• 专利附录
  • 专利说明
  • 权利要求
  • 类似技术
  • 同族专利
  • 引用文献
  • 法律状态
  • 优先权
    • 专利摘要:
    PURPOSE: A service device for analyzing investment risk information and its method are provided to provide an objective analyzing data matched to individual investment circumstance of investor, by statistically processing substantial data such as price of valuable securities generated in market and profit rate information. CONSTITUTION: A service device for analyzing investment risk information is composed of a data server(1), an operating server(2) and a web server(3). An operator provides a market information including price of valuable securities and profit rate information. The data server(1) stores the market information. The operating server(2) generates a basic processing information including profit rate fluctuation information of valuable securities and profit rate correlation information, based on the market information and stores it to the data server(1). When an user requests an information analyzing investment risk based on own investment condition information through the web server(3), The operating server(2) generates the information analyzing investment risk based on investment condition information of user, the market information and the basic processing information and provides it for user.
    公开号:KR20000059194A
    申请号:KR1020000041787
    申请日:2000-07-20
    公开日:2000-10-05
    发明作者:임웅순；유진석
    申请人:임웅순；유진석；
    IPC主号:
    专利说明:

    Apparatus and Method for Providing the Information of Value at Risk}
    The present invention relates to a service apparatus and method for analyzing investment risk based on investment status information of securities investors and providing the result data online.
    The information on the securities market that is currently provided is often summarized in the past, analyzing the market movements, and suggesting investment directions accordingly. Although these information vary in their degree, the market analysis is based on so-called macroeconomic indicators or major domestic and international news, and the market trend is presented, and securities are classified into large-capacity, small- and mid-cap stocks, and sectors to present promising stocks or technical analysis. It is typical to buy or sell specific securities through
    However, the information provided in this way is not based on the investor's individual investment status, but is distributed in one direction as a comprehensive content to an unspecified majority. In addition, since there are various methods for evaluating the value of securities, different appraisals of the same securities vary widely, and the interpretation of the appropriate price of securities based on this may also differ. As there is no other information, these informations have the property that they cannot guarantee scientifically proven objectivity.
    The existing information provides one-way comprehensive information that does not take into account the various types of investments and the individual characteristics of investors. Therefore, investors have the opportunity to analyze the systematic risks of the portfolio of securities they are incorporating. Lack of objectivity, and also lack of objectivity, may cause investors to buy or sell excessively, causing significant market disruption and price volatility, which inflicts injustice on investors who cannot actively respond to these changes. The possibilities are very high.
    As a result, these informations are not different from the characteristics of investment analysts (analysts) of securities firms and financial institutions that generate and provide investment information. Based on this information, investments are estimated at the target price, but the market price of securities is predicted later. It is often formed differently, and much controversy arises due to its application.
    Therefore, the present invention devised to solve the above problems, scientifically process the actual data, such as price and return information generated in the market by providing an objective analysis data in accordance with the individual investment situation of the investor investor risk It aims to provide a service apparatus and method for providing self-diagnosis and providing investment risk alerts for individual investments and investment portfolios (portfolio) based on the analyzed information.
    1 is an overall configuration diagram of the investment risk analysis service system according to the present invention
    2 is an information processing system diagram of the VaR calculation server in FIG.
    3A is an overall flowchart of an investment risk analysis service method according to the present invention.
    3B is a detailed flowchart of generating and providing investment risk analysis information.
    * Explanation of symbols for the main parts of the drawings
    1: DB server 2: VaR operation server
    3: web server 4: operator terminal
    5,6: internal and external users 7: communication devices
    11: Compute Engine 12: Database Management System (DBMS)
    13: user information DB 14: basic VaR information DB
    In order to achieve the above object, the service apparatus according to the present invention is an apparatus for providing investment risk analysis information of securities based on a computer communication network, and service users who want to receive the information can access through the computer communication network. Means for providing a user connection interface for providing a resident environment; Basic processing information including at least market information including price and yield information of securities items regularly input by the operator, and securities yield volatility information and yield correlation information generated based on the market information input by the operator. Database (DB) server means for storing the; And when the market information input from an operator is provided from the database server means, based on this, the basic processing information is generated, transferred to the database server means, and stored, and the investment status information from a service user through the user access interface means. And a calculation server means for generating and providing investment risk analysis information based on the user investment status information, the market information, and the basic processing information when a request for providing investment risk analysis information based on the input is received.
