JP4897272B2 - Information processing apparatus, collateral application method and collateral application program - Google Patents

Description

  The present invention relates to an information processing apparatus, a collateral application method, and a collateral application program.

  Conventionally, banks and the like had to evaluate the risk amount (or risk) of lending before performing lending (financing). This amount of risk is used to determine an indicator of the soundness of the bank's own management.

  For example, a bank's capital adequacy ratio is an indicator of the soundness of bank management. The capital ratio increases as the amount of risk is reduced. Basel II is known as a regulation relating to this capital ratio. By the way, Basel II gives a certain degree of freedom to a method of reducing risk amount by applying financial asset collateral or real estate collateral as collateral to the loan.

JP 2001-184334 A

  However, although the amount of risk can be reduced to some extent, there is no way to deviate from the practice of a financial institution, or there is a complicated relationship between lending and collateral. It has been difficult to provide an appropriate processing technique for reduction by appropriate allocation.

  This invention is made | formed in view of said point, and it aims at providing the appropriate processing technique at the time of reducing the amount of risk of a loan by collateral allocation.

Therefore, in order to solve the above problem, the information processing apparatus of the present invention provides, for each credit destination, collateral / loan information storage means that stores collateral information related to collateral and loan information related to lending in association with each other, and collateral information borrowers to be processed, and collateral loan information obtaining means for obtaining the loan information and, with the collateral information, said the lending information, based on the variables the amount appropriating the collateral to the lending And objective function calculation means for calculating an objective function related to linear programming, replacement method selection means for selecting a variable replacement method according to the type of collateral, and the replacement method selection means selected by the replacement method selection means Based on a replacement method, a first term indicating an amount of at least one of the variables of the objective function to be allocated to the loan in proportion to the loan with respect to the loan. , Proportional to the loan Second variable representing a first term that by weighting the product of the common first variable for each said constant collateral the amount to allocate the remainder respect individually the loan if there is balance in the collateral Based on the first substituting means for substituting the sum of the second term represented by the above, the collateral information, and the loan information, the amount of allocating the collateral to the loan is a variable. Based on the constraint condition calculation means for calculating the constraint condition related to the programming method and the replacement method selected by the replacement method selection means, the variables replaced by the first replacement means among the variables of the constraint conditions The variable relating to the first term indicating the amount to which the collateral is allocated in proportion to the loan with respect to the loan, the first constant proportional to the loan and the first common to the collateral A first term represented by a product with a variable, and If there is a remaining amount in the insurance, the second replacing means for replacing the remaining amount with the second term represented by the second variable indicating the amount to be individually applied to the loan, the first replacing means And a solution finding means for finding a solution that maximizes the objective function using linear programming based on the objective function replaced in step 2 and the constraint condition replaced in the second replacement means. .

  Moreover, in order to solve the said problem, this invention is good also as a collateral allocation method and a collateral allocation program.

  ADVANTAGE OF THE INVENTION According to this invention, the appropriate processing technique at the time of reducing the amount of risk of a loan by collateral allocation can be provided.

  Embodiments of the present invention will be described below with reference to the drawings. FIG. 1 is a hardware configuration diagram of an example of an information processing apparatus. As shown in FIG. 1, the information processing apparatus 1 includes, as a hardware configuration, an input device 11, a display device 12, a recording medium drive device 13, a ROM (Read Only Memory) 15, and a RAM (Random Access Memory). ) 16, CPU (Central Processing Unit) 17, interface device 18, and HD (Hard Disk) 19.

  The input device 11 includes a keyboard and a mouse that are operated by an operator (or user) of the information processing apparatus 1, and is used to input various operation information and the like to the information processing apparatus 1. The display device 12 includes a display or the like used by the user of the information processing device 1 and is used to display various types of information (or screens). The interface device 18 is an interface that connects the information processing device 1 to a network or the like.

  The collateral allocation program is provided to the information processing apparatus 1 by a recording medium 14 such as a CD-ROM, or downloaded through a network or the like. The recording medium 14 is set in the recording medium drive device 13, and the collateral allocation program is installed in the HD 19 from the recording medium 14 via the recording medium drive device 13.

