住宅ローンのリスク管理

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1 NSSOL & CPC 2008 (p.23) Credit Pricing

2

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5 Now Printing PD

6 i 1 i 2 t = 1 α t Now Printing T i i i n n T exp( βx ) βx = β x + β x + Lβ x x i DTI x i

7 Now Printing Now Printing Now Printing

8 Now Printing

9

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11 PV LGD = 1 Now Printing LGD (PV) + PV = 1

12 DF (5%) DF DF (95%) LGD Now Printing % 10% 80% 18% 25% 57% 25% 38% 37%

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14 CPR Now Printing

15 Now Printing

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18 DF DF DF

19 Basel II /

20 BaselPDLGD Basel I/F

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