JP6110166B2 - Business bond evaluation system, business bond evaluation method, and business bond evaluation program - Google Patents

Description

  The present invention relates to a business bond evaluation system, a business bond evaluation method, and a business bond evaluation program for evaluating the price of a business bond.

  In business bond transactions, there is no public information on the transaction price. Therefore, a technique for calculating an appropriate offer price and bid price in the buying and selling of bonds has been studied (for example, see Patent Document 1). In the technique described in this document, the corrected theoretical price is calculated using data corresponding to the current market conditions related to the underlying asset.

JP2012-123830A (first page, FIG. 1)

  Usually, institutional investors are offered offer sheets that describe brands (selling brands) and selling prices (yield, price) that can actually purchase business bonds from securities companies. Institutional investors buy and sell business bonds with reference to the selling price described in this offer sheet. However, the selling price (yield, price) described in the offer sheet varies depending on the securities company, and it is difficult to determine an appropriate price. Institutional investors may sell purchased brands, but there is no description of the purchase price on the offer sheet, and it is difficult to judge. In the above-mentioned Patent Document 1, the theoretical price of a bond can be calculated, but it may be different from the actual official reference price or actual price, and the official reference price or actual price is taken into account. It was difficult to figure out a reasonable price.

  The present invention has been made in order to solve the above-described problems, and the purpose of the present invention is to determine a corporate bond evaluation system for evaluating a reasonable price based on an official reference price or an actual price. It is to provide a business bond evaluation method and a business bond evaluation program.

  (1) In the corporate bond evaluation system that solves the above problems, it is specified using a trading reference statistical value data storage unit that stores trading reference statistical values of business bonds for each issue and an offer interest rate presented by a securities company. An offer interest rate representative value storage unit that stores an offer interest rate representative value for each brand and a control unit that evaluates the validity of the price of the business bond. Then, the control unit takes the offer bond representative value of the government bond spread as the explained variable, and the variable according to the average value of the bond reference statistical value of the purchase and sale reference statistical value, the fluctuation of the stock purchase and sale reference statistical value, and the stock attribute. A regression analysis is performed to generate a model formula, and using the generated model formula, a theoretical offer interest rate of the stock to be evaluated is calculated, and for the stock to be evaluated, the theoretical offer interest rate and the offer interest rate are calculated. A reasonable offer interest rate is specified and output according to the result of comparison with the representative value. Here, the government bond spread indicates the deviation from the government bond par rate, which is the basis for interest rates. The trading reference statistics are official reference prices. Furthermore, the difference between the highest value and the lowest value of the buying and selling reference statistical value indicates a variation in price for each brand. As a result, using the official bond par rate as a standard, using the official reference price (trading reference statistical value) and the actual price (offer interest rate offered by the securities company), the risk varies according to the stock variability and the stock attributes. An estimated model formula for calculating the theoretical offer interest rate can be obtained by relative evaluation between stocks in consideration of. Therefore, the theoretical offer interest rate based on the official reference price or the actual price can be calculated by using this estimation model formula. Furthermore, since the reasonable offer interest is specified based on the comparison result between the calculated theoretical offer interest and the offer interest representative value based on the offer interest presented from the securities company, the reasonable offer interest can be provided.

  (2) In the business bond evaluation system, it is preferable that the control unit calculates a variation in the trading reference statistical value using a maximum value and a minimum value of the trading reference statistical value. Thereby, the variation in the price of the brand can be calculated based on the official reference price.

  (3) In the business bond evaluation system, at least one of the remaining period of the brand, the variable according to the rating of the brand, and the variable according to the business type of the brand is used as the variable according to the brand attribute. It is preferable. Thereby, the theoretical offer interest rate can be calculated in consideration of various risks.

  (4) In the above business bond evaluation system, if the offer interest rate representative value is higher than the highest value of the buying and selling reference statistical value, the offer interest rate is specified as a reasonable offer interest rate, and the representative value of the offer interest rate is the buying and selling reference statistics. In the case of an interest rate lower than the maximum value, it is preferable to compare the theoretical offer interest rate with the offer interest representative value and specify a high interest rate as a reasonable offer interest rate. This makes it possible to provide a reasonable price as a reasonable offer interest rate with respect to the official reference price.

  (5) In the above-mentioned business bond evaluation system, the control unit generates the model formula using the offer interest rate of the remaining issues excluding issues whose offer interest rate representative value JGB spread exceeds the exclusion determination upper limit value. It is preferable. As a result, issues whose creditworthiness inherent to issues is large, and issues whose bond value exceeds the category handled by the relative evaluation between issues, are excluded, so a more appropriate theoretical offer interest rate can be calculated.

  (6) In the above-mentioned business bond evaluation system, for the issue where the control unit is more than the correction criterion value from the starting point of the trading reference statistical value, the correction criterion value is set to the offer interest rate representative value of the symbol. Preferably used to generate the model equation. Thereby, it is possible to calculate a more appropriate theoretical offer interest rate by correcting a stock that is considered to have a price far from the market.

  (7) In the above-mentioned business bond evaluation system, the control unit further calculates an offer bid spread of the evaluation target brand using a maximum value and a minimum value of trading reference statistical values of the brand, and the offer bid It is preferable to calculate and output a reasonable bid interest rate of the brand to be evaluated by adding the spread to the reasonable offer interest rate. As a result, the offer bid spread calculated using the fluctuation of the sales reference statistical value, which is the official reference price, is added to the reasonable offer interest rate, so that a reasonable bid interest rate can be calculated.

  (8) In the above-mentioned business bond evaluation system, the control unit uses a difference between the average value of the trading reference statistical value and the offer interest rate representative value as an explained variable, and a difference between the average value of the trading reference statistical value and the maximum value. Is used as an explanatory variable, and the bid spread is calculated by multiplying the regression coefficient calculated by this regression analysis by the difference between the lowest value and the highest value of the trading reference statistical value of the stock to be evaluated. It is preferable to do. As a result, the offer bid spread that reflects the liquidity of the stock is calculated using the official reference price of buying and selling reference statistics and the actual price (offer interest rate offered by the securities company). Offer bid spread can be calculated.