  The ROM 15 stores a program that is read first when the information processing apparatus 1 is powered on. The RAM 16 is a main memory of the information processing apparatus 1. The CPU 17 reads out the collateral allocation program from the HD 19 as necessary, stores it in the RAM 16, and executes the collateral allocation program to provide a part or all of the functions described later, or execute the flowcharts described later To do. In addition to the collateral allocation program, the HD 19 stores, for example, collateral information and loan information described later. Note that all or some of the collateral information and loan information may be stored in an HD or the like of another device connected to the information processing apparatus 1 via a network. However, for the sake of simplicity, the following description will be made assuming that collateral information, loan information, and the like are stored in the HD 19.

The information processing apparatus 1 (the CPU 17 or the collateral allocation program or the like) according to the first embodiment uses the following objective function of (Equation 1) based on the collateral information and the loan information, and the following constraint conditions (conditions 1, 2, Under 3), the collateral allocation process is maximized. Note that CRM (credit risk mitigation) means collateral (collateral information). Further, EXP (exposure) means a loan (loan information).
Reduction amount = Σij (CRMij · reduction coefficient ij) (Equation 1)
RWAj = unmaintained i + Σj (CRMij · reduction factor ij) (Constraint 1)
CRMj = unapplied j + Σi (CRMij) (Restriction 2)
EXP * i = unmaintained * i + Σj (CRMij / adjustment coefficient ij) (Restriction condition 3)
here,
The reduction coefficient ij is a risk amount reduced by CRMij, and is zero when collateral cannot be applied.
The adjustment coefficient ij is a coefficient used to make CRMij an adjusted amount, and is zero when collateral cannot be applied.
RWAi is the RWA of the i-th EXP. Here, RWA is a risk asset, which is obtained by multiplying the risk weight (coefficient for calculating the risk index) of the transaction by the EXP amount of the transaction.
CRMj is the amount of the j-th CRM.
EXP * i is the amount after adjustment of the i-th EXP.
These reduction coefficients ij, adjustment coefficients ij, RWAi, CRMj, EXP * i, which are constants, are included in the collateral information and / or loan information, for example, and are stored in the HD 19, and the information processing apparatus 1 uses these constants. Obtain and use.

Also,
The reduction amount is the total of RWAs reduced by all CRMij.
CRMij is an amount allocated to the i-th EXP in the j-th CRM.
Unsecured i is the RWA of the i-th EXP that is not covered by CRM.
Unmaintained j is the amount of the j-th CRM that is not allocated to EXP.
Unmaintained * i is the adjusted amount of the portion of the i-th EXP that is not covered by CRM.
The information processing apparatus 1 performs the optimization process by the linear programming using the constants such as the reduction coefficient ij, the adjustment coefficient ij, RWAi, CRMj, EXP * i, and the like. Find CRMij, unprotected i, unallocated j, unprotected * i, etc.

  FIG. 2 is a diagram illustrating an example of a certain collateral allocated to each loan in the first embodiment. As shown in FIG. 2, in the case of the method (processing) of the first embodiment, collateral is concentrated on the EXP with the maximum reduction effect (EXP1 in the case of FIG. 2).

  Therefore, in the method (process) shown in the first embodiment, for example, the reduction amount is maximized as compared with other embodiments described later. However, in the method (process) shown in the first embodiment, collateral cannot be equally applied to, for example, a plurality of loans.

In the second embodiment, a method (processing) for equally applying collateral to a plurality of loans will be described. In the following embodiments, for simplicity of explanation, the variable CRMij shown in the first embodiment is denoted as xij, and the reduction coefficient ij is omitted.
The information processing apparatus 1 according to the second embodiment sets a variable xij of the objective function as
xij → cij * pj (Replacement 1)
Is executed to maximize the reduction amount. Note that cij is a constant and pj is a variable.