    In addition, the service method according to the present invention, the first step of receiving from the operator market information including the price of the securities item, return data including in the database server means; A second step of generating, based on the market information, basic processing information including securities yield volatility information and yield correlation information in the calculation server means and storing the basic processing information in the database server means; And when the user who wants to use the service accesses and requests the investment risk analysis information based on his investment status information, the calculation server means analyzes the investment risk based on the investment status information of the user and the market information and the basic processing information. And a third step of generating and providing information.
    The above objects, features and advantages will become more apparent from the following detailed description taken in conjunction with the accompanying drawings.
    Hereinafter, exemplary embodiments of the present invention will be described in detail with reference to the accompanying drawings.
    1 is a configuration diagram of the investment risk analysis service apparatus according to the present invention, in which 1 is a database (DB) server, 2 is a VaR calculation server, 3 is a web server, 4 is an operator terminal, 5 and 6 are internal and external A user terminal, 7 is a communication device, 8 is a LAN, 11 is an arithmetic engine, 12 is a database management system (DBMS), 13 is a user information DB, and 14 is a basic VaR information DB.
    First, the value of risk (VAR) calculation server 2 is the investment status information input by the users 5 and 6 receiving the service according to the present invention and the operator 4 regularly. Based on the price and yield information (market information) of the securities entered, statistical calculation is performed using the calculation engine 11 to generate maximum loss width information, that is, VaR information, that can occur to the corresponding investor within a certain period of time, and online in real time. Perform the function provided by.
    The DB server 1 includes a database management system (DBMS) 12, a basic VaR information DB 14, and a user information DB 13.
    The basic VaR information DB 14 receives and stores price and return data (market information) of securities in the market which are regularly input from the system operator terminal 4, and then, upon request of the VaR calculation server 2 Provides the relevant data, and based on this, the VaR calculation server 2 generates the return volatility information of each securities and generates and delivers the correlation information between the securities, and stores the result (basic processing information). .
    The user information DB 13 stores a user's personal information registered to receive the service of the present invention, an ID and password for authentication when accessing the system, and possesses securities investment status information.
    However, if necessary, the user information DB 13 is not necessarily provided, and the user's investment status information may also be input by the user each time the service is connected without receiving and storing the investment status information for each user in advance. Hereinafter, a description will be given on the assumption that a system environment having a user information DB 13 and a case where user information is received in advance and stored in the user information DB 13 are used.
    The DBMS 12 performs functions of inputting and outputting information to and from the basic VaR information DB 14 and the user information DB 12, updating and managing information, and the like.
    The VaR operation server 2 returns the return volatility information of the respective securities and the return correlation information between the securities (basic processing) when the operator updates the securities price and yield information (market information) in the basic VaR information DB 14. Information) is generated using the arithmetic engine 11 and stored in the basic VaR information DB 14 via the DBMS 12.
    In addition, according to the user's request for providing investment risk analysis information, information stored in the basic VaR information DB 14 and the user information DB 13 is obtained through the DBMS 12, and the investment risk analysis information corresponding to the investment status information of the user is obtained. Create and provide to the user, and provide the function to issue an investment risk alert based on the generated investment risk analysis information.
    A web server 3 provides a user interface environment for users who use the service to connect to the service system according to the present invention via the Internet using individual communication terminals. The LAN (Local Area Network) 8 is a communication network for connecting the DB server 1, the VaR operation server 2, the web server 3, the system operator terminal 4 and the internal user terminal 5. As shown in FIG. The communication device 7 is a signal processing unit for connecting an external user terminal to the Internet. The communication device 7 includes a router, a switching hub, and the like as usual.