  (9) In the above-mentioned business bond evaluation system, it is preferable that the control unit calculates the regression coefficient by using only a brand whose offer interest rate representative value is equal to or less than an average value of trading reference statistical values and equal to or higher than a maximum value. As a result, it is possible to calculate a reasonable reasonable bid interest rate using the relationship between the difference between the highest value and the average value of the trading reference statistical values and the difference between the lowest value and the average value of the trading reference statistical values.

  According to the present invention, it is possible to evaluate a reasonable price based on an official reference price or an actual price for a business bond.

The schematic block diagram explaining the structure of the business bond evaluation system of embodiment. The functional block diagram explaining the function of the control part of the business bond evaluation system of embodiment. Explanatory drawing explaining the relationship between offer interest and bid interest. The flowchart for demonstrating the process sequence of the business bond evaluation process of embodiment. The flowchart for demonstrating the process sequence of calculation processing of a theoretical offer interest rate. The flowchart for demonstrating the process sequence of the calculation process of an offer bid spread.

  Hereinafter, an embodiment embodying the present invention will be described with reference to FIGS. In the present embodiment, the validity of the selling price (offer interest rate) and the buying price (bid interest rate) of the business bond is evaluated. This evaluation is performed by calculating an offer interest rate (reasonable offer interest rate) and a bid interest rate (reasonable bid interest rate) determined to be appropriate for each brand. These are calculated using the offer interest rate of the brand displayed on the offer sheet provided by the securities company. Further, in the present embodiment, a bond attribute is a fixed-rate lump sum redeemable bond issued in yen, a trading reference statistical value is published, and a rating is assigned.

  As shown in FIG. 1, in this embodiment, a business bond evaluation system 20 that evaluates the validity of a business bond is connected to an input unit 11 and an output unit 12. The input unit 11 is a device that acquires user instructions, offer sheet information, and the like. The input unit 11 includes a keyboard, a pointing device, an information storage medium reading device such as a CD-ROM drive, and the like. The output unit 12 is a device that outputs the evaluation result executed in the business bond evaluation system 20, and includes a display, an information storage medium writing device, and the like. In this embodiment, various data are acquired in a file format, and the evaluation result is output in a file format.

Further, the business bond evaluation system 20 is connected to the price information providing server 30 and the rating information providing server 40 via a network.
The price information providing server 30 is a computer system that executes processing for providing official price information in response to a request from another system. In this embodiment, the price information providing server 30 stores the trading reference statistical values published by the Japan Securities Dealers Association for each day, and provides information related to the trading reference statistical values. This trading reference statistical value includes an average value, a median value, a maximum value, and a minimum value for each issue such as business bonds and government bonds.

  The rating information providing server 40 is a computer system that publishes information on credit ratings for each company. The rating information providing server 40 stores rating information, and executes a process of providing the rating information in response to a request from another system. Here, the rating information includes a rating rank and a notch.

  On the other hand, the business bond evaluation system 20 includes a control unit 21, an offer sheet data storage unit 22, an offer interest rate average value data storage unit 23, and a basic information storage unit 24. The offer interest rate average value data storage unit 23 functions as an offer interest rate representative value storage unit, and the basic information storage unit 24 functions as a trading reference statistical value data storage unit.

  The control unit 21 includes a CPU, a RAM, a ROM (not shown), and the like, and each processing (public information registration stage, offer interest acquisition stage, offer interest rate average stage, theoretical offer interest rate computation stage, (Effective offer interest rate determination stage, offer bid spread calculation stage, valid bid interest rate calculation stage and evaluation result output stage). Then, by executing the business bond evaluation program, the control unit 21 performs a public information registration unit 210, an offer interest rate acquisition unit 211, an offer interest rate average value calculation unit 212, a theoretical offer interest rate calculation unit 213, a reasonable offer interest rate determination unit 214, an offer It functions as a bid spread calculation unit 215, a valid bid interest rate calculation unit 216, and an evaluation result output unit 217.

  The public information registration unit 210 acquires the public price from the price information providing server 30 and records it in the basic information storage unit 24 every time the public price on the day of the transaction is announced. In the present embodiment, the trading reference statistical values (maximum value, average value, and minimum value) of business bonds and government bonds are acquired from the price information providing server 30 as the public price.

  Furthermore, the public information registration part 210 calculates the government bond par rate according to the reference maturity of each day, when buying and selling reference statistical value is acquired. For this reason, the public information registration unit 210 holds a publicly known government bond par rate calculation formula that uses the average value of the reference purchase and sale statistics of government bonds and the attribute information of each brand as variables. Here, the JGB par rate is the average yield of JGBs by base maturity. In the present embodiment, 1 year, 1.5 years, 2 to 10 years, 12 years, 15 years, 20 years, 25 years, and 30 years are used as the reference period. The government bond par rate is calculated by substituting the public bond price and the business ticket attribute information (coupon rate, remaining period) into a known calculation formula. In the present embodiment, the average value of the reference statistics for buying and selling of government bonds is used as the market bond price. Further, the remaining period is calculated from the due date and current date of each issue in the trading reference statistics.

  The public information registration unit 210 acquires the updated rating information from the rating information providing server 40 and records it in the basic information storage unit 24 every time it detects that the rating of each brand has been updated.

The offer interest rate acquisition unit 211 executes processing for acquiring data relating to the offer interest rate presented by the securities company and recording it in the offer sheet data storage unit 22.
The offer interest rate average value calculation unit 212 calculates the offer interest rate average value for each brand using the offer interest rate in the offer sheet data storage unit 22 and records it in the offer interest rate average value data storage unit 23.

Next, functions of the theoretical offer interest rate calculation unit 213 to the reasonable bid interest rate calculation unit 216 will be described with reference to FIG.
The theoretical offer interest rate calculation unit 213 calculates a theoretical offer interest rate (theoretical offer interest rate) using the offer interest rate average value and the basic information. Here, as the basic information, information on the highest and lowest values of reference trading statistics, the government bond par rate, the remaining period of the issue, the issue rating, and the industry of the issue are used.