That is, as shown in FIG. 2 of the first embodiment, when CRMj covers EXP1, EXP2, and EXP3, in the first embodiment, x1j, x2j, and x3j are treated as three independent variables. Then, it replaces with one variable pj as follows. This is because the fact that the three variables change in proportion is substantially one variable, not three independent variables.
x1j → c1j * pj
x2j → c2j * pj
x3j → c3j * pj
Where cij is cij = (expiency of EXPi) / ((1-H) * M)
Then, the CRM ratio after adjustment for each of x1j, x2j, and x3j is the same as the ratio of the amounts of EXP1, EXP2, and EXP3.
here,
H is a haircut (a measure for adjusting risk such as price fluctuation of collateral).
M is a maturity adjustment (when the maturity of CRM is shorter than the maturity of EXP, it is a factor for adjusting the amount (a numerical value of 1 or less)).

  FIG. 3 is a diagram illustrating an example of a certain collateral allocated to each loan in the second embodiment. As shown in FIG. 3, in the case of the method (processing) of the second embodiment, the collateral is equally applied to each loan.

  FIG. 4 is a diagram illustrating an example of a plurality of collaterals applied to each loan in the second embodiment. As shown in FIG. 4, in the case of the method (processing) of the second embodiment, for each loan (EXP1, EXP2, EXP3), on balance netting (hereinafter referred to as “onbara”), financial assets, and real estate, Collateral is applied equally.

  Therefore, in the method (process) shown in Example 2, collateral can be equally applied to each loan. However, as shown in FIG. 5, when CRM2 (specific collateral) has a higher priority than CRM1 and covers EXP1 first by 70%, the upper limit that can equally apply CRM1 to EXP1, EXP2, and EXP3 is 30. %, And there is a problem that even if there is a remaining amount in CRM1, it cannot be applied.

In Example 3, when there is a balance for a certain collateral, a method (process) for individually applying to a loan will be described.
The information processing apparatus 1 according to the third embodiment sets a variable xij of the objective function as
xij → cij * pj + qij (Replacement 2)
Is executed to maximize the reduction amount. Note that cij is a constant, pj is a variable, and qij is a variable.
Here, pj is proportional (prolater) (in the method as shown in the second embodiment), the portion for applying the collateral to the loan (hereinafter referred to as prolater portion), and qij individually (shown in the first embodiment) This represents the portion of collateral used for lending (hereinafter referred to as the individual portion).

  However, the information processing apparatus 1 replaces the variable xij with (replacement 2) described above, and substitutes the variable xij into the objective function of (expression 1) described above, and the above-described (constraint condition 1), (constraint condition 2), ( When the collateral allocation process to be maximized is performed under the constraint condition 3), pj = 0. In other words, allocation by the prolata portion is not performed. This is because, for example, if EXP1, EXP2, EXP3 have a large reduction amount due to CRM allocation, and EXP3 has a small reduction amount due to CRM allocation, the reduction amount of the prorata portion depends on the CRM allocation related to EXP1. This is the weighted average of the reduction amount and the reduction amount due to CRM allocation related to EXP3. Therefore, the reduction amount due to the allocation of the prolater portion is smaller than the reduction amount due to the allocation of the individual portion to EXP1, and is larger than the reduction amount due to the allocation of the individual portion to EXP3.

  In the fourth embodiment, a method (processing) for individually applying to a loan when there is a remaining amount for a certain collateral will be described.

  Hereinafter, an example of a functional configuration of the information processing apparatus 1 according to the fourth embodiment, which includes the CPU 17, the RAM 16, the HD 19, and the collateral allocation program, is illustrated in FIG. FIG. 6 is a functional configuration diagram of an example of an information processing apparatus according to the fourth embodiment. As illustrated in FIG. 6, the information processing apparatus 1 includes, as functional configurations, a collateral / loan information acquisition unit 21, an objective function calculation unit 22, a constraint condition calculation unit 23, a first replacement unit 24, and a second A replacement unit 25, a solution finding unit 26, and a collateral / loan information storage unit 31 are included.

  The collateral / loan information acquisition unit 21 acquires the collateral information of the processing target credit and the loan information from the collateral / loan information storage unit 31. The collateral / loan information storage unit 31 stores collateral information related to collateral and loan information related to lending in association with each credit destination. Here, an example of the collateral information and the loan information stored in the collateral / loan information storage unit 31 is shown in FIG. FIG. 7 is a diagram illustrating an example of collateral information and loan information. E1 to E4 in FIG. 7 are abbreviations for EXP, that is, loans (loan information), and C1 to C4 are abbreviations for CRM, that is, collateral (collateral information). As shown in FIG. 7, the collateral information and the loan information are associated with each other.

