KR101894800B1 - Method and apparatus for calculating required capital of market risk - Google Patents

Abstract

Disclosed is a technology that can save unnecessary costs and time in calculating a required equity capital by providing a required capitalization technology that reflects the market risk that can be applied to any transaction entity in a standardized manner. Provided is a method of calculating a required equity capital of a market risk which is implemented in a computing device that includes one or more processors and one or more memories that store instructions executable by the processor. The method comprises: a transaction information collection step of collecting, from a database, transaction information which is information including a transaction product and a purchase or sale amount for each transaction entity; a position calculating step of summing each transaction information collected from the transaction information collecting step for each transaction item and calculating a position including information on the product information and the final holding amount of each product; a step of computing a required equity capital for each product which selectively computes, by a sensitivity method, at least one of the required equity capital, a default risk regulatory capital and the residual risk regulatory capital by applying a predetermined criteria for each product using the position calculated by the position calculation step; and a step of calculating the final required equity capital for the transaction entity by summing all the capitals computed by the step of computing a required equity capital.

Description

The market capitalization method is based on the assumption that,

The present invention relates to a technology for managing risks such as risks to financial assets. More specifically, the present invention collects transaction details performed by a financial institution with respect to a deposit amount of a customer for each product, And individuals, etc. The present invention relates to a technology for calculating required capital per transaction entity,

Required capital is the amount of capital required to meet the minimum standard (8%), after calculating the Capital Adequacy Ratio (ROE) . This serves as a benchmark for the Bank of International Settlements (BIS) to assess the assets of a bank and decide whether to borrow or issue securities abroad.

As the financial environment becomes more complicated and the size of financial companies grows, there is an increasing demand for management systems that take into account the risk of individual lending and the proper amount of capital to be managed / managed. It is an essential element of financial institutions that take into account each risk to prepare for situations in which financial institutions can not afford the default risk by calculating the amount of capital required.

In the past, it was difficult to calculate inverse functions and z-values by using expensive statistical packages such as SAS in order to calculate the above-mentioned required capital, and it was impossible to perform stress test for capital amount management, There has been a drawback that it is difficult to manage the risk of the system.

As a recent technology in this conventional technology, Korean Patent Registration No. 10-1142132, etc., calculates risk-weighted assets, estimated loss, unexpected loss, and required capital amount by account for each transaction entity and calculates each credit VaR And the risk capital amount required for credit risk management.

However, since the prior art described above uses a complicated calculation method for each bank rather than a required capitalization calculation method that effectively reflects market risk, unnecessary costs such as calculation complexity, non-standardity, and demand of a dedicated database, It has been pointed out that it is inevitable that the demand is inevitable.

Accordingly, the present invention is to provide a technology that can save unnecessary cost and time in the calculation of required capital by providing required capitalization technology that reflects market risk that can be applied to any transaction entity in a standardized manner There is a purpose.

In addition, the present invention applies standardized required capitalization methods of different methods in accordance with the position of each product to calculate the required capital adequacy by accurately calculating the state of each product according to each product, Another purpose is to provide a technology for calculating the required capital, which can be easily calculated by compute the numerical value to improve the accuracy.

 In order to achieve the above object, a method and an apparatus for calculating required capital equity of a market risk according to an embodiment of the present invention includes a computing device including one or more processors and one or more memories for storing instructions executable by the processor A step of collecting transaction information for collecting transaction information, which is information including a transaction product and a sale or sale amount, from a database for each transaction entity; A position calculating step of summing each transaction information collected from the transaction information collecting step for each transaction item and calculating a position including information on the product information and the final holding amount of each product; A risk-adjusted capital, and a residual risk-adjusted capital by applying a predetermined standard for each product using the position calculated by the position calculating step, Required capitalization step; And calculating the final required capital of the transaction entity by summing all the capital calculated by the required capitalization calculation step.

On the other hand, the required capital adequacy calculation device of the market risk according to an embodiment of the present invention includes a computing device including one or more processors and one or more memories that store instructions executable by the processor, A transaction information collecting unit for collecting, from a database, transaction information that is information including a transaction product and a sale or sale amount for each transaction entity; A position calculation unit for calculating a position including information on product information and information on a final holding amount for each product by summing up each transaction information collected from the transaction information collection step for each transaction product; A risk-adjusted capital, and a residual risk-adjusted capital by applying a predetermined standard for each product using the position calculated by the position calculating step, Required capital calculation unit; And a required capitalization calculating unit for calculating the final required capitalization for a transaction entity by summing all the capitales calculated by the required capitalization calculation step.

According to the present invention, as a standard method, the required capital is classified according to the product, and the position is used to classify the required capital, the default risk-regulated capital and the residual risk-regulated capital And at least one capital is selectively calculated. In particular, among the characteristics of commodities, depending on each risk, subordinate risk-regulated capital and residual risk-regulated capital are selectively calculated to utilize the required capital for calculation.

Accordingly, it is possible to calculate the required capital adequately according to the function of the present invention collectively in any transaction subject, and it is possible to calculate the required capital adequately by accurately reflecting the state of each product, There is an effect that it can be done easily and easily.

In addition, since the required capital is calculated according to the status of the product, a complicated process is not required for each bank, and a standard database is not required, which can reduce computation time and cost.