  Furthermore, the theoretical offer interest rate calculation unit 213 holds an estimation model formula for calculating the theoretical offer interest rate. This estimation model formula uses [Offered interest rate average government bond spread] as an explained variable, [Selling reference statistical average government bond spread], [Selling reference statistical maximum (compound interest) and minimum (compound interest) ) Difference], [Remaining Period], [(Rating) Notch], and [Industry], respectively.

  Here, [Average offer interest rate JGB spread] is a value calculated by subtracting the remaining JGB interest rate (JGB par rate) from the average offer interest rate of the stocks in the estimated universe to calculate the theoretical offer interest rate. It is. [Government bond spread of trading reference statistics average] is a variable that represents the average level of bond prices, and is calculated by subtracting the government bond par rate from the average trading reference statistics of stocks in the estimated universe. It is. [Difference between the highest and lowest reference values for buying and selling] is a variable that represents the liquidity of the brand and the risk of price change. [Remaining Period], [(Rating) Notch], and [Industry] are variables that represent risks according to the attribute information of the stock, and are variables that represent interest rate risk, credit risk, and business type risk, respectively. is there.

Specifically, this estimation model formula can be expressed by the following formula.
Y = a + b1 · X1 + b2 · X2 + b3 · X3 + Σ (b4i · Ni) + Σ (b5j · Sj) + e (1)

Here, each symbol is as follows.
Y: Average offer interest rate government bond spread a: Intercept determined by this estimation model
X1: JGB spread for trading reference statistics
X2: Interest rate difference between the highest (compound interest) and lowest (compound interest) reference statistics
X3: Stock remaining period
Ni: Notch dummy variable (1 for the corresponding notch, 0 otherwise)
Sj: Industry dummy variable (1 for the relevant industry, 0 otherwise)
b1, b2, b3, b4i, b5j: Regression coefficient obtained by this estimation model equation e: Error

Here, i is “1,... [Value obtained by subtracting“ 1 ”from the number of notches”], and Σ (b4i · Ni) is the sum of the terms of the number of “number of notches−1”. .
Furthermore, j is “1,... [Value obtained by subtracting“ 1 ”from the number of industries”], and Σ (b5j · Sj) is the sum of the terms of the number of “industries-1”. .
The theoretical offer interest rate calculation unit 213 stores business type information. This business type information includes a business type identifier for specifying each business type and data related to the business type name.

Further, the theoretical offer interest rate calculation unit 213 stores an exclusion determination upper limit value for determining a brand to be excluded from the estimated universe for calculating the theoretical offer interest rate.
The reasonable offer interest rate determination unit 214 executes a process for determining a reasonable offer interest rate using the theoretical offer interest rate and the average offer interest rate.

  The offer bid spread calculation unit 215 executes a process of calculating an offer bid spread using an offer bid spread estimation model formula. Here, the offer bid spread is a difference between the offer interest rate and the bid interest rate, and details will be described later. The offer bid spread calculation unit 215 calculates the offer bid spread by multiplying the regression coefficient K calculated from the estimated model formula by the difference between the brand [the difference between the highest value and the lowest value of the trading reference statistical value]. Further, the offer bid spread calculation unit 215 stores a single regression estimation model formula for calculating the regression coefficient K by using a brand whose offer interest rate average value is in the range from the highest value of the buying and selling reference statistical value to the average value. doing.

This estimated model equation is an equation in which [difference between the offer interest rate and the average value of trading reference statistical values] is an explained variable and [difference between the average value of trading reference statistical values and the maximum value] is an explanatory variable. Specifically, it is expressed as follows.
B = K · D + e (2)
Here, each symbol is as follows.
B: Difference between offer interest rate and average value of trading reference statistics K: Regression coefficient obtained by this estimation model formula D: Difference between average value of trading reference statistics and maximum value e: Error

The valid bid interest rate calculation unit 216 executes processing for calculating a valid bid interest rate based on the offer bid spread and the valid offer interest rate.
The evaluation result output unit 217 shown in FIG. 1 executes processing for outputting the evaluation results (valid offer interest rate, valid bid interest rate).

  The offer sheet data storage unit 22 records offer sheet data related to the offer interest provided by the securities company. This offer sheet data is recorded when it is acquired via the input unit 11. This offer sheet data includes data on securities company identifiers, presentation dates, brands and offer interest rates.

In the securities company identifier data area, data relating to an identifier for specifying a securities company that has offered an offer interest rate is recorded.
In the presentation date data area, data related to the date on which the offer interest rate is presented is recorded.

In the brand data area, data relating to an identifier (brand identifier) for specifying the brand for which the offer interest rate is presented is recorded.
In the offer interest rate data area, data relating to the offer interest rate presented to the stock by the securities company on this offer date is recorded.

  The offer interest rate average value data storage unit 23 records an offer interest rate average record for each brand. This offer interest rate average record includes data regarding date, brand, average value of offer interest rate (offer interest rate average value) and remaining period average value.

In the date data area, data related to the date on which the offer interest rate used to calculate the average offer interest rate is presented is recorded.
Data relating to an identifier (brand identifier) for specifying each brand is recorded in the brand data area.

In the offer interest average value data area, data relating to the average value of the offer interest offered by the securities company is recorded for this issue.
In the remaining period average value data area, data relating to the average of the remaining period associated with the offer interest rate average value is recorded.

  The basic information storage unit 24 records basic data used for the business bond evaluation process. These basic data are periodically acquired and recorded by the public information registration unit 210. This basic data includes data on brands, trading reference statistics, government bond par rates, and brand attributes.

In the brand data area, data relating to an identifier for identifying each brand in the basic information is recorded.
In the trading reference statistical value data area, data on the maximum value, average value, and minimum value of trading reference statistical values for each trading day is recorded. Here, for business bonds and government bonds, data relating to the maximum, average and minimum values of trading reference statistics associated with the transaction date, brand and date are recorded.

In the JGB par rate data area, data related to JGB par rates by reference maturity is recorded.
In the brand attribute data area, data relating to brand attributes (remaining period, rating and industry identifier) is recorded.

<Calculation method of reasonable bid interest rate and offer bid spread>
Next, a method for calculating a valid bid interest rate and an offer bid spread will be described with reference to FIG.
Usually, the bid interest rate is an interest rate obtained by adding a certain price fluctuation risk (offer bid spread) to the offer interest rate. Therefore, in the present embodiment, the reasonable bid interest rate is calculated by adding the offer bid spread to the calculated reasonable offer interest rate.

