() ( ) ( ) (1996) (1997) (1997) EaR (Earning at Risk) VaR ( ) ( ) Memmel (214) () 2 (214) 2
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1 1 (Basel Committee on Banking Supervision, BCBS) (BCBS(24), BCBS(215) ) *1 ( ) ( (1997) (213a,b) ) 2 *1 (214) 1
2 () ( ) ( ) (1996) (1997) (1997) EaR (Earning at Risk) VaR ( ) ( ) Memmel (214) () 2 (214) 2
3 (1997) (1997) (1996) (1997) Memmel (214) (214) ( 1) ( 2) ( 1) :, : ( 2) (PSJ )
4 将来キャッシュフロー推計 銀行 B/S 構成依存関係( コピュラ) 市場金利モデル Nelson-Siegel モデル 信用リスクモデル Credit Metrics 金利追随率モデル 1ファクターモデルプリペイメントモデル リスク評価経済環境シナリオの生成資産負債シナリオ生成 CF 生成 リスク評価 預入 貸出資産モデル GBM PSJモデル固定性預金比モデル 上武 枇々木モデルロールオーバーモデル 定率 Nelson-Siegel (Diebold and Li (26)) t τ y t (τ) (1) ( ) ( ) 1 e λτ 1 e λτ y t (τ) = β 1,t + β 2,t + β 3,t e λτ (1) λτ λτ β 1 β 2 β 3 λ β 3 3 (2) AR(1) β k,t = c k + φβ k,t 1 + ε k,t (k = 1, 2, 3) (2) J.P.Morgan (1997) (Credit Metrics TM ) Credit Metrics TM ( t ) 2.3 (211) () 4
5 ( ρ t = T D t /LD t ) t ρ t r t ρ t = (α 1 ln r t α 2 )t + α 3 ln r t + α 4 (3) 1 PSJ (Prepayment Standard Japan) % m CPR m (4) CPR m (%) = min (6m/6, x) (4) 2.4 CVaR CVaR := E[RT Net] R f T CVaR[R Net T ] + E[RNet T ] (5) E[x] x RT Net T ( ) R f T T CVaR 99% B/S 1 = 1 (6) B/S 3 (6 ) *2 (6 ) = ( + + ) + (7) 2 1 1/3 1 *2 3 5
6 3 3 3 B/S ( ) , 2.3 AR(1) AR(1) c φ σ ϵ R 2 β β β AAA AA A BBB BB B CCC AAA 91.% 9.% 764 AA.8% 93.9% 5.2%.1% 3,228 A 1.8% 94.3% 3.7%.1%.1% 7,53 BBB 3.8% 93.4% 2.7%.1% 7,274 BB.3% 7.9% 86.6% 2.6% 2.6% 798 B.8% 9.9% 77.% 12.3% 131 CCC 4.5% 95.5% 44 6
7 * Σ β 1 β 2 β 3 ( ) ( ) β 1 1 β β ( ) ( ) a b σ e R % % % % % % %.36.23% (2) (4) (1) (2) 4 1. (3 ) 2. (1 ) 3. ( ) 4. ( ) (3) (4) ( ) 3 *3 2 Russell/Nomura Russell/Nomura () Large Small 7
8 3.3 (1) 2 ( ) 2 1 ( B/S ) ( B/S ) 2 ( ) ( ) ( ) 2 1% (1 ) 3 3 1% ( ) 3 ( ) ( ) 1% 8
9 ( ) B/S ( ) 2 B/S ( ) ( ) 3.4 (2) 3 %.5%.1% CVaR 6 7 修正期間収益調整 CVaR レシオ 経済価値 金利上昇率 (%) 修正期間収益 経済価値調整 CVaR レシオ 期待修正期間収益 ( 兆円 ) 期間 変化なし.1% 上昇.2% 上昇.3% 上昇.4% 上昇.5% 上昇 6 CVaR
10 CVaR *4.5% 8 8.5% %VaR %Volume at Risk (VaR) 6 2 B/S 5 ALM 3.5 (3) 8 9.5% CVaR 1 CVaR ( ) *4 M LD t X t M LD = X tt LD 1
11 8 8 期待修正期間収益 ( 兆円 ) 追随率 % 追随率 2% 追随率 4% 追随率 6% 追随率 8% 追随率 1% 期待修正期間収益 ( 兆円 ) 追随率 % 追随率 2% 追随率 4% 追随率 6% 追随率 8% 追随率 1% 期間 期間 8 9 調整 CVaR レシオ 貸出追随率預金追随率 追随率 1 CVaR 修正期間収益調整 CVaR レシオ 修正期間収益 経済価値 金利上昇率 (%) 11 CVaR 経済価値調整 CVaR レシオ 3.6 (4) ( (214)) ( ) 1.25 CVaR 11
12 4 [1] Basel Committee on Banking Supervision (24) Principles for the Management and Supervision of Interest Rate Risk ( [2] Basel Committee on Banking Supervision (215) Interest rate risk in the banking book - Consultative Document ( [3] Diebold, F.X. and C. Li (26), Forecasting the Term Structure of Government Bond Yields, Journal of Econometrics, Vol.13, pp [4] Memmel,C.(214), Banks interest rate risk: the net interest income perspective versus the market value perspective, Quantitative Finance, Vol.14, No.6, pp [5] (211),, (), pp , [6] (1996), -VaR -, 15 4, pp [7] (214) ( [8] (25),, 24 2, pp [9] (213a)- - ( 213/data/rel131118a1.pdf) [1] (213b) - - ( 213/data/rel131118a2.pdf) [11] (214), 214, pp [12] (1997) EaR VaR - -,, 16 3, pp
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