Figures 1 to 6 are flow charts of a method for calculating required capitalization of market risk in accordance with an embodiment of the present invention.
FIG. 7 is a block diagram of an apparatus for calculating required capital of a market risk according to an embodiment of the present invention. FIG.
8 is a block diagram illustrating an internal configuration of a computing device according to an embodiment of the present invention;

In the following, various embodiments and / or aspects are now described with reference to the drawings. In the following description, for purposes of explanation, numerous specific details are set forth in order to provide a thorough understanding of one or more aspects. However, it will also be appreciated by those of ordinary skill in the art that such aspect (s) may be practiced without these specific details. The following description and the annexed drawings set forth in detail certain illustrative aspects of one or more aspects. It is to be understood, however, that such aspects are illustrative and that some of the various ways of practicing various aspects of the principles of various aspects may be utilized, and that the description set forth is intended to include all such aspects and their equivalents.

In addition, various aspects and features will be presented by a system that may include multiple devices, components and / or modules, and so forth. It should be understood that the various systems may include additional devices, components and / or modules, etc., and / or may not include all of the devices, components, modules, etc. discussed in connection with the drawings Must be understood and understood.

As used herein, the terms "an embodiment," "an embodiment," " an embodiment, "" an embodiment ", etc. are intended to indicate that any aspect or design described is better or worse than other aspects or designs. . The terms 'component', 'module', 'system', 'interface', etc. used in the following generally refer to a computer-related entity, And a combination of software and software.

It is also to be understood that the term " comprises "and / or" comprising " means that the feature and / or component is present, but does not exclude the presence or addition of one or more other features, components and / It should be understood that it does not.

Also, terms including ordinal numbers such as first, second, etc. may be used to describe various elements, but the elements are not limited to these terms. The terms are used only for the purpose of distinguishing one component from another. For example, without departing from the scope of the present invention, the first component may be referred to as a second component, and similarly, the second component may also be referred to as a first component. And / or < / RTI > includes any combination of a plurality of related listed items or any of a plurality of related listed items.

Furthermore, in the embodiments of the present invention, all terms used herein, including technical or scientific terms, unless otherwise defined, are intended to be inclusive in a manner that is generally understood by those of ordinary skill in the art to which this invention belongs. Have the same meaning. Terms such as those defined in commonly used dictionaries are to be interpreted as having a meaning consistent with the contextual meaning of the related art and, unless explicitly defined in the embodiments of the present invention, are intended to mean ideal or overly formal .

1 to 6 are flow charts of a method for calculating required capital of market risk according to an embodiment of the present invention. Hereinafter, with reference to FIGS. 1 to 6, a method for calculating required capital of market risk according to an embodiment of the present invention will be described.

As described above, the present invention is embodied in a computing device that includes one or more processors and one or more memories that store instructions executable by the processor, and the computing device in accordance with the present invention includes a market risk Of the capital stock of the company.

Referring to FIG. 1, a method of calculating required capital of a market risk according to an embodiment of the present invention includes: collecting transaction information, which is transaction information, which is information including a transaction product and a sale or sale amount, Step S10.

In the present invention, the term "trading entity" refers to a subject who calculates the required capital adequacy, such as a financial institution, a specific transaction entity, or an individual.

Required capital is the amount of equity capital required to meet the minimum standard (eg, 8%) after calculating the capital adequacy ratio to the risk-weighted assets. do.

The ratio of equity capital is the ratio of equity capital that the BIS recommends to the general bank, which is usually called the BIS capital adequacy ratio. As mentioned above, BIS sees more than 8% of its capital ratio as limited and stipulated, self - self - ratio is calculated as equity capital / total capital, and risk weight is assigned according to the credit level of each investment target when calculating total assets. For example, government bonds are weighted by 0% and mortgage loans by 50%. If the capital ratio is less than 8%, it is impossible to borrow abroad and issue securities. .

In order to calculate the required capital requirement, the present invention collects transaction information from a database of an external financial institution server or the like where general financial transaction information is stored, and then collects each transaction information collected from the transaction information collection step (S10) A position calculating step (S20) for calculating a position including the information on the product information and the final holding amount of each product by summing up the products.

In the present invention, a position is generally similar to a position indicating a transaction amount used in economic terms, but it will be understood as a concept of data including information on the type of asset and the country of issuance of the transaction asset together with the transaction amount. That is, in step S20, the transaction information is collected and summed for the same commodities, and the amount of money currently held per commodity is finally calculated.

Thereafter, using the position calculated in the position calculation step (S20), at least one of the capital requirement, the default risk regulatory capital, and the residual risk regulation capital by the sensitivity method is applied selectively (Step S30).

That is, in step S30, it is determined which of the above three standard required capital calculation methods should be used to calculate the required capital by applying predetermined criteria based on the property of the product for each product corresponding to each position , And calculating the required capital for each product using the position calculated in step S20 on the basis thereof.

(S40) to calculate the final required capital for the transaction entity by summing up all the capital calculated by the required capital-required capital calculation step (S30).

That is, in step S40, the total required capital of the transaction subject is calculated by summing all the required capital resources calculated in step S30 for each product corresponding to the position held by the transaction subject.

Here, a specific example of the operation of step S30 is as follows.

First, in step S30, the computing device selectively computes at least one of the capital required by the sensitivity method, the default risk-regulated capital, and the residual risk-adjusted capital. The criterion for selecting the capital is as follows.

First, the required equity capital is calculated for all the products evaluated by the valuation model of the financial institution, that is, for all the products managed in the present invention by the sensitivity method. That is, the required capitalization by the sensitivity method is calculated including all the goods.

On the other hand, the default risk-regulated capital is calculated for products subject to credit risk assessment within a financial institution, and the residual risk-regulated capital has either a product with atypical underlying assets, a gap risk, a correlation coefficient risk and an action risk The product is calculated for products that do not have the option risk and smile risk simultaneously.