    The database server 1, the VaR calculation server 2, and the web server 3 described above may be distributed and probed on separate server computers connected to the communication network as shown in FIG. 1, but all are mounted in one large host computer. It is obvious that it can be implemented.
    Now, looking at the contents of the investment risk analysis information provided by the VaR operation server 2 in detail, this is the individual VaR information of the securities item, portfolio (securities combination) VaR information, individual VaR (%), portfolio VaR (%), Investment risk alerts, and contribution VaR information, each of which is described below.
    The individual VaR information of securities stocks is based on the daily returns based on the closing price of the securities, and is returned to the index-weighted change. The value is obtained by multiplying the standard deviation multiple (α), multiplying the present value (valuation amount) by the quantity and closing price of the security item, and dividing by 100. Divided by 100 is for converting the amount based on the amount of volatility is calculated as the rate of return, and the standard deviation multiple α can be selected according to the level of confidence expected by the user. If this is expressed as an expression, it is as follows.
    In addition, the portfolio VaR information is information obtained by multiplying the vector of the respective VaR and the return correlation information, which is the overall investment risk analysis information considering the correlation effect between the individual investment items. In detail, the portfolio VaR information is obtained by multiplying the vector of individual VaR information by the return correlation information value between the corresponding stocks, and this is expressed as the following expression (2).
    Here, the yield correlation information is composed of a matrix of correlation coefficients between the yield data, and the correlation coefficient matrix is a matrix obtained by obtaining a correlation coefficient between the daily return-based basic data for each security that the system operator 4 periodically inputs. This correlation coefficient matrix information is automatically generated by the calculation engine 11 of the VaR calculation server 2 and stored in time series in the basic VaR information DB 14 every time the operator inputs the return basic data regularly. In the correlation coefficient matrix, the diagonal matrix is 1 and the remaining non-diagonal matrices are symmetric matrices composed of absolute values less than 1. The composition of the matrix is as shown in Equation 3 below.
    In addition to the correlation coefficient matrix, the yield correlation information may be a variance-covariance matrix. In the case of obtaining the portfolio VaR using the yield correlation information as the variance-covariance matrix, the return correlation information may be obtained by multiplying the investment specific gravity vector by the item instead of the individual VaR vector.
    However, in this case, the portfolio VaR generation process is complicated because additional investment weight vectors for each item must be generated and used. Therefore, detailed description thereof will be avoided in the description of the embodiments of the present invention.
    VaR (%) is the ratio of VaR's percentage to the value of the evaluation, and it is the ratio of the maximum loss that can occur when investing for a certain period of time. This information serves as a reference value representing the risk of investment. Such VaR (%) information is divided into individual VaR (%) and portfolio VaR (%). The individual VaR (%) is generated as a percentage of individual VaR compared to the valuation amount (current price X quantity) of individual securities, and portfolio VaR (%) is generated as a percentage of the portfolio VaR relative to the total valuation of the sum of individual securities.
    Investment risk alerts are generated using individual VaR (%) and portfolio VaR (%), specifically setting a predetermined range of these VaR (%) values as the risk alert trigger value and the calculated VaR (%) values If it falls within the range, it should be generated.
    In addition, the contribution VaR information shows the effect of a specific securities item on the portfolio VaR, and is calculated by subtracting the portfolio VaR obtained by excluding the specific securities from the portfolio VaR. This is represented by the following equation (4).
    On the other hand, the web server (web server) 3 provides an internet environment for users using the service to access the VaR calculation server 2 using the communication terminals of individuals. A local area network (LAN) 8 is a communication network for connecting the VaR operation server 2 and the web server 3, the system operator terminal 4, and the internal user terminal 5. The internet interface unit 7 is a communication device for connecting an external user terminal to the Internet. The internet interface unit 7 includes a router, a switching hub, and the like as usual.