  In the bond market, the offer bid spread, which is the range between the selling price and the buying price, reflects the liquidity of the stock. Therefore, in the present embodiment, the offer bid spread is calculated using the maximum value, the average value, and the minimum value of the sales reference statistical values.

  Here, as shown in FIG. 3, the difference between the average value of the buying and selling reference statistical value and the bid interest rate is “A”, and the difference between the average value of the buying and selling reference statistical value and the offer interest rate is “B”. On the other hand, in the trading reference statistical value, the difference between the lowest value and the average value is “C”, and the difference between the average value and the highest value is “D”.

Then, it is assumed that the following relationship is established for the stocks in which the offer interest rate falls between the highest value and the average value of the buying and selling reference statistical values.
A: B = C: D (3)
When this equation (3) is established, B / D = A / C is established. Further, since B / D = K (regression coefficient of the estimation model formula of single regression), the following formula is established.
A + B = K.C + K.D = K (C + D) (4)

  Accordingly, the offer bid spread calculation unit 215 calculates the regression coefficient K using the offer interest rate in the range from the highest value to the average value of the buying and selling reference statistical value, and the buying and selling reference statistical value of the evaluation target stock is calculated as the regression coefficient K. The offer bid spread of the stock is calculated by multiplying the difference (C + D) between the lowest value and the highest value. Then, the valid bid interest rate calculation unit 216 calculates a valid bid interest rate by adding the offer bid spread to the valid offer interest rate.

(Business bond evaluation process)
Next, using FIG. 4 and FIG. 5, a processing procedure for the business bond evaluation process performed using the business bond evaluation system described above will be described. First, a business bond evaluation program is activated in accordance with a user instruction. Via the input unit 11, the user specifies information (brand identifier, etc.) for specifying the brand to be evaluated (brand to be evaluated), the due date of this brand, and the date for calculating the reasonable offer interest rate (date to be evaluated). input. In the present embodiment, the current date is used as the evaluation target date. The control unit 21 of the business bond evaluation system 20 that has acquired the evaluation target date, the brand identifier of the evaluation target brand, and the due date executes the following processing.

  As illustrated in FIG. 4, the control unit 21 of the business bond evaluation system 20 executes an offer interest rate reading process (step S <b> 1-1). Specifically, the offer interest rate acquisition unit 211 of the control unit 21 acquires offer sheet data stored in a file format from the information storage medium reading device of the input unit 11. In this case, the offer interest rate acquisition unit 211 acquires offer sheet data with the evaluation date as the presentation date. Then, the offer interest rate acquisition unit 211 records the acquired offer sheet data in the offer sheet data storage unit 22.

  Next, the control unit 21 of the business bond evaluation system 20 executes an offer interest rate average value calculation process (step S1-2). Specifically, the offer interest rate acquisition unit 211 of the control unit 21 acquires the offer interest rate associated with the same issue identifier and evaluation date from the offer sheet data storage unit 22, and calculates the offer interest rate average value for each issue. calculate. Further, the offer interest rate acquisition unit 211 obtains the remaining period of the offer interest rate from the offer sheet data storage unit 22 and calculates the remaining period average value for each brand. Then, the offer interest rate acquisition unit 211 generates an offer interest rate average record including the evaluation target date, the brand identifier, the offer interest rate average value, and the remaining period average value, and records it in the offer interest rate average value data storage unit 23.

  Next, the control unit 21 of the business bond evaluation system 20 executes a process of excluding issues whose average offer interest rate exceeds the upper limit (step S1-3). Specifically, the theoretical offer interest rate calculation unit 213 of the control unit 21 subtracts the government bond par rate corresponding to the average value of the remaining term of this issue from the average offer interest rate value of the offer interest rate average record of each issue. To calculate the average bond spread for each offer interest rate. And the control part 21 excludes the issue of the national bond spread of the offer interest rate average value exceeding an exclusion determination upper limit, and specifies the remaining issue as an estimation universe of the theoretical offer interest rate calculation model.

  Next, the control unit 21 of the business bond evaluation system 20 executes a process of determining whether or not the offer interest rate average value is more than a certain distance from the starting point (step S1-4). Here, the average value of the trading reference statistical values of each brand is used as a starting point, and the separation state is determined using the correction determination reference value. As this correction judgment reference value, a value twice as large as the difference between the highest value and the lowest value of the trading reference statistical value of each brand is used. Specifically, the theoretical offer interest rate calculation unit 213 of the control unit 21 calculates the difference between the highest value and the lowest value of the trading reference statistical value of each brand included in the estimation universe of the theoretical offer interest rate estimation model. Then, the theoretical offer interest rate calculation unit 213 obtains at least twice the difference between the highest value and the lowest value of the trading reference statistical value of each brand (correction judgment reference value) from the average value (starting point) of the trading reference statistical value of each brand. If they are separated, it is determined that the average offer interest rate is separated from the starting point by a certain amount or more.

Here, when the offer interest rate average value is more than a certain distance from the starting point (in the case of “YES” in step S1-4), the offer interest rate average value correction process is executed (step S1-5). In this case, the correction method differs depending on whether it is separated downward or upward. Specifically, when the theoretical offer interest rate calculation unit 213 of the control unit 21 is separated downward, the average value (starting point) of the trading reference statistic value of each brand is calculated from the [buying and selling reference statistic value of the brand. The interest rate obtained by subtracting twice the difference between the highest value and the lowest value is replaced with the average offer interest rate. In addition, when the theoretical offer interest rate calculation unit 213 is separated upward, the average value (starting point) of the trading reference statistical value of each brand is used to calculate the [highest and lowest The interest rate that is twice the difference is replaced with the average offer interest rate.
On the other hand, when the offer interest rate average value is not more than a certain distance from the starting point (in the case of “NO” in step S1-4), step S1-5 is skipped.