That is, in the present invention, the required capitalization by the sensitivity method is calculated for virtually all products, but the default risk-regulated capital and residual risk-regulated capital are selectively calculated according to the nature of each commodity. Thereafter, in step S40, the total capital required for the trading entity is calculated by summing the capital calculated for each product, ie, the required capital calculated by the sensitivity method, the default risk regulatory capital, and the residual risk regulatory capital.

The method of calculating the required capital by the sensitivity method is described in detail in FIGS.

Referring to FIG. 2, in the method of calculating the required capital by the sensitivity method, it is first determined whether the risk factor of each risk class affects the price of the goods corresponding to the position, (For example, seven) risk groups, and then performs a bucket allocation step S31 for allocating buckets, which are groups classified by the characteristics defined for the respective risk groups.

In the present invention, the risk groups are classified into seven groups in relation to the application of the sensitivity method. The seven risk groups are, for example, interest rate risk, credit spread risk (ineligible), credit spread risk (securitization, uncorrelated trading), credit spread risk (securitization, correlation trading), stock risk, commodity risk, .

Whether or not the risk factor corresponds to each risk group is determined according to whether or not the risk factor of each risk group affects the price of the product as described above. For example, in the case of derivatives-linked securities where the underlying asset is a stock, interest rate risk and equity risk are included because the fair value of the product changes when the interest rate is comfortable or the price of the underlying asset changes. If the underlying asset is a stock issued in a foreign country, the fair value of the good can be changed by the exchange rate, and it also falls into foreign exchange risk.

The risk factor is a variable that affects the valuation of the product and depends on sensitivity criteria such as Delta sensitivity, Vega sensitivity and Curvature described below. For example, in the case of an interest rate risk delta, the interest rate by maturity of the risk-free rate curve. In the case of Vega, there is the volatility curve of the currency (the volatility curve used by the financial company for each currency in each currency) and the volatility of the swap maturity. In the case of cover-up, the risk-free yield curve is the entire curve that has not been broken down into maturity.

The delta of credit spread risk (ineligible) is the maturity of the issuer's credit spread curve, the value of implied volatility of the option with the issuer's credit rating as the underlying asset, and the coverer is the issuer's credit spread curve as the interest risk The entire curve is not divided by maturity.

In the case of stock risk delta, the underlying asset price, in the case of Vega, the volatility value of the implied vol (implied volatility) curve of the option with the underlying stock as the underlying asset, and the cover price is the stock spot price.

In the case of foreign exchange risk delta, the volatility of the implied volatility curve of the options with the exchange rate as the underlying asset, and the exchange rate in the case of coverer.

When a bucket is assigned to each position, a delta is calculated based on the Delta sensitivity-based risk metric, which indicates the extent of the change in the value of the derivatives price relative to the change in the underlying asset price, applying predetermined criteria for each bucket of each position. Vega capitalization, which is calculated according to Vega sensitivity-based risk metrics, which indicates the degree of change in the value of derivatives, on the changes in volatility of required capital and underlying assets, (S32) a first sensitivity required capital calculation step (S32) for selectively calculating at least one required capital of the Curvature required capital calculated according to the risk measurement index for recognizing the risk.

In step S32, the criterion for calculating the required capital among delta required capital, Vega required capital, and covered equity capital is as follows.

In the case of delta-equity capital, it is calculated for all products. In the case of Vega-required equity capital, for products belonging to at least one of the products including options and conversion rights or interest- Calculate capital and covered equity capital required. In other words, the delta-required equity capital is basically calculated for all the products and calculates the equity capital of Vega and Coverage depending on the nature of the product.

The delta required capital and the Vega required capital are calculated through the process shown in FIG. Referring to FIG. 3, first, a sensitivity summing step (S321) of calculating a sum of sensitivities by classifying the sensitivity values of individual products included in respective positions by the risk factors described above, .

In the present invention, the sensitivity means the degree of change in the price of a derivative with respect to a change in the variability of the underlying asset. The above values apply equally to delta sensitivity and Vega sensitivity.

Thereafter, the predetermined first weight value assigned to each of the risk groups and the bucket is applied to the sensitivity sum value, and the sensitivity value sum using the first weight value is calculated using a formula (rho, rho) To calculate an intermediate value for each bucket (S322).

A constant is a value calculated by a number of conditions for each risk group, which is a constant set differently for each risk group. For example, for the delta of the credit spread risk (non-livelihood) risk group, the constant is computed as (Basis) with (issuer) * (tenor) *, 1, and 35%, respectively. Tenor is defined as 1 if the expiration dates of the two products are equal to 65%, and Basis is calculated as 99.9% if the two products have the same credit spread curve. Of course, the formula applies differently for each risk group, so the log constant is set differently for each risk group.

The constants are constants that are calculated according to the above formula. Values calculated in advance according to each risk group are stored in the database or stored in the memory of the computing device, and then the values are calculated by the sensitivity method (same as Delta, Vega and Coverer) It can be loaded and used when calculating capital stock.

The median value is the value by which the result is computed per bucket, and the following formula is used.