  Returning to the description of FIG. 6 again, the objective function calculation unit 22 calculates the above-described objective function of (Equation 1) using the collateral information and the loan information acquired by the collateral / loan information acquisition unit 21. The constraint condition calculation unit 23 uses the collateral information and the loan information acquired by the collateral / loan information acquisition unit 21 to calculate the constraint conditions (constraint condition 1), (constraint condition 2), and (constraint condition 3) described above. calculate.

The first replacement unit 24 uses the objective function variable xij calculated by the objective function calculation unit 22 as follows.
xij → b * cij * pj + qij (Replacement 3)
And replace (replacement + weighting). Note that cij is a constant and pj is a variable. Further, b is a sufficiently large value with respect to qij, such as 10, 100, 1000, and the like.

The second replacement unit 25 uses the constraint condition variable xij calculated by the constraint condition calculation unit 23 as
xij → cij * pj + qij (Replacement 4)
Replace with

  The solving unit 26 substitutes the variable xij replaced by the first replacement unit 24 for the objective function calculated by the objective function calculation unit 22, and the constraint condition calculation unit 23 replaces the variable xij replaced by the second replacement unit 25. Substituting into the calculated constraint conditions, a solution is obtained using linear programming. In addition, the solution finding unit 26 calculates the value of the original variable xij from the obtained solution.

  In the case of the fourth embodiment, as shown in (Replacement 3), since the weight of b, which is a sufficiently large value with respect to qij, is applied to the prolater part, the prolater part is more appropriately applied than the individual part. , Done preferentially. This is because, in maximizing the objective function, in linear programming, it is advantageous to make the prolator part having a large coefficient (appropriation of the prorata part) as large as possible.

  That is, the objective function variable xij is replaced as shown in (Replacement 3), and the constraint condition variable xij is replaced as shown in (Replacement 4), and linear programming is used. Thus, when the objective function is maximized under the constraints, if there is a balance in the collateral after appropriation by the prolater part, a solution is obtained in which appropriation by the individual part is made.

  FIG. 8 is a diagram illustrating an example of a plurality of collaterals applied to each loan in the fourth embodiment. As shown in FIG. 8, in the case of the method (process) of the fourth embodiment, even if CRM2 (specific collateral) has a higher priority than CRM1 and previously covers EXP1 by 70%, CRM1 is EXP1, EXP2 , After evenly applying to EXP3, if there is a remaining amount in CRM1, it is applied individually (in the example of FIG. 8 to EXP2).

  According to the method (processing) shown in the fourth embodiment, for a certain collateral, an appropriate processing technique is provided for reducing the risk amount of the loan by collateral allocation, such as evenly applying to a plurality of loans. be able to.

  In the fifth embodiment, a method (process) performed by combining the above-described embodiments will be described. Hereinafter, an example of a functional configuration of the information processing apparatus 1 according to the fifth embodiment, which includes the CPU 17, the RAM 16, the HD 19, and the collateral allocation program, is illustrated in FIG. FIG. 9 is a functional configuration diagram of an example of an information processing apparatus according to the fifth embodiment. As shown in FIG. 9, the information processing apparatus 1 includes a collateral / loan information acquisition unit 21, an objective function calculation unit 22, a constraint condition calculation unit 23, a first replacement unit 24, and a second function configuration. A replacement unit 25, a solution finding unit 26, a replacement method selection unit 27, a collateral / loan information storage unit 31, and a replacement information storage unit 32 are included.

  The collateral / loan information acquisition unit 21 acquires the collateral information of the processing target credit and the loan information from the collateral / loan information storage unit 31. The collateral / loan information storage unit 31 stores collateral information related to collateral and loan information related to lending in association with each credit destination.