  Next, the control unit 21 of the business bond evaluation system 20 performs a theoretical offer interest rate calculation process (step S1-6). Specifically, the theoretical offer interest rate calculation unit 213 of the control unit 21 applies multiple regression estimation to calculate the theoretical offer interest rate of each brand. In this case, the theoretical offer interest rate calculation unit 213 groups the issues included in the estimation universe of the theoretical offer interest rate calculation model according to the rank of the rating of each issue, and applies multiple regression estimation for each rank of the grouped ratings. The theoretical offer interest rate calculation unit 213 temporarily stores the calculated theoretical offer interest rate of each brand in the memory. Details of this processing will be described later with reference to FIG.

  And the control part 21 of the business bond evaluation system 20 specifies a brand identifier sequentially in the following offer interest rate specific processing (steps S1-7 to S1-12), when there are a plurality of brands to be evaluated, Repeat every time.

  First, the control unit 21 of the business bond evaluation system 20 executes a process for determining whether or not there is an offer interest rate (step S1-7). Specifically, the reasonable offer interest rate determination unit 214 of the control unit 21 searches the offer sheet data storage unit 22 for offer sheet data in which the brand identifier to be processed and the evaluation target date are recorded.

  When it is determined that the issue identifier of the processing target and the offer sheet data of the evaluation target date are not recorded in the offer sheet data storage unit 22 and there is no offer interest rate (in the case of “YES” in step S1-7), the business bond The control unit 21 of the evaluation system 20 executes processing for specifying the theoretical offer interest rate as the reasonable offer interest rate (step S1-8). Specifically, the reasonable offer interest rate determination unit 214 of the control unit 21 temporarily stores the theoretical offer interest rate in the memory as the reasonable offer interest rate in association with the brand identifier and the evaluation target date.

  On the other hand, when the issue identifier of the processing target and the offer sheet data of the evaluation target date are recorded and it is determined that there is an offer interest rate (in the case of “NO” in step S1-7), the control unit of the business bond evaluation system 20 21 executes a process of determining whether or not the offer interest rate average value is higher than the highest value of the buying and selling reference statistical value (step S1-9). Specifically, the reasonable offer interest rate determination unit 214 of the control unit 21 extracts the offer interest rate average value associated with the brand identifier to be processed and the evaluation date from the offer interest rate average value data storage unit 23. Further, the reasonable offer interest rate determination unit 214 extracts the maximum value of the trading reference statistical value associated with the brand identifier and the evaluation target date from the basic information storage unit 24. Then, the reasonable offer interest rate determination unit 214 compares the extracted offer interest rate average value with the extracted maximum value of the buying and selling reference statistical value.

  Here, when the average offer interest rate is higher than the highest value of the buying and selling reference statistical value (in the case of “YES” in step S1-9), the control unit 21 of the business bond evaluation system 20 uses the offer interest rate average value as the reasonable offer interest rate. The specific process is executed (step S1-10). Specifically, the reasonable offer interest rate determination unit 214 of the control unit 21 temporarily stores the average offer interest rate in the memory as the reasonable offer interest rate in association with the brand identifier and the evaluation target date.

  On the other hand, when the average offer interest rate is less than or equal to the maximum value of the buying and selling reference statistical value (in the case of “NO” in step S1-9), the control unit 21 of the business bond evaluation system 20 determines the theoretical offer interest rate and the offer interest rate average value. The comparison process is executed (step S1-11). Specifically, the reasonable offer interest rate determination unit 214 of the control unit 21 extracts the offer interest rate average value associated with the brand identifier to be processed and the evaluation date from the offer interest rate average value data storage unit 23. Further, the reasonable offer interest rate determination unit 214 compares the theoretical offer interest rate associated with the temporarily stored stock identifier to be processed with the obtained average offer interest rate.

As a result of the comparison, the control unit 21 of the business bond evaluation system 20 executes processing for specifying the higher interest rate as the reasonable offer interest rate (step S1-12). Specifically, the reasonable offer interest rate determination unit 214 of the control unit 21 temporarily stores in the memory a value that is high in the theoretical offer interest rate or the average offer interest rate in association with the brand identifier and the evaluation target date.
The above processing is repeated for all the brands to be evaluated.

  Next, the control unit 21 of the business bond evaluation system 20 executes offer bid spread calculation processing (step S1-13). Details of this processing will be described later with reference to FIG.

  Next, the control unit 21 of the business bond evaluation system 20 executes a process for calculating a reasonable bid interest rate (step S1-14). Specifically, the reasonable bid interest rate calculation unit 216 of the control unit 21 calculates the appropriate bid interest rate by adding the calculated offer bid spread of the evaluation target issue to each reasonable offer interest rate. Then, the reasonable bid interest rate calculation unit 216 temporarily stores the calculated reasonable bid interest rate in the memory in association with the brand identifier and the evaluation target date.

  Next, the control unit 21 of the business bond evaluation system 20 executes an output process of a reasonable offer interest rate and a valid bid interest rate (step S1-15). Specifically, the evaluation result output unit 217 of the control unit 21 generates an evaluation result file that records the brand identifier of the brand to be evaluated and the reasonable offer interest and temporary bid interest temporarily stored in association with the date to be evaluated. And stored in the information storage medium via the output unit 12. Further, the evaluation result output unit 217 displays each data of the evaluation result file on the display of the output unit 12.

(Calculation of theoretical offer interest rate)
Next, the above-described calculation process of the theoretical offer interest rate (step S1-6) will be described in detail with reference to FIG.

Here, the theoretical offer interest rate calculation unit 213 of the control unit 21 sequentially specifies the ranks of ratings to be processed, and executes the following processing for each rank of ratings.
And the theoretical offer interest rate calculation part 213 of the control part 21 performs the calculation process of the estimation model type | formula by multiple regression analysis (step S2-1). Specifically, first, the theoretical offer interest rate calculation unit 213 extracts the brand identifier associated with the rank of the rating to be processed from the estimated universe temporarily stored in the memory. The theoretical offer interest rate calculation unit 213 extracts an offer interest rate average record including each specified brand identifier and evaluation target date from the offer interest rate average value data storage unit 23. The theoretical offer interest rate calculation unit 213 extracts the trading reference statistical value, remaining period, notch, and business identifier associated with each identified brand identifier from the basic information storage unit 24.

  Next, the theoretical offer interest rate calculation unit 213 subtracts the government bond par rate corresponding to the average remaining value recorded in the offer interest rate average record from the offer interest rate average value on the evaluation date of each stock. Thus, the average bond interest rate for each issue is calculated.