[Calculation of Delta, Vega Risk Position]

(The value in the square root is the lower limit as 0,

: b번 버킷의 Risk Position,

: Risk Position of bucket b,

: risk factor k별 위험가중민감도, 즉 각 risk factor 별 Netting 된 결과에 가중치를 곱한 값,

: Risk factor k The risk weighted sensitivity, ie, the netting result for each risk factor times the weight,

: rho. risk factor k와 l간의 상관계수)

: rho. correlation coefficient between risk factor k and l)

If step S322 is performed, a formula using a gamma (gamma) constant defined for each risk group corresponding to each position of each product is applied to each intermediate value calculated in step S322 to calculate delta and Vega for each product A final value calculation step S323 for calculating any one of equity capital is performed. That is, in step S323, among the required capital requirement by the sensitivity method, the delta-required capital and the Vega required capital are calculated according to the calculation target.

In step S323, the formula for calculating the delta or Vega required capital of the product using the median value is as follows.

[Calculation of Delta, Vega's Risk Charge]

: b번 버킷의 Risk Position(

: Risk Position of bucket b

: : 버킷 b의 risk factor의 위험가중 민감도의 합, 즉, 버킷 b에 속하는 (risk factor 별 netting된 결과 * 가중치) 값들의 합

: Sum of the risk weighted sensitivities of the risk factors of bucket b, ie, the sum of the values belonging to bucket b (the netted results * weighted by risk factor)

: : gamma. 버킷 b와 버킷 c의 상관계수,

:: gamma. The correlation coefficient between bucket b and bucket c,

If the value in the root is negative,

로 계산)

)

At this time, most of the gamma constants are set to predetermined constants for each risk group, and only the formula and condition of credit spread risk (non-liquidation) and credit spread risk (liquidation, uncorrelated trading) Can be calculated accordingly.

On the other hand, in the case of the cover capital required capital, it is calculated through the process shown in FIG. Referring to FIG. 4, first, by applying two stress scenarios, that is, an increase / decrease of a risk factor value by a risk factor (Rick Factor) A total coverage risk exposure calculation step S324 is performed to calculate a total coverage risk exposer of the position.

Covert Risk Exposure is to recognize the incremental risk that can not be captured by delta risk when option values are changed. Delta sensitivity is the first sensitivity, which is calculated assuming that the option value is linear. Since the actual option value is nonlinear, it is difficult to accurately measure the actual option value with Delta alone. Accordingly, a second sensitivity is used to further reflect the curvature.

Likewise, in the case of risk, in addition to the delta risk, it is necessary to measure the potential loss that can be further reflected by the curvature, which is called risk exposure. Coverage Risk Exposure uses the value of the loss of the two values, calculated by calculating the potential loss when the element is rising and falling for each risk factor (which means the two stress scenarios described above).

The total coverage risk exposures are calculated for each product position and have the results for each product and are calculated according to the above algorithm according to the following formula.

[How to calculate Net Curvature Risk Exposure]

(i: the commodity of the trading unit that came into the input,

: i번째 상품의 공정가(Price),

: Price of the i-th item,

: i번째 상품의 Up공정가(Up Price. 해당 Risk factor의 모든 값들을 올려서 계산한 공정가),

: Up price of the i th commodity (Up price, fair price calculated by raising all the values of the risk factor),

: i번째 상품의 Dn공정가(Dn Price. 해당 Risk Factor의 모든 값들을 내려서 계산한 공정가),

: Dn Fair price of the ith product (Dn Price, Fair price calculated by deducting all values of the relevant risk factor),

: k 버킷의 가중치,

: k The weight of the bucket,

: i번째 상품의 risk factor에 해당하는 모든 Delta의 합(input으로 받음))

: sum of all Delta (received as input) corresponding to the risk factor of the ith item)

When the step S324 is performed in accordance with the above formula, a formula using a logarithmic constant defined for each risk group is applied to the coverage risk exposures of the respective positions based on the risk groups of the respective positions, and then the sum is calculated for each bucket, An intermediate value calculating step S325 for calculating a value is performed. The median value calculated in step S325 has one result for each bucket.

In calculating the required capitalization by delta and Vega sensitivities, the intermediate value calculation using the same logarithm constant is performed also in the calculation of the cover capital required capital, as in the intermediate value calculation step, and the formula is as follows.

[Calculate Curvature Median (Risk Position)]

: b번 버킷의 Risk Position,(

: Risk Position of bucket b,

: rho. risk factor k와 l간의 상관계수,

: rho. correlation coefficient between risk factor k and l,

:

과

이 모두 음수이면 0, 그 외에는 1)

:

and

0 if all are negative, 1 otherwise)

When step S325 is performed, a final value is calculated by applying a formula using a gamma (gamma) constant defined for each of the risk groups corresponding to each position for each intermediate value calculated in step S325, The calculation step S326 is performed. The final value will have one value.

In step S326, the formula for calculating the cover capital required for a product using the median value is as follows.

[Calculation of Risk Charge of Curvature]

:b번 버킷의 Risk Position,(

: Risk Position of bucket b,

: gamma. 버킷 b와 버킷 c의 상관계수,

: gamma. The correlation coefficient between bucket b and bucket c,

,

,

,

,

: Sb와 Sc가 모두 음수인 경우는 0, 그 외에는 1,

: 0 if Sb and Sc are negative, 0 otherwise,

If the value in the root is negative

로 계산)

)

If the steps S325 and S326 are performed by this formula, the computing device performs a final value iteratively calculating step S327 for performing S325 and S326 in a predetermined number (for example, three) of scenarios.

In the present invention, for example, the three final values are repeatedly calculated by repeating the steps S325 and S326 in three scenarios. This means that the correlation is increased or decreased in each scenario. The three scenarios are as follows. same.

The first scenario multiplies the calculated ρ and γ by 1.25, the maximum value is 100%, the second scenario does not change each ρ and γ, and the third scenario multiplies each ρ and γ by 0.75 .

