OPTIMIZATION MODEL APPLICATION METHOD AND DEVICE FOR CREDIT RISK MANAGEMENT

PROBLEM TO BE SOLVED: To provide a credit risk management method capable of calculating more accurate bad debt probability, a reserve for bad debts, or the like. SOLUTION: A GP processing part 32 in a control part 25 of an analysis server generates an optimum model showing probability that a customer causes default from customer's attribute information on the basis of genetic algorithm GP. A default probability calculation part 33 applies data on each present credit to the optimum model to calculate the bad debt probability. A credit rating processing part 34 classifies the respective credits by credit rating on the basis of the bad debt probability of the respective credits. A bad debt reserve calculation part 35 multiplies the reserve for the bad debts by a loan balance to calculate the reserve for the bad debt of each the credit, and calculates the reserve for the bad debts by the credit rating. An optimum portfolio creation part 36 finds a portfolio of optimum assets. COPYRIGHT: (C)2004,JPO