registration means 21 History database 23 ALM report 51 Information collection reference application

Claims (9)

A bank ALM system connected to a bank system via a network to perform comprehensive asset and liability management in the bank system,
A communication means for performing data communication with the bank system via the network;
Information acquisition means for acquiring information for asset and liability management necessary for comprehensive asset and liability management from the bank system via the network by the communication means;
Information analysis and aggregation means for analyzing and totalizing the asset and liability management information to obtain effective analysis and aggregation information for comprehensive asset and liability management from the obtained asset and liability management information;
An evaluation means for performing comprehensive asset and liability management and its evaluation based on the analyzed and aggregated information,
Transmitting means for creating a comprehensive asset and liability management report based on the evaluation result and the analysis summary information, and transmitting the comprehensive asset and liability management report to a bank system via a network by the communication means;
A bank ALM system comprising a history database storing the evaluation result, the analysis total information and the comprehensive asset and liability management report as history information. 2. The bank ALM system according to claim 1, wherein said communication means includes an encryption means for protecting and encrypting data to be communicated with a bank system via a network. The information analysis and aggregation means refers to the evaluation result, the analysis and aggregation information and the comprehensive asset and liability management report previously stored as history information in the history database, and analyzes and aggregates the asset and liability management information. 3. The bank ALM system according to claim 1, further comprising history information reference means for performing the operation. The communication unit, the information acquisition unit, the information analysis and aggregation unit, the evaluation unit, the transmission unit, and the history database individually perform data communication with a plurality of bank systems via a network, and acquire asset / liability management information from each bank system. Analyzes and totals information for asset and liability management for each bank system, creates and sends a comprehensive asset and liability management report for each bank system, and uses this comprehensive asset and liability management report as history information in a history database. The bank ALM system according to any one of claims 1 to 3, wherein the bank ALM system is configured to cope with a plurality of bank systems in cooperation with each other so as to be stored in the bank ALM. A bank ALM method for performing comprehensive asset and liability management in a bank system in a bank ALM system connected to the bank system via a network,
In the bank ALM system,
Acquires information on asset and liability management necessary for comprehensive asset and liability management from the bank system via the network by a communication means for performing data communication with the bank system via the network,
Analyze and aggregate the information for asset and liability management to obtain effective analysis and aggregation information for comprehensive asset and liability management from the acquired information for asset and liability management,
Comprehensive asset and liability management and evaluation based on the analyzed and aggregated information,
A comprehensive asset and liability management report is created based on the evaluation result and the analysis summary information, and the comprehensive asset and liability management report is transmitted to the bank system via the network by the communication means,
A bank ALM method, wherein the evaluation result, the analysis summary information and the comprehensive asset and liability management report are stored as history information in a history database. 6. The bank ALM method according to claim 5, wherein said communication means protects and encrypts data to be communicated with a bank system via a network. The analysis and aggregation process of the asset and liability management information is performed by referring to the evaluation result, the analysis and aggregation information and the comprehensive asset and liability management report previously stored as history information in the history database, and by referring to the asset and liability management information. 7. The bank ALM method according to claim 5, wherein analysis and totalization are performed. The bank ALM system individually performs data communication with a plurality of bank systems via a network, acquires information for asset and liability management from each bank system, and analyzes and aggregates information for asset and liability management for each bank system. , A comprehensive asset and liability management report for each banking system is created and transmitted, and multiple banking systems are handled so that this comprehensive asset and liability management report is stored as historical information in a history database. The bank ALM method according to any one of claims 5 to 7, wherein: A computer-executable bank ALM program for causing a computer to execute the bank ALM method according to any one of claims 5 to 8.

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