When step S327 is performed, a coverer-required capital capital determination step S328 is performed in which the largest value among the final values of the calculated predetermined number is determined as the cover capital required capital of the product.

According to the above description, the required capitalization by different sensitivity methods for each product is comprehensively calculated in step S32. Then, the delta-required capital, the Vega required capital, and the coverer-required capital capital of each product calculated by the first sensitivity-required capital calculation step S32 are summed up, and the required capitalization by the sensitivity method is calculated The second sensitivity required capital calculation step S33 is performed.

According to this method, the equilibrium capitalization by the sensitivity method is accurately calculated for each product, and for the product that includes the sensitivity that the delta sensitivity does not reflect, It is possible to calculate the accurate sensitivity required capital regardless of the transaction products.

On the other hand, the calculation of the default risk regulatory capital is shown specifically in FIG.

In the calculation method of default risk regulatory capital, first, a net discontinuity default risk calculation step (S341) for calculating a net discontinuous default risk in which the purchase and exposures of the same product to the same counterparty are crossed to the total discontinuous default risk of a product .

In calculating net jump-to-default risk, the total discontinuity default risk is calculated for each product. The total discontinuous default risk is a function of the default loss ratio (LGD), the nominal amount (the amount in monetary unit, the nominal value in krw in the present invention) and the cumulative gain or loss realized for that position. In this case, discontinuous default risk (purchase) means LGD * nominal amount + profit / loss and zero maximum, discontinuity default risk (sell) means LGD * nominal amount + profit / loss and zero or less, Loss of value or profit. At this time, the net discretionary default risk is the value calculated by offsetting the purchase and selling exposures of the same goods to the same counterparty.

 When the step S341 is performed, a bucket allocation step S342 is performed in which buckets are allocated for each position, such as a credit rating, a type of an underlying asset, a region of an underlying asset, an index of an interest rate, (Noncorrelated trading portfolio), securitization (correlation trading portfolio), and so on, depending on the nature of the credit rating, the type of underlying asset, the area of the underlying asset, and the index of interest, The buckets used for summation are different.

Thereafter, different default risk amounts are calculated according to the respective positions. First, when the position is a non-floating position, a first summing step (S343) of summing up the default risk amounts of the allocated buckets is performed. In the case of the position being a fluidizing and uncorrelated trading portfolio, the default risk amount (S344) is performed. In the case of the position being a correlated trading portfolio while being liquidated, a first calculation step (S345) of calculating the default risk amount using a predetermined formula is performed.

In order to qualify for a correlated trading portfolio (CTP), it is necessary that (1) it is not a re-securitization position and that it is not a derivative of a securitization exposure that does not allocate the proceeds of the securitization tranche proportionally; (2) (3) the product may be a retail exposure such as a residential mortgage, or a commercial mortgage exposure under standard methodology; and (4) (4) It must be a commodity that does not conform to the claims for a special purpose company. (5) It must satisfy all the conditions that it is not a securitization position but a commodity that hedges the above position.

Thereafter, the sub-risk amount calculated by the first summation step (S343), the second summation step (S344), and the first calculation step (S345) is added up to calculate the default risk regulatory capital of the commodity corresponding to the position The risk-adjusted capital calculation step (S346) is performed.

Thus, the default risk regulatory capital is calculated by applying different standardized methods according to the position of the commodity and the commodity, so that it is more accurate and produces the standardized regulated capital irrespective of the commodity.

On the other hand, the calculation of the residual risk-regulated capital is specifically shown in Fig.

Referring to FIG. 6, if the position in the calculation of the residual risk-regulated capital is a product with atypical underlying assets related to long-term survival risk, weather, natural disaster and swap, a predetermined second weight is applied to the nominal amount of the position The first residual risk-adjusted capital calculation step (S351) is performed to calculate the residual risk-adjusted capital.

The long-term survival risk, or longevity derivative, in the underlying assets of each position means a derivative in the form of a decrease in cash flow when the mortality rate of a particular group increases, and in the case of weather, Means a derivative in which cash flow occurs according to a difference between a predetermined index and a real observation result by indexing rainfall and snowfall, and in the case of a natural disaster, that is, a natural disaster-derived product, A derivative whose underlying asset is a swap, for example, is a swaption. In other words, in the case of long-term survival risks, weather, natural disasters, and swaps that can become underlying assets, the residual risk-adjusted capital is calculated by applying a second weight that is predetermined to the nominal amount of the position.

In the case where the position is a product having at least one of a gap risk, a correlation coefficient risk, and an action risk in the step S351, a second weight, which is predetermined in the nominal amount of the position, is applied to calculate the residual risk- The residual risk-adjusted capital calculation step (S352) is performed. In the above description, in the case of the step S352, the commodity is executed for the commodity which does not have the optimum deliverable condition option risk and the smile risk.

In the present invention, gap risk means a risk that a risk of a hedge mismatch may occur due to a slight change in the underlying asset due to a significant change in the option price. The gap risk product includes all sorts of path-dependent options such as barrier options, Asian options, and digital options (an option that completely changes the option price as the underlying asset price is slightly changed even when the barrier is hit).

Correlation Coefficient Risk refers to the risk that the correlation coefficient needed to estimate the value of a good having two or more underlying assets will fluctuate. Basket options, best of options, spread options, basis options, and quant options.

Behavior risk means the risk that the outcome of an event or early repayment will fluctuate due to non-financial factors. For example, a call option debt is a risk that could arise if the customer has an early repayment right.