    2 is an information processing system diagram of a VaR calculation server according to the present invention.
    Any user who wishes to register for the service provided by the present invention accesses the web server 3 through the communication network and then, according to the sign-up procedure guided by the user information (personal information, ID and password to be used, current investments) If you enter the status information (securities, quantity, purchase price, etc.) of the securities, you are registered as a subscriber.
    Here, as described above, the user information may not be stored in advance.
    These input information is stored in the user information DB 13, and then used for providing individual item and portfolio investment risk analysis information.
    In order to provide users with individual stock and portfolio investment risk analysis information, the VaR calculation server 2 stores market information (price and yield) of the securities that the system operator 4 regularly stores in the basic VaR information DB 14. Data, etc.), the basic processing information, which is the yield variation information and the correlation information (correlation coefficient matrix) between the yield rates, is generated by the calculation engine 11 and provided to the basic VaR information DB 14 in the DB server 1.
    When any registered user accesses the web server 3 and requests the investment risk analysis information based on the investment status information registered by the user, the Var calculation server 2 receives the basic VaR information DB in the DB server 1. (14) and the user information of the user information DB (13), the calculation engine 11 automatically calculates investment risk analysis information (individual VaR information, portfolio VaR information, individual VaR (%), portfolio VaR (%), Investment risk alert, contribution VaR information, etc.) can be generated and provided to the user through the user access interface environment of the web server 3.
    3A is an overall flowchart of a method of providing an investment risk analysis service according to the present invention.
    When the system is operated to provide the investment risk analysis service according to the present invention, the system variables of the servers 1, 2, and 3 are first initialized (31), and each server (online) through the web server (3). It provides an environment that can connect to (1, 2, 3) (32).
    When the system operator connects while the online connection environment is provided, an input window for inputting market information including daily price (close price) information and yield data for each item is provided to update existing data with the input data (33). .
    In a preferred embodiment, the operator is required to update the price (close price) and daily yield data, i.e. market information, of the securities on a daily basis, where the price (close price) data is needed to calculate the customer's valuation and the daily return data is included This is because it is needed as source data for calculating the risk of securities.
    The following Table 1 shows an example of an input window for the operator to input the market information. In Table 1, for convenience, 60 viewpoints are assumed as time series data, but they can be added to or decreased from 30 to 500. When the data of the day of input is newly incorporated, the oldest data is excluded from the calculation for generating the investment risk analysis information, and only data of the assumed period of 60 minutes is used. However, this data is stored without being deleted and used as future accumulated information.
    When the market information is input from the operator to the input window as shown in Table 1, the VaR calculation server 2 returns the yield volatility information and the yield correlation information based on this whenever the market information from the operator is updated as described above. Basic processing information of the correlation coefficient matrix) is generated and stored (34) and returned.
    When a user registered to a service or a user who wants to subscribe to a service in an online connection environment is connected, the user determines whether the user wants to subscribe to the service for the first time (35), and personal information and investment item information, purchase quantity and price of the user. Enter information, personal ID, password, etc. to be used when using the service (36) and register in the user DB (37).
    If the connected user is not the first user to register but is an existing user, the user is authenticated by inputting an ID and password (38), and a target of investment risk analysis items among securities held by the user is entered ( 39). In this case, the user inputs the target item to allow the user to directly input information on individual securities, or to display all the securities information held by the user by referring to the information of the user DB on the system side. Of course, it is possible to select only the desired item among the methods.
    In addition, as described above, personal identification information or investment status information for user registration may not necessarily be received and stored in advance. In this case, it is required to input the investment status information whenever the investment risk analysis information is requested.
    If it is determined that the user has selected (or entered) an item to be analyzed for investment risk (40), the investment risk analysis information is generated by the VaR calculation server 2 and provided to the user online (42). Detailed processing according to this is described in detail in FIG. 3B. In this case, if an operation for selecting a separate item does not occur from the user, the entire securities held by the user may be regarded as selected (41).