  The objective function calculation unit 22 calculates the above-described objective function of (Equation 1) using the collateral information and the loan information acquired by the collateral / loan information acquisition unit 21. The constraint condition calculation unit 23 uses the collateral information and the loan information acquired by the collateral / loan information acquisition unit 21 to calculate the constraint conditions (constraint condition 1), (constraint condition 2), and (constraint condition 3) described above. calculate.

  The replacement method selection unit 27 selects and acquires a variable replacement method from the replacement information storage unit 32 in accordance with the type of CRM (collateral). The replacement information storage unit 32 stores the CRM type (CRM type information) and the variable replacement method (replacement method information) in association with each other as replacement information.

For example, as an example of replacement information,
CRM is real estate: no replacement CRM is on rose: (replacement 1)
CRM is root guarantee: (Substitution 3) + (Substitution 4)
Etc. Here, “no substitution” corresponds to the method of Example 1 and the like described above, (substitution 1) corresponds to the method of Example 2 and the like, and (substitution 3) + (substitution 4) This corresponds to the method of the fourth embodiment described above.

  The first replacement unit 24 replaces (or does not replace) the objective function variable xij calculated by the objective function calculation unit 22 according to the replacement method selected by the replacement method selection unit 27. The second replacement unit 25 replaces (or does not replace) the constraint condition variable xij calculated by the constraint condition calculation unit 23 according to the replacement method selected by the replacement method selection unit 27.

  Based on the output result of the first substitution unit 24 and the output result of the second substitution unit 25, the solution finding unit 26 obtains a solution using linear programming so that the objective function is maximized under the constraint conditions. In addition, the solution finding unit 26 calculates the value of the original variable xij from the obtained solution.

  According to the method (process) shown in the fifth embodiment, the allocation method for the loan can be varied depending on the type of collateral.

  The preferred embodiments of the present invention have been described in detail above, but the present invention is not limited to such specific embodiments, and various modifications can be made within the scope of the gist of the present invention described in the claims.・ Change is possible.

FIG. 1 is a hardware configuration diagram of an example of an information processing apparatus. FIG. 2 is a diagram illustrating an example of a certain collateral allocated to each loan in the first embodiment. FIG. 3 is a diagram illustrating an example of a certain collateral allocated to each loan in the second embodiment. FIG. 4 is a diagram illustrating an example of a plurality of collaterals applied to each loan in the second embodiment. FIG. 5 is a diagram illustrating problems in the second embodiment. FIG. 6 is a functional configuration diagram of an example of an information processing apparatus according to the fourth embodiment. FIG. 7 is a diagram illustrating an example of collateral information and loan information. FIG. 8 is a diagram illustrating an example of a plurality of collaterals applied to each loan in the fourth embodiment. FIG. 9 is a functional configuration diagram of an example of an information processing apparatus according to the fifth embodiment.

Explanation of symbols

DESCRIPTION OF SYMBOLS 1 Information processing apparatus 11 Input apparatus 12 Display apparatus 13 Recording medium drive apparatus 14 Recording medium 15 ROM
16 RAM
17 CPU
18 Interface device 19 HD
21 collateral / loan information acquisition unit 22 objective function calculation unit 23 constraint condition calculation unit 24 first replacement unit 25 second replacement unit 26 solution unit 27 replacement method selection unit 31 collateral / loan information storage unit 32 replacement information storage unit

Claims (4)