On the other hand, the above-mentioned Optimum Deliverable Condition Option Risk is a result of the fact that the Optimal Deliverable Condition Option can select the most favorable basic asset among the basic assets satisfying the condition (if the same basic asset can be traded on several exchanges) And the fair value of a company's financial assets.

Smile risk refers to the risk that the implied volatility variable needed to evaluate the value of an option based on the implied volatility of the underlying asset and other instruments with the same maturity and different options of moneyness will fluctuate. The volatility surface exists in a planar form with two maturities (maturity and moneyness), although there may be more than one variability value with different moneyness, even though the maturity is the same.

If steps S351 and S352 are performed, the calculation result of at least one of the first residual risk-regulated capital calculation step (S351) and the second residual risk-regulated capital calculation step (S352) is added for each position to calculate the residual risk- The residual risk-regulated capital calculation step S353 is performed.

As described above, the residual risk-regulated capital also produces residual risk-regulated capital in different ways depending on the nature of the position of each commodity and commodity, so that it is more accurate and produces standardized regulatory capital irrespective of product .

FIG. 7 is a block diagram of a required capital adequacy calculation apparatus 10 according to an embodiment of the present invention. In the following description, unnecessary description of the portions overlapping with those described in Figs. 1 to 6 will be omitted.

7, the required capital calculation apparatus 10 for market risk includes a transaction information collection unit 11, a position calculation unit 12, a product-specific required capital calculation unit 13, and a required capital calculation unit 14 ).

The transaction information collecting unit 11 collects all the functions mentioned in the description of step S10 of FIG. 1, that is, transaction information, which is information including a transaction item and a sale or sale amount, from the database 20 And the like.

The position calculating unit 12 sums all the functions mentioned in the description of step S20 of FIG. 1, that is, the transaction information collected from the transaction information collecting unit 11 for each transaction item, As shown in FIG.

The required capital capital calculating unit 13 is a unit for performing all the functions mentioned in the description of FIGS. 2 to 6, which describe all the functions mentioned in the description of the step S30 of FIG. 1 and the specific functions of the step S30, A function of selectively calculating at least one capital among the required capital, the default risk-regulated capital, and the residual risk-controlled capital by the sensitivity method by applying predetermined criteria for each product using the position calculated by the unit 12 .

The required capital calculation unit 14 calculates all the functions mentioned in the description of step S40 of FIG. 1, that is, all the capital calculated by the required capital calculation unit 13 for each product to calculate the final required capital for the subject . The required capital calculated according to the function of the required capital calculation unit 14 may be stored in the database 20 and managed or may be provided to the user terminal 30 when needed to confirm the required capitalization.

8 is a block diagram illustrating an internal configuration of a computing device according to an embodiment of the present invention.

8, computing device 11000 includes at least one processor 11100, a memory 11200, a peripheral interface 11300, an input / output subsystem I / Osubsystem) 11400, a power circuit 11500, and a communication circuit 11600. At this time, the computing device 11000 may correspond to the user terminal A connected to the tactile interface device or the computing device B described above.

Memory 11200 can include, for example, a high-speed random access memory, a magnetic disk, SRAM, DRAM, ROM, flash memory or non-volatile memory. have. The memory 11200 may include software modules, a set of instructions, or various other data required for operation of the computing device 11000.

At this point, accessing memory 11200 from other components, such as processor 11100 or peripheral device interface 11300, may be controlled by processor 11100.

Peripheral device interface 11300 may couple the input and / or output peripheral devices of computing device 11000 to processor 11100 and memory 11200. The processor 11100 may execute a variety of functions and process data for the computing device 11000 by executing a software module or set of instructions stored in the memory 11200.

The input / output subsystem 11400 may couple various input / output peripherals to the peripheral interface 11300. For example, input / output subsystem 11400 may include a controller for coupling a peripheral, such as a monitor, keyboard, mouse, printer, or a touch screen or sensor, as needed, to peripheral interface 11300. According to another aspect, the input / output peripheral devices may be coupled to the peripheral device interface 11300 without going through the input / output subsystem 11400.

Power circuitry 11500 may provide power to all or a portion of the components of the terminal. For example, the power circuit 11500 may include one or more power supplies, such as a power management system, a battery or alternating current (AC), a charging system, a power failure detection circuit, a power converter or inverter, And may include any other components for creation, management, distribution.

Communication circuitry 11600 may enable communication with other computing devices using at least one external port.

Or as described above, communication circuitry 11600 may, if necessary, enable communications with other computing devices by sending and receiving RF signals, also known as electromagnetic signals, including RF circuitry.

8 is merely an example of the computing device 11000, and the computing device 11000 may have the additional components omitted in FIG. 8, or further components not shown in FIG. 8, Lt; RTI ID = 0.0 > components. ≪ / RTI > For example, in addition to the components illustrated in FIG. 8, a computing device for a mobile communication terminal may further include a touch screen or a sensor, and may be connected to a communication circuit 1160 through various communication methods (WiFi, 3G, LTE , Bluetooth, NFC, Zigbee, etc.). The components that may be included in computing device 11000 may be implemented in hardware, software, or a combination of both hardware and software, including one or more signal processing or application specific integrated circuits.

The methods according to embodiments of the present invention may be implemented in the form of a program instruction that can be executed through various computing devices and recorded in a computer-readable medium. In particular, the program according to the present embodiment can be configured as a PC-based program or an application dedicated to a mobile terminal. An application to which the present invention is applied can be installed in a user terminal through a file provided by a file distribution system. For example, the file distribution system may include a file transfer unit (not shown) for transferring the file according to a request from the user terminal.