  Further, the theoretical offer interest rate calculation unit 213 subtracts the reference bond par rate corresponding to the remaining term of the stock from the average value of the stock trading statistical value of each stock on the evaluation date, thereby obtaining the trading reference for each stock. Calculate the government bond spread of the average value of the statistics.

  Then, the theoretical offer interest rate calculation unit 213 calculates the interest rate difference between the highest value and the lowest value of the trading reference statistical value on the evaluation date of each brand by subtracting the lowest value from the highest value of the trading reference statistical value. .

  Then, the theoretical offer interest rate calculation unit 213 adds the calculated offer interest rate average government bond spread, trading reference statistical value government bond spread, trading reference statistical value maximum and minimum values to the estimation model formula of the above formula (1). Substitute the interest rate difference. Furthermore, a dummy variable according to the remaining period of the extracted brand, a notch according to the notch, and a business type identifier is substituted into this estimated model formula. Then, the theoretical offer interest rate calculation unit 213 calculates intercepts a and regression coefficients b1, b2, b3, b4i, and b5j in the estimated model formulas by performing regression analysis on the estimated model formulas of the respective stocks to which the respective values are substituted.

  The above processing is executed for each rating rank. Then, the theoretical offer interest rate calculation unit 213 calculates the estimated model equation of the theoretical offer interest rate for each rating rank by substituting the calculated intercept a and regression coefficients b1, b2, b3, b4i, and b5j into the estimated model equation. To do.

  And the theoretical offer interest rate calculation part 213 performs the calculation process of the theoretical offer interest rate of a brand (step S2-2). Here, the explanatory variable of the brand to be evaluated is substituted to calculate the explained variable. Specifically, the theoretical offer interest rate calculation unit 213 receives the maximum value, the average value, and the minimum value of the trading reference statistical values associated with the stock identifier of the stock to be evaluated, the notch, and the industry identifier from the basic information storage unit 24. get. The theoretical offer interest rate calculation unit 213 calculates the average government bond spread of the trading reference statistical values of the evaluation target issue by subtracting the par rate of the base term corresponding to the remaining period of the evaluation issue issue. Next, the theoretical offer interest rate calculation unit 213 calculates an interest rate difference between the highest value and the lowest value of the buying and selling reference statistical values. The theoretical offer interest rate calculation unit 213 substitutes each explanatory variable of the brand for the estimated model formula corresponding to the rank of the brand, and calculates the explained variable of the estimated model formula. Here, as each explanatory variable, there are a JGB spread for buying and selling reference statistics and an interest rate difference between the highest and lowest buying and selling statistics, the remaining period of the stock, a dummy variable according to the notch and a dummy variable according to the industry. Use. Then, the reasonable offer interest rate determination unit 214 calculates the theoretical offer interest rate by adding the government bond par rate of the same age to the calculated explained variable.

(Offer bid spread calculation process)
Next, the above-described offer bid spread calculation process (step S1-13) will be described in detail with reference to FIG.

  Here, first, the control unit 21 of the business bond evaluation system 20 performs the specified process of the estimated universe by the offer bid spread calculation unit 215 (step S3-1). Specifically, the offer bid spread calculation unit 215 of the control unit 21 acquires the offer interest rate average value associated with the evaluation target date from the offer interest rate average value data storage unit 23. The offer bid spread calculation unit 215 acquires, from the basic information storage unit 24, the average value and the maximum value of the buying and selling reference statistical values on the evaluation target date of each stock for which the offer interest rate average value has been acquired. The offer bid spread calculation unit 215 compares the average value and the maximum value of the buying and selling reference statistical values of each stock obtained with the average offer interest rate value of the same stock, and calculates the average value to the maximum value of the buying and selling reference statistical values. Specify the stock identifier of the stock whose range includes the average offer interest rate.

  Next, the control unit 21 of the business bond evaluation system 20 executes a regression coefficient calculation process by single regression (step S3-2). Specifically, the offer bid spread calculation unit 215 of the control unit 21 calculates the difference between the average value and the maximum value of the trading reference statistical values associated with the acquired brand identifier. Further, the offer bid spread calculation unit 215 calculates the difference between the average value of the buying and selling reference statistical value associated with the brand identifier and the average value of the offer interest rate. Then, the offer bid spread calculation unit 215 adds the “difference from the average value of the buying and selling reference statistical value to the highest value” (explained variable) and the “average value of the buying and selling reference statistical value” in the estimation model formula of the above formula (2). Substituting the “difference from the offer interest rate average value” (explanatory variable), a regression analysis is performed, and a regression coefficient K is calculated.

  Next, the control unit 21 of the business bond evaluation system 20 executes the offer bid spread calculation process for the brand (step S3-3). Specifically, the offer bid spread calculation unit 215 of the control unit 21 multiplies the difference between the minimum value and the maximum value of the trading reference statistical value of the evaluation target brand by the calculated regression coefficient K, thereby providing an offer. Calculate the bid spread.

According to this embodiment, the following effects can be obtained.
(1) In the present embodiment, the control unit 21 of the business bond evaluation system 20 executes a theoretical offer interest rate calculation process using the estimated model formula (step S1-6). In this process, [Offered Average Interest Rate JGB Spread] is the explained variable, [Average JGB Spread of Trading Reference Statistical Value], [Difference Between Highest and Lowest Trading Reference Statistical Value], [Remaining Period] ], [Notch], and [Industry] are subjected to multiple regression analysis of estimated model formulas, each with an explanatory variable. Then, by this multiple regression analysis, the control unit 21 calculates the intercept a of the estimated model formula and the regression coefficients b1, b2, b3, b4i, and b5j, and uses the estimated model formula into which the evaluation model formula is substituted. Calculate the offer interest rate. Here, the government bond spread indicates the deviation from the government bond par rate, which is the basis for interest rates. The trading reference statistics are official reference prices. Furthermore, the difference between the highest value and the lowest value of the buying and selling reference statistical value indicates a variation in price for each brand. As a result, using the official bond par rate as a standard, using the official reference price (trading reference statistical value) and the actual price (offer interest rate offered by the securities company), the risk varies according to the stock variability and the stock attributes. An estimated model formula for calculating the theoretical offer interest rate can be obtained by relative evaluation between stocks in consideration of. Therefore, the theoretical offer interest rate based on the official reference price or the actual price can be calculated by using this estimation model formula.

