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1. WO2016136199 - SYSTEMIC RISK MANAGEMENT SYSTEM, SYSTEMIC RISK MANAGEMENT METHOD, AND STORAGE MEDIUM STORING SYSTEMIC RISK MANAGEMENT PROGRAM

Publication Number WO/2016/136199
Publication Date 01.09.2016
International Application No. PCT/JP2016/000828
International Filing Date 17.02.2016
IPC
G06Q 40/02 2012.01
GPHYSICS
06COMPUTING; CALCULATING OR COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
02Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
CPC
G06Q 40/025
GPHYSICS
06COMPUTING; CALCULATING; COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
02Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
025Credit processing or loan processing, e.g. risk analysis for mortgages
G06Q 40/06
GPHYSICS
06COMPUTING; CALCULATING; COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
06Investment, e.g. financial instruments, portfolio management or fund management
Applicants
  • 日本電気株式会社 NEC CORPORATION [JP]/[JP]
Inventors
  • 前野 義晴 MAENO, Yoshiharu
Agents
  • 下坂 直樹 SHIMOSAKA, Naoki
Priority Data
2015-03399724.02.2015JP
Publication Language Japanese (JA)
Filing Language Japanese (JA)
Designated States
Title
(EN) SYSTEMIC RISK MANAGEMENT SYSTEM, SYSTEMIC RISK MANAGEMENT METHOD, AND STORAGE MEDIUM STORING SYSTEMIC RISK MANAGEMENT PROGRAM
(FR) SYSTÈME DE GESTION DE RISQUE SYSTÉMIQUE, PROCÉDÉ DE GESTION DE RISQUE SYSTÉMIQUE ET SUPPORT D'ENREGISTREMENT SUR LEQUEL LE PROGRAMME DE GESTION DE RISQUE SYSTÉMIQUE EST ENREGISTRÉ
(JA) システミックリスク管理システム、システミックリスク管理方法及びシステミックリスク管理プログラムを記憶する記録媒体
Abstract
(EN)
This systemic risk management system comprises: a sampling means which, given a set of interbank loans, i.e., loans of funds from any of multiple banks to any borrower included in the aforementioned multiple banks, generates a sample which represents the aforementioned set modified by means of a reconnection in which the aforementioned borrower of the interbank loan selected from the set is replaced with a selected bank; an important transaction designation means which selects multiple of the aforementioned generated samples on the basis of the scale, derived on the basis of the set represented by the sample, of a bankruptcy of the multiple banks resulting from the effects of the collapse of prescribed investments of at least one of the multiple banks, and which designates an important interbank loan on the basis of the interbank loans included in the aforementioned selected multiple samples in which reconnections have been made; and an important bank designating means which designates an important bank on the basis of the designated important interbank loan.
(FR)
La présente invention concerne un système de gestion de risque systémique qui comprend : un moyen d'échantillonnage qui, étant donné un ensemble de prêts interbancaires, c'est-à-dire, des prêts de fonds accordés par l'une quelconque de multiples banques à un emprunteur quelconque inclus dans lesdites multiples banques, génère un échantillon qui représente ledit ensemble, modifié par une réassociation dans laquelle l'emprunteur susmentionné du prêt interbancaire sélectionné à partir de l'ensemble est remplacé par une banque sélectionnée; un moyen de désignation de transaction importante qui sélectionne plusieurs desdits échantillons générés sur la base de l'échelle, dérivée de l'ensemble représenté par l'échantillon, d'une faillite des multiples banques résultant des effets de l'effondrement des investissements prescrits d'au moins l'une des multiples banques, et qui désigne un prêt interbancaire important sur la base des prêts interbancaires inclus dans lesdits multiples échantillons sélectionnés, dans lesquels des réassociations ont été réalisées; et un moyen de désignation de banque importante qui désigne une banque importante sur la base du prêt interbancaire important désigné.
(JA)
本発明の一態様に係るシステミックリスク管理システムは、複数の銀行のいずれかから前記複数の銀行に含まれる貸出先への資金の貸出である銀行間貸出の集合をもとに、当該集合から選択された前記銀行間貸出の前記貸出先を、選択された銀行に置き換える繋ぎかえによって、変更された前記集合を表すサンプルを生成するサンプリング手段と、前記サンプルが表す前記集合について導出される、前記複数の銀行の少なくともいずれかが投融資を行っている所定の投融資先の破綻の影響による前記複数の銀行の倒産の規模に基づいて、生成された前記サンプルから複数の前記サンプルを選択し、選択された複数の前記サンプルに含まれる、前記繋ぎかえが行われた前記銀行間貸出に基づいて、重要銀行間貸出を特定する重要取引特定手段と、特定された前記重要銀行間貸出に基づいて、重要銀行を特定する重要銀行特定手段と、を備える。
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