The apparatus described above may be implemented as a hardware component, a software component, and / or a combination of hardware components and software components. For example, the apparatus and components described in the embodiments may be implemented within a computer system, such as, for example, a processor, a controller, an arithmetic logic unit (ALU), a digital signal processor, a microcomputer, a field programmable gate array (FPGA) , A programmable logic unit (PLU), a microprocessor, or any other device capable of executing and responding to instructions. The processing device may execute an operating system (OS) and one or more software applications running on the operating system. The processing device may also access, store, manipulate, process, and generate data in response to execution of the software. For ease of understanding, the processing apparatus may be described as being used singly, but those skilled in the art will recognize that the processing apparatus may have a plurality of processing elements and / As shown in FIG. For example, the processing unit may comprise a plurality of processors or one processor and one controller. Other processing configurations are also possible, such as a parallel processor.

The software may include a computer program, code, instructions, or a combination of one or more of the foregoing, and may be configured to configure the processing device to operate as desired or to process it collectively or collectively Device can be commanded. The software and / or data may be in the form of any type of machine, component, physical device, virtual equipment, computer storage media, or device , Or may be permanently or temporarily embodied in a transmitted signal wave. The software may be distributed over a networked computing device and stored or executed in a distributed manner. The software and data may be stored on one or more computer readable recording media.

The method according to an embodiment may be implemented in the form of a program command that can be executed through various computer means and recorded in a computer-readable medium. The computer-readable medium may include program instructions, data files, data structures, and the like, alone or in combination. The program instructions to be recorded on the medium may be those specially designed and configured for the embodiments or may be available to those skilled in the art of computer software. Examples of computer-readable media include magnetic media such as hard disks, floppy disks and magnetic tape; optical media such as CD-ROMs and DVDs; magnetic media such as floppy disks; Magneto-optical media, and hardware devices specifically configured to store and execute program instructions such as ROM, RAM, flash memory, and the like. Examples of program instructions include machine language code such as those produced by a compiler, as well as high-level language code that can be executed by a computer using an interpreter or the like. The hardware devices described above may be configured to operate as one or more software modules to perform the operations of the embodiments, and vice versa.

While the present invention has been particularly shown and described with reference to exemplary embodiments thereof, it is to be understood that the invention is not limited to the disclosed exemplary embodiments. For example, it is to be understood that the techniques described may be performed in a different order than the described methods, and / or that components of the described systems, structures, devices, circuits, Lt; / RTI > or equivalents, even if it is replaced or replaced. Therefore, other implementations, other embodiments, and equivalents to the claims are also within the scope of the following claims.

Claims (10)