  (2) In the present embodiment, the control unit 21 of the business bond evaluation system 20 executes a comparison process between the theoretical offer interest rate and the offer interest average value (step S1-11), and the higher interest rate is set as the reasonable offer interest rate. A specific process is executed (step S1-12). This makes it possible to provide a reasonable price as a reasonable offer interest rate with respect to the official reference price.

  (3) In the present embodiment, regression analysis of an estimated model formula for calculating a theoretical offer interest rate is performed for each rank of rating. The government bond spread level is grouped to some extent for each rating rank. By calculating an estimation model for each rating rank, an estimation model formula that can more appropriately grasp the price of the issue based on the government bond spread is obtained. Can do.

  (4) In the present embodiment, the control unit 21 of the business bond evaluation system 20 executes the process of excluding issues whose average offer interest rate exceeds the upper limit before the theoretical offer interest rate calculation process (step S1-6). (Step S1-3). As a result, issues whose creditworthiness inherent to issues is large, and issues whose bond value exceeds the category handled by the relative evaluation between issues, are excluded, so a more appropriate theoretical offer interest rate can be calculated.

  (5) In the present embodiment, the control unit 21 of the business bond evaluation system 20 performs the process of calculating the theoretical offer interest rate (step S1-6) for issues whose average offer interest rate is more than a certain distance from the starting point. ("YES" in step S1-4), an offer interest rate average value correction process is executed (step S1-5). Thereby, it is possible to calculate a more appropriate theoretical offer interest rate by correcting a stock that is considered to have a price far from the market.

  (6) In the present embodiment, the control unit 21 of the business bond evaluation system 20 executes offer bid spread calculation processing using the maximum and minimum values of the stock trading reference statistical values (step S1-13). Furthermore, the control part 21 performs the calculation process of a reasonable bid interest rate by adding the calculated offer bid spread to an offer interest rate (step S1-14). Thereby, the offer bid spread based on the official reference price or the actual price can be calculated. Then, using this offer bid spread, a reasonable valid bid interest rate can be calculated.

  (7) In the present embodiment, the control unit 21 of the business bond evaluation system 20 explains the difference between the average value of the trading reference statistics of the brand and the offer interest rate in the offer bid spread calculation process (step S1-13). A regression analysis is performed using the difference between the average value and the maximum value of the trading reference statistical values as explanatory variables as explanatory variables (step S3-2). And the control part 21 calculates an offer bid spread by multiplying the coefficient calculated by this regression analysis by the difference of the minimum value of a buying and selling reference statistical value, and a maximum value (step S3-3). As a result, the offer bid spread that reflects the liquidity of the brand is calculated using the buying and selling reference statistical value, which is the official reference price, so that a reasonable offer bid spread can be calculated.

  (8) In the present embodiment, the control unit 21 of the business bond evaluation system 20 executes the process of specifying the estimated universe (step S3-1) in the offer bid spread calculation process (step S1-13). In this process, the control unit 21 identifies a brand whose offer interest rate average value is equal to or lower than the average value of the buying and selling reference statistical values and is equal to or higher than the highest value as an estimated universe. As a result, the regression coefficient K is calculated using a price that is close to the actual market, so the relationship between the difference between the highest and average trading reference statistics and the difference between the lowest and average trading reference statistics Can be used to calculate a reasonable reasonable bid interest rate.

Moreover, you may change the said embodiment as follows.
In the above embodiment, the control unit 21 of the business bond evaluation system 20 executes the offer interest rate average value calculation process using the offer interest rate stored in the offer sheet data storage unit 22 (step S1-2). Then, the control unit 21 uses the average offer interest rate to calculate a theoretical offer interest rate (step S1-6), an offer interest rate specification process (steps S1-7 to S1-12), and an offer bid spread calculation process. (Step S1-13) was executed. The representative value of the offer interest rate used in these processes is not limited to the average offer interest rate as long as it is a value representative of the offer interest actually provided by the securities company. For example, an offer interest rate representative value that considers weighting according to the characteristics of pricing by a securities company may be used. Specifically, the stocks for which the offer interest rate is provided by a plurality of securities companies are specified, and a representative value of the offer interest rate is calculated by performing regression analysis with each securities company as an explanatory variable and the price as an explained variable.

  In the above-described embodiment, the control unit 21 of the corporate bond evaluation system 20 uses a notch of the rating of the brand or a dummy variable of the type of industry for the estimation model formula of the theoretical offer interest rate. The attribute information used in the model model for estimating the theoretical offer interest rate may be only a part of these, or is not limited to these. For example, a dummy variable corresponding to the type of bond, such as a samurai bond, may be used. It may be included in the estimated model formula.

  Furthermore, in the estimation model formula, the difference between the highest and lowest reference values for buying and selling was used as the variation in the reference value for buying and selling stocks. For example, it is not limited to this. For example, the standard deviation may be calculated by using the highest value, the lowest value, and the average value of the buying and selling reference statistical values, and this standard deviation may be used.

  In the above embodiment, the control unit 21 of the business bond evaluation system 20 uses the trading reference statistical value on the evaluation target date in the business bond evaluation process. The reference statistical value used in the business bond evaluation process is not limited to the evaluation target date. For example, when there is no trading reference statistical value on the evaluation target day, the trading reference statistical value on the previous day is used. Thereby, even on the day when the trading reference statistical value has not been announced yet, it is possible to calculate the reasonable offer interest rate and the reasonable bid interest rate based on the latest official reference price and actual price.

  In the above embodiment, the control unit 21 of the business bond evaluation system 20 executes the output process of the reasonable offer interest rate and the reasonable bid interest rate (step S1-16). In addition, a history of reasonable offer interest rates and reasonable bid interest rates may be displayed. Specifically, the reasonable offer interest rate and the reasonable bid interest rate calculated for each brand are stored in the evaluation result file in association with the evaluation target date for which they are calculated. Here, when the history display range is acquired via the input unit 11, the control unit 21 acquires an evaluation result file having the date corresponding to the history display range as the evaluation target date. And the control part 21 displays the reasonable offer interest rate and valid bid interest rate for every brand in the acquired evaluation result file in time series. As a result, it is possible to grasp the price fluctuation of the reasonable offer interest rate and the reasonable bid interest rate for each brand.