    After generating and providing investment risk analysis information on the securities requested by the user, the company asks whether to select (enter) additional securities items (43) and analyzes the investment risks accordingly if there are additional items to select. Generate and provide information, or terminate and return a set of services.
    FIG. 3B is a detailed process flow diagram of the process of generating and providing investment risk analysis information (42 in FIG. 3A) according to a user's request.
    When a part or all of the items of the securities to be analyzed are selected by the user, first, an individual VaR for each of the securities items is calculated and generated by the VaR calculation server 2 using Equation 1 above (51). The operator obtains the yield correlation information (correlation coefficient matrix) generated and stored when the operator inputs the market information (52). The portfolio VaR information is obtained by the determinant (Equation 2) between the yield correlation information and the vector generated by the individual VaR generated above. (53).
    When the individual VaR and portfolio VaR are generated, the individual VaR (%) is generated as a percentage of the individual VaR relative to the valuation amount (current price X quantity) of the securities individual item, and compared to the total valuation amount of the valuation of the securities individual item A percentage of the portfolio VaR is used to generate the portfolio VaR (%) (54).
    After creating the individual VaR (%) and portfolio VaR (%), these VaR (%) values are used to generate an investment risk alert, specifically a range of these VaR (%) values as the risk alert trigger value. If the set VaR (%) value falls within the predetermined range, a danger alert is issued (55).
    In the present invention, as a preferred embodiment, 7 to 9% is yellow alarm, 9% or more red alarm for individual VaR (%) and 5-7% is yellow alarm, 7% or more red for portfolio VaR (%). It will be issued as an alert, which can be corrected according to the fluctuations in daily returns. In addition, it displays colors on the output screen by using colors and moving graphics when an alarm is issued, so that users can easily recognize them.
    Next, using the equation (2) for generating the portfolio VaR, a contribution VaR, which is a value representing the effect of individual securities stocks on the portfolio VaR, is generated based on (Equation 4) (56).
    Thus, the individual VaR, portfolio VaR, individual VaR (%), portfolio VaR (%), investment risk alert, and contribution VaR information generated by the VaR operation server 2 are transferred to the user through the user access interface of the web server 3. Provided via the online to the terminal (57).
    An example of the output form of the investment risk analysis information, which is output information provided to the user, is as shown in Table 2 below.
    The present invention described above is not limited to the above-described embodiments and the accompanying drawings, and various substitutions, modifications, and changes can be made in the art without departing from the technical spirit of the present invention. It will be apparent to those of ordinary knowledge.
    Therefore, the present invention made as described above, the investment information to provide the investment risk in the objective value scientifically calculated in accordance with the investment status that the user is taking, and also to systematically interpret it to form the optimal investment form (portfolio) Has the effect of providing.
    More specifically, even if a user constructs a portfolio with the same securities with the same valuation amount, the user can be provided with an interactive service that can minimize the portfolio VaR by varying the composition ratio, so that the user can determine the quantity of the specific securities included in the portfolio. In order to capture changes in VaR (%) by minimizing and minimizing this value, the investment simulation environment is fixed to minimize the VaR (%) by fixing the incorporation cost of the securities and again increasing or decreasing the quantity of other securities. It also has the effect of being provided.
    On the other hand, the service according to the present invention has the effect of providing the scalability to apply the concept to all assets that can be documented in price and yield, such as future bonds, derivative financial products and real estate.
    In particular, if you continuously accumulate time series data such as volatility (standard deviation) of individual securities generated to obtain individual VaR and return correlation information (correlation coefficient matrix) generated to calculate portfolio VaR, it will manage systematic investment risk in the future. It can also have value as a necessary research data, providing source data that can greatly contribute to investment risk management at financial institutions or at the national level as well as investment risk management of individual users.