There is provided a method for calculating required capital of a market risk, which is implemented by a computing device including one or more processors and one or more memories for storing instructions executable by the processor,
A transaction information collecting step of collecting, from a database, transaction information, which is information including a transaction product and a sale or sale amount for each transaction entity;
A position calculating step of summing each transaction information collected from the transaction information collecting step for each transaction item and calculating a position including information on the product information and the final holding amount of each product;
A risk-adjusted capital, and a residual risk-adjusted capital by applying a predetermined standard for each product using the position calculated by the position calculating step, Required capitalization step; And
And calculating the final required capital for a transaction entity by summing all the capital calculated by the product-dependent required capital calculation step,
The default risk capital,
A net discontinuity default risk calculation step that calculates a net discontinuity default risk that accounts for the total discretionary default risk of a product and the purchase and exposures of the same product to the same counterparty;
A bucket allocation step of allocating, for each position, at least a bucket including a credit rating, a type of an underlying asset, a region of an underlying asset, and an index of interest;
A first summation step of summing up the default risk amounts of the allocated buckets if they are in an inactive position;
A second summing step for summing up the default risk of the allocated buckets in the case of a position that is a fluidizing and uncorrelated trading portfolio;
A first calculation step of calculating a default risk amount using a predetermined formula in the case of a position as a correlated trading portfolio while being fluidized; And
Calculating a default risk regulated capital of the product by summing up the default risk amounts calculated by the first summation step, the second summation step and the first calculation step to calculate the default risk regulatory capital of the product; How to calculate the capital requirement of market risk. The method according to claim 1,
The method of claim 1,
For all products valued by financial institution's valuation model, the required capital is calculated by the sensitivity method, and for products that evaluate credit risk within the financial institution, the default risk capital is calculated and products with irregular basic assets , Gap risk, correlation coefficient risk, and behavioral risk, and at the same time, the optimal risk of delivery. In the case of products that do not have option risk and smile risk, residual risk capital is calculated. Calculation method. The method according to claim 1,
The method of claim 1,
For the required capitalization by the sensitivity method,
After determining whether each risk is included in each of the predetermined number of risk groups according to whether the risk factor of each risk group affects the price of the commodity corresponding to the position, To each of the positions;
Delta capitalization is calculated based on the Delta sensitivity-based risk measure, which indicates the extent of the change in the value of the underlying product with respect to changes in the underlying asset price, applying predetermined criteria for each bucket of each position. (Eg, Vega), which is calculated based on the Vega Sensitivity-based Risk Indicator, which indicates the extent of the change in the value of derivatives, and the risk measure index A first sensitivity required capital capital calculation step of calculating at least one required capital among the curator capital required for each product; And
A second sensitivity calculating unit that calculates at least one of delta required capital, Vega required capital, and coverer required capital calculated by the first sensitivity required capital calculation step, And calculating the required capital of the market risk. The method of claim 3,
Calculate the delta-required equity capital for all products, calculate the delta-required equity capital, and, for products belonging to at least one of the products, including options and conversion rights or interest-rate-related early- A method for calculating required capital of market risk. The method of claim 3,
The delta-required capital and the Vega required capital,
A sensitivities summing step of summing the sum of sensitivities of the individual products included in each position by classifying the sensitivity values of the individual items by the risk factor, which is a variable that affects the valuation of the product;
A predetermined first weight value assigned to each of the risk groups and the bucket is applied to the sensitivity sum value, and a formula using a predetermined coefficient (rho, rho) constant defined for each risk group is applied to the sensitivity sum value to which the first weight value is applied An intermediate value calculating step of calculating an intermediate value for each bucket; And
For each intermediate value calculated by the intermediate value calculation step, a formula using a gamma (γ) constant defined for each risk group corresponding to each position is applied to calculate the delta and Vega required capital A final value calculation step of calculating a required capital value of the market risk based on the total cost of the market risk. The method of claim 3,
The cover capital is the equity capital.
For each position, we apply two stress scenarios, one for the risk factor and one for the risk factor, which are variables that affect the valuation of the product. The total coverage risk exposure for each position A total coverer risk exposure calculation step of calculating a Curvature Risk Exposure;
Calculating an intermediate value for each bucket allocated to each position by applying a formula using a constant of a constant defined for each risk to a cover risk exposure of each position on the basis of a risk group of each position and for each bucket;
Calculating a final value by applying a formula using a gamma (?) Constant defined for each of the risk groups corresponding to each position for each of the intermediate values calculated by the intermediate value calculating step;
A final value iteration step of performing the intermediate value calculation step and the final value calculation step repeatedly according to a predetermined number of scenarios; And
Determining a capital value of the product as the cover capital required for the product, and calculating the largest value among the final values calculated by the final value iterative calculation step, Capital calculation method. delete The method according to claim 1,
The residual risk-
First residual risk regulatory capital yielding residual risk-adjusted capital by applying a predetermined second weight to a nominal amount of position if the position is a commodity with atypical underlying assets related to long-term survival risks, weather, natural disasters and swaps step;
Calculating a residual risk-adjusted capital by applying a predetermined third weight to a nominal amount of the position if the position is a product having at least one of gap risk, correlation coefficient risk and behavior risk; And
Calculating the residual risk-regulated capital of the product by summing the calculation results of at least one of the first remaining risk-regulated capital calculating step and the second remaining risk-regulating capital calculating step to obtain a residual risk-regulating capital of the product; And calculating the required capital adequacy of the market risk. An apparatus for calculating market capitalization demand, comprising a computing device comprising at least one processor and at least one memory for storing instructions executable by the processor,
A transaction information collection unit for collecting, from a database, transaction information, which is information including a transaction product and a sale or sale amount for each transaction entity;
A position calculation unit for summing the transaction information collected from the transaction information collection unit for each transaction item and calculating a position including information on the product information and the final holding amount for each product;
A risk-adjusted capital, and a residual risk-regulated capital by a sensitivity method based on a predetermined standard for each product using the position calculated by the position calculating unit, Required capital calculation unit; And
And a required capital calculation unit for calculating final required capital for a transaction entity by summing all the capital calculated by the product-specific required capital calculation unit,
The default risk capital,
A net discontinuity default risk calculation step that calculates a net discontinuity default risk that accounts for the total discretionary default risk of a product and the purchase and exposures of the same product to the same counterparty; A bucket allocation step of allocating, for each position, at least a bucket including a credit rating, a type of an underlying asset, a region of an underlying asset, and an index of interest; A first summation step of summing up the default risk amounts of the allocated buckets if they are in an inactive position; A second summing step for summing up the default risk of the allocated buckets in the case of a position that is a fluidizing and uncorrelated trading portfolio; A first calculation step of calculating a default risk amount using a predetermined formula in the case of a position as a correlated trading portfolio while being fluidized; And calculating the default risk-regulated capital of the product by summing up the default risk amounts calculated by the first summing step, the second summation step, and the first calculating step. Of the market risk. 22. A computer-readable medium,
The computer-readable medium storing instructions that cause a computing device to perform the following steps,
A transaction information collecting step of collecting, from a database, transaction information, which is information including a transaction product and a sale or sale amount for each transaction entity;
A position calculating step of summing each transaction information collected from the transaction information collecting step for each transaction item and calculating a position including information on the product information and the final holding amount of each product;
A risk-adjusted capital, and a residual risk-adjusted capital by applying a predetermined standard for each product using the position calculated by the position calculating step, Required capitalization step; And
And calculating the final required capital for a transaction entity by summing all the capital calculated by the product-dependent required capital calculation step,
The default risk capital,
A net discontinuity default risk calculation step that calculates a net discontinuity default risk that accounts for the total discretionary default risk of a product and the purchase and exposures of the same product to the same counterparty;
A bucket allocation step of allocating, for each position, at least a bucket including a credit rating, a type of an underlying asset, a region of an underlying asset, and an index of interest;
A first summation step of summing up the default risk amounts of the allocated buckets if they are in an inactive position;
A second summing step for summing up the default risk of the allocated buckets in the case of a position that is a fluidizing and uncorrelated trading portfolio;
A first calculation step of calculating a default risk amount using a predetermined formula in the case of a position as a correlated trading portfolio while being fluidized; And
Calculating a default risk regulated capital of the product by summing up the default risk amounts calculated by the first summation step, the second summation step and the first calculation step to calculate the default risk regulatory capital of the product; Lt; / RTI > computer-readable medium.

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