For each creditor, the collateral information of the processing target credit and the loan information are acquired from the collateral / loan information storage unit that stores the collateral information related to the collateral and the loan information related to the loan in association with each other. Collateral / loan information acquisition means;
Based on the collateral information and the loan information, an objective function calculation means for calculating an objective function according to linear programming, with a variable as an amount of allocating the collateral to the loan,
A replacement method selection means for selecting a variable replacement method according to the type of collateral;
Based on the replacement method selected by the replacement method selecting means , at least one of the variables of the objective function is allocated to the loan in proportion to the loan. A first term indicating an amount, the first term weighting the product of a first constant proportional to the loan and a common first variable for each collateral, and the collateral having a balance First replacement means for replacing the remaining amount with a sum of a second term represented by a second variable indicating an amount to be individually applied to the loan ;
Based on the collateral information and the loan information, a constraint condition calculation unit that calculates a constraint condition related to linear programming, with the amount of the collateral used for the loan as a variable,
Based on the replacement method selected by the replacement method selection means, among the variables of the constraint condition, the variable relating to the variable replaced by the first replacement means is the collateral for the loan. A first term indicating an amount to be allocated in proportion to the loan, the first term represented by a product of a first constant proportional to the loan and a common first variable for each collateral; If there is a balance in the collateral, a second replacement means for replacing the sum with a second term represented by a second variable indicating an amount to be individually applied to the loan;
Based on the objective function replaced in the first replacement means and the constraint condition replaced in the second replacement means, a solution finding means for finding a solution that maximizes the objective function using linear programming;
An information processing apparatus comprising: It further has a replacement information storage means for storing information on the type of collateral and the method for replacing the variable,
The information according to claim 1, wherein the replacement method selection unit specifies the information stored in the replacement information storage unit and selects a replacement method of the variable according to the type of collateral. Processing equipment. A collateral application method in an information processing device,
For each creditor, the collateral information of the processing target credit and the loan information are acquired from the collateral / loan information storage unit that stores the collateral information related to the collateral and the loan information related to the loan in association with each other. Collateral / loan information acquisition stage;
Based on the collateral information and the loan information, an objective function calculation stage for calculating an objective function according to linear programming, with a variable as an amount of allocating the collateral to the loan,
A replacement method selection step of selecting a variable replacement method according to the type of collateral;
Based on the replacement method selected in the replacement method selection step, at least one of the variables of the objective function is allocated to the loan in proportion to the loan. A first term indicating an amount, the first term weighting the product of a first constant proportional to the loan and a common first variable for each collateral, and the collateral having a balance A first replacement stage for substituting the remaining amount with a second term represented by a second variable indicating the amount to be individually applied to the loan;
Based on the collateral information and the loan information, a constraint condition calculating step for calculating a constraint condition related to linear programming, with a variable as an amount of allocating the collateral to the loan,
Based on the replacement method selected in the replacement method selection step, among the variables of the constraint condition, the variable related to the variable replaced in the first replacement step is the collateral for the loan. A first term indicating an amount to be allocated in proportion to the loan, the first term represented by a product of a first constant proportional to the loan and a common first variable for each collateral; A second replacement stage for substituting the remaining amount in the collateral with a sum of the second term represented by a second variable indicating an amount to be individually applied to the loan;
Based on the objective function replaced in the first replacement stage and the constraint condition replaced in the second replacement stage, a solution solving stage for finding a solution that maximizes the objective function using linear programming;
A collateral application method characterized by including: Computer
For each creditor, the collateral information of the processing target credit and the loan information are acquired from the collateral / loan information storage unit that stores the collateral information related to the collateral and the loan information related to the loan in association with each other. Collateral / loan information acquisition means;
Based on the collateral information and the loan information, an objective function calculation means for calculating an objective function according to linear programming, with a variable as an amount of allocating the collateral to the loan,
A replacement method selection means for selecting a variable replacement method according to the type of collateral;
Based on the replacement method selected by the replacement method selecting means, at least one of the variables of the objective function is allocated to the loan in proportion to the loan. A first term indicating an amount, the first term weighting the product of a first constant proportional to the loan and a common first variable for each collateral, and the collateral having a balance First replacement means for replacing the remaining amount with a sum of a second term represented by a second variable indicating an amount to be individually applied to the loan;
Based on the collateral information and the loan information, a constraint condition calculation unit that calculates a constraint condition related to linear programming, with the amount of the collateral used for the loan as a variable,
Based on the replacement method selected by the replacement method selection means, among the variables of the constraint condition, the variable relating to the variable replaced by the first replacement means is the collateral for the loan. A first term indicating an amount to be allocated in proportion to the loan, the first term represented by a product of a first constant proportional to the loan and a common first variable for each collateral; If there is a balance in the collateral, a second replacement means for replacing the sum with a second term represented by a second variable indicating an amount to be individually applied to the loan;
Based on the objective function replaced in the first replacement means and the constraint condition replaced in the second replacement means, a solution finding means for finding a solution that maximizes the objective function using linear programming;
A collateral allocation program characterized by making it function.

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