    权利要求:
    Claims (10)
    [1" claim-type="Currently amended] Apparatus for providing investment risk analysis information of securities based on computer communication network,
    User access interface providing means for providing an environment in which service users wishing to receive information can access through the computer communication network;
    Basic processing information including at least market information including price and yield information of securities items regularly input by the operator, and securities yield volatility information and yield correlation information generated based on the market information input by the operator. Database (DB) server means for storing the; And
    When the market information input from the operator is provided from the database server means, the basic processing information is generated based on this, and transmitted to the database server means for storage, and the investment status information is transmitted from the service user through the user access interface means. Computation server means for generating and providing investment risk analysis information based on the user investment status information, the market information and the basic processing information when a request for providing investment risk analysis information based on the input is entered
    Investment risk analysis information service device comprising a.
    [2" claim-type="Currently amended] The method of claim 1,
    And the user investment status information is that the user has previously registered in the database server means.
    [3" claim-type="Currently amended] The method of claim 1,
    And the user investment status information is selectively input by the user through the user access interface means every time the investment risk analysis information is requested.
    [4" claim-type="Currently amended] The method of claim 1,
    The investment risk analysis information provided by the calculation server means includes individual VaR (Value at Risk; maximum loss that can occur within a certain period) of securities stocks, portfolio by user (combination of securities stocks) VaR, and valuation amount of securities. An investment risk analysis information service device comprising at least one of an individual VaR and an individual VaR (%) and a portfolio VaR (%), which is a percentage of the portfolio VaR, and a contribution VaR representing the effect of a particular securities item on the portfolio VaR. .
    [5" claim-type="Currently amended] The method of claim 4, wherein
    The investment risk analysis information provided by the calculation server means further comprises an investment risk alert generated by setting a threshold range when the individual VaR (%) and the portfolio VaR (%) are provided. Risk Analysis Information Services Device.
    [6" claim-type="Currently amended] A service method for providing investment risk analysis information of securities using a device including a user access interface providing means, a database server means, and an operation server means connected through a computer communication network,
    A first step of receiving market information including price and yield data of a security item from an operator and storing the information in a database server means;
    A second step of generating, based on the market information, basic processing information including securities yield volatility information and yield correlation information in the calculation server means and storing the basic processing information in the database server means; And
    When the user who wants to use the service accesses and requests the investment risk analysis information based on the investment status information of the user, the investment server analysis information based on the investment status information of the user and the market information and the basic processing information by the calculation server means. Third step to create and provide a
    Investment risk analysis information service method comprising the.
    [7" claim-type="Currently amended] The method of claim 6,
    The second step,
    And receiving investment status information from the user and storing the investment status information in the database server means.
    [8" claim-type="Currently amended] The method of claim 6,
    The third step,
    Investment risk analysis information service method comprising the step of allowing the user to input the investment status information.
    [9" claim-type="Currently amended] The method of claim 6,
    Investment risk analysis information provided in the third step,
    Indicate the effect of individual VaR on portfolio securities, portfolio VaR by user, individual VaR (%) and portfolio VaR (%), which is a percentage of individual VaR and portfolio VaR relative to the valuation of securities, and the effect of specific securities on portfolio VaR. Investment risk analysis information service method comprising at least one of the contribution VaR.
    [10" claim-type="Currently amended] The method of claim 9,
    The investment risk analysis information provided in the third step may further include an investment risk alert generated by setting a threshold range when individual VaR (%) and portfolio VaR (%) are provided. Risk Analysis Information Service Method.
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    同族专利:
    公开号 | 公开日
    KR100381037B1|2003-04-18|
    引用文献:
    公开号 | 申请日 | 公开日 | 申请人 | 专利标题
    法律状态:
    2000-07-20|Application filed by 임웅순, 유진석
    2000-07-20|Priority to KR20000041787A
    2000-10-05|Publication of KR20000059194A
    2003-04-18|Application granted
    2003-04-18|Publication of KR100381037B1
    优先权:
    申请号 | 申请日 | 专利标题
    KR20000041787A|KR100381037B1|2000-07-20|2000-07-20|Service device for analyzing investment risk information and its method|
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