  In the above embodiment, the control unit 21 of the business bond evaluation system 20 executes the output process of the reasonable offer interest rate and the reasonable bid interest rate (step S1-16). The output target is not limited to both the reasonable offer interest rate and the reasonable bid interest rate, and may be only one of the reasonable offer interest rate and the reasonable bid interest rate. When outputting only the reasonable offer interest rate, the control unit 21 can omit steps S1-13 and S1-14.

  DESCRIPTION OF SYMBOLS 11 ... Input part, 12 ... Output part, 20 ... Business bond evaluation system, 21 ... Control part, 22 ... Offer sheet data storage part, 23 ... Offer interest average value data storage part, 24 ... Basic information storage part, 30 ... Price Information providing server, 40 ... Rating information providing server, 210 ... Public information registration unit, 211 ... Offer interest rate acquisition unit, 212 ... Offer interest average value calculation unit, 213 ... Theoretical offer interest rate calculation unit, 214 ... Valid offer interest rate determination unit, 215 ... offer bid spread calculation unit, 216 ... reasonable bid interest rate calculation unit, 217 ... evaluation result output unit.

Claims (11)

Trading reference statistics data storage unit that stores trading reference statistics for each issue,
An offer interest rate representative value storage unit that stores an offer interest rate representative value for each stock specified using an offer interest rate presented by a securities company,
A business bond evaluation system comprising a control unit for evaluating the validity of the price of a business bond,
The control unit is
Perform regression analysis with the government bond spread of the representative value of the offer interest rate as the explained variable, and the average value of the bond reference statistical value of the trading reference statistical value, the variation of the stock trading reference statistical value, and the variable according to the stock attribute as the explanatory variable. Generate a model formula,
Using the generated model formula, calculate the theoretical offer interest rate of the stock to be evaluated,
A business bond evaluation system characterized in that a reasonable offer interest rate is specified and output according to a result of comparing the theoretical offer interest rate and the offer interest representative value for the brand to be evaluated.   2. The business bond evaluation system according to claim 1, wherein the control unit calculates a variation in the trading reference statistical value using a maximum value and a minimum value of the trading reference statistical value.   The variable according to the attribute of the brand is at least one of a remaining period of the brand, a variable according to the rating of the brand, and a variable according to a business type of the brand. The corporate bond evaluation system described in 1. The control unit is
If the offer interest rate is higher than the highest value in the buying and selling reference statistics, identify the offer rate as a reasonable offer rate,
Claims characterized in that, when the representative value of the offer interest rate is lower than the highest value of the trading reference statistical value, the theoretical offer interest rate is compared with the representative offer interest rate value, and the high interest rate is specified as the reasonable offer interest rate. The business bond evaluation system according to any one of 1 to 3.   The said control part produces | generates the said model formula using the offer interest rate of the remaining brand | stocks remove | excluding the brand | brand in which the offer bond representative value government bond spread exceeded the exclusion determination upper limit. The corporate bond evaluation system according to any one of the above.   For the issue where the control unit is separated from the starting point of the buying and selling reference statistical value by the correction determination reference value or more, the correction determination reference value is used as an offer interest rate representative value of the issue to generate the model formula. The business bond evaluation system according to any one of claims 1 to 5. The control unit further includes:
Using the highest and lowest values of the trading reference statistics of the brand, the offer bid spread of the brand to be evaluated is calculated,
The business bond evaluation according to claim 1, wherein the offer bid spread is added to a reasonable offer interest rate to calculate and output a reasonable bid interest rate of the stock to be evaluated. system. The control unit is
The difference between the average value of the trading reference statistical value and the offer interest rate representative value is the explained variable, and the regression analysis is performed with the difference between the average value of the trading reference statistical value and the maximum value as the explanatory variable,
8. The offer bid spread is calculated by multiplying a regression coefficient calculated by the regression analysis by a difference between a minimum value and a maximum value of the trading reference statistical value of the evaluation target brand. The listed corporate bond evaluation system.   9. The business bond evaluation system according to claim 8, wherein the control unit calculates the regression coefficient using only the stocks whose offer interest rate representative value is less than or equal to the average value of the buying and selling reference statistical values and the highest value or more. . Trading reference statistics data storage unit that stores trading reference statistics for each issue,
An offer interest rate representative value storage unit that stores an offer interest rate representative value for each stock specified using an offer interest rate presented by a securities company,
A method for evaluating the validity of the price of a corporate bond using a corporate bond evaluation system including a control unit,
The control unit is
Perform regression analysis with the government bond spread of the representative value of the offer interest rate as the explained variable, and the average value of the bond reference statistical value of the trading reference statistical value, the variation of the stock trading reference statistical value, and the variable according to the stock attribute as the explanatory variable. Generate a model formula,
Using the generated model formula, calculate the theoretical offer interest rate of the stock to be evaluated,
A business bond evaluation method comprising: specifying and outputting a reasonable offer interest rate according to a result of comparing the theoretical offer interest rate and the offer interest representative value for the brand to be evaluated. Trading reference statistics data storage unit that stores trading reference statistics for each issue,
An offer interest rate representative value storage unit that stores an offer interest rate representative value for each stock specified using an offer interest rate presented by a securities company,
A program that evaluates the validity of the price of a corporate bond using a corporate bond evaluation system with a control unit,
The control unit
Perform regression analysis with the government bond spread of the representative value of the offer interest rate as the explained variable, and the average value of the bond reference statistical value of the trading reference statistical value, the variation of the stock trading reference statistical value, and the variable according to the stock attribute as the explanatory variable. Generate a model formula,
Using the generated model formula, calculate the theoretical offer interest rate of the stock to be evaluated,
A business bond evaluation program characterized by causing a function for specifying and outputting a reasonable offer interest rate according to a result of comparing the theoretical offer interest rate and the offer interest representative value for the brand to be evaluated.

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