PORTFOLIO CREATION ASSISTANCE DEVICE, PORTFOLIO CREATION ASSISTANCE METHOD, AND PORTFOLIO CREATION ASSISTANCE SYSTEM

To secure profitability by applying a portfolio which increases profitability while taking into account a damage amount at the time of occurrence of an event such as a disaster, even if there are many variations in the number of products of a financial product held by a financial institution, its holding ratio, and the number of scenarios to be considered.SOLUTION: A portfolio creation assistance device 100 comprises a calculation unit 104 which when a predetermined scenario group is used regarding a portfolio obtained by combining, at predetermined holding ratio, individual financial products on the basis of attribute information regarding the individual financial products and predicted loss information for the individual financial products accompanying a scenario of occurrence of an event, calculates, as an Ising model, a predetermined formula describing predicted gains and predicted losses accompanying occurrence of the event corresponding to each of the predetermined scenario group. The calculation unit 104 outputs a result of calculation and information regarding the holding ratios in which the profitability determined by the predicted gains and the predicted losses is high, to a predetermined device.SELECTED DRAWING: Figure 1 【課題】金融機関が、保有する金融商品の商品数やその保有比率、考慮するシナリオ数のバリエーションが多数ある場合であっても、災害などのイベント発生時の損害額を考慮しながら収益性を大きくするポートフォリオを適用し、収益性を担保する。【解決手段】ポートフォリオ作成支援装置１００において、各金融商品の属性情報、及びイベント発生のシナリオに伴う前記各金融商品での予想損失の情報に基づき、前記各金融商品を所定の保有比率で組み合わせたポートフォリオに関して、所定のシナリオ群を採用した場合に、前記所定のシナリオ群の各々に対応する前記イベント発生に伴う予想収益及び予想損失を記述した所定式をイジングモデルとして演算する演算部１０４を有し、この演算部１０４は、前記演算の結果、前記予想収益と前記予想損失とで求まる収益性が大きい前記保有比率の情報を所定装置に出力するものとする。【選択図】図１