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1 IT IT 2014 B to B B to C 10 IT IT IT (CDS) Electronic Commerce, e-commerce B to B (Business to Business) B to C (Business to Consumer) C to C (Consumer to Consumer) O2O (Online to Offline) IT IT IT IT NY, London, Tokyo
2 SBI IT SBI FX SBI SBI FX
3 SBI
4 FICO IT 2490 FICOFICO 3 Equifax Experian TransUnion FICO FICO (Fair, Isaac & Co., Inc.) Fair Isaac Corporation (FICO) created the first credit scoring system (1958) credit score for a bank credit card (1970) 1989FICO 1995 Federal Home Loan Mortgage Corp. (Freddie Mac) Federal National Mortgage Association (Fannie Mae) FICO FICO
5 IT 33 TERA JACIN KEY IT CIC
6 CRIN CRIN (KSC) CIC CRIN CRIN: Credit Information Network 1987/03/20 JIC, CIC, KSC /2 JACIN (Japan Credit Information Network) ~ % JACIN 10ID ID KEY KEY JACIN (1/3) E E EiEzweb Yahoo! E ( 2/2 PRIS (Public Record Information System) (2/3) (
7 (3/3) 0, 1, 2, 3, 4, 5, 6, 7, 8, 9 0% 20% 40% 60% 80% 100% ~ ~ ~ ~ ~ ,137, () 2,126, ,453 1, ,489 1,606 CDATM CDATM 95,024 1,670 1, ,485 93, % 0% 20% 40% 60% 80% 100% ~29 30~39 40~49 50~59 60~ 0% 20% 40% 60% 80% 100%
8 IT measurement management 3 14,000 12,000 10,000 8,000 6,000 4,000 2,
9 = (market risk) return > 0 60% return < 0 40% RiskMetrics JP Morgan RiskMetrics Value-at-Risk (VaR) transparent implementation r r r 1 2 n r = E( r) = i = 1 2 σ = Var( r) = E( r r) n p 1 p p 2 n p r i i 2 σ = SD( r) = Var( r) = E( r r) = i 2 = n = 1 p ( r r) i i 2 i n = 1 p ( r r) i i 2 time price return 0 p(0) 1 p(1) r(1) = (p(1)-p(0)) / p(0) 2 p(2) r(2) = (p(2)-p(1)) / p(1) 3 p(3) r(3) = (p(3)-p(2)) / p(2) t-1 p(t-1) r(t-1) = (p(t-1)-p(t-1)) / p(t-1) t p(t) r(t) = (p(t)-p(t-1)) / p(t-1)
10 NK225 (index) /1/4 1985/1/4 1986/1/4 1987/1/4 1988/1/4 1989/1/4 1990/1/4 1991/1/4 1992/1/4 1993/1/4 1994/1/4 1995/1/4 1996/1/4 1997/1/4 1998/1/4 1999/1/4 2000/1/4 2001/1/4 2002/1/4 2003/1/4 2004/1/4 2005/1/4 2006/1/4 2007/1/4 2008/1/4 2009/1/4 NK225 (return) /1/4 1985/1/4 1986/1/4 1987/1/4 1988/1/4 1989/1/4 1990/1/4 1991/1/4 1992/1/4 1993/1/4 1994/1/4 1995/1/4 1996/1/4 1997/1/4 1998/1/4 1999/1/4 2000/1/4 2001/1/4 2002/1/4 2003/1/4 2004/1/4 2005/1/4 2006/1/4 2007/1/4 2008/1/4 2009/1/4 NK225 (histogram) historical return FX JPY/USD ^2
11 2 X ~ N( µ, σ ) f ( x) dx = E[ X ] µ exp x 2πσ 2 σ 2 Var[ X ] = σ α = p percentile p = α f ( x) dx VaR VaR RiskMetrics 95% VaR 95% 5% r = - 10% A=$500,000 VaR=500,000(-0.10)=-50,000
12 NTT, SONY, CANON, TOYOTA,... r1 r2 r ~ N(mu,sigma^2) historical data VaR 95%, 99% time horizon 1day, 1week, 1month VaR 5% 1% VaR (implementation) percentile 4. VaR Monte Carlo VaR USA, GB, Japan, Hong Kong, Singapore, France, Deutsch,
13 (settlement) A B (netting) Numerix Simplex Technonogy Algorithmics Sungard Financial Systems Numerical Technologies BARRA NO! 8800 IBM NTT
14 80 Moody's Standard & Poor's FitchIBCA R&I JCR BB~C AA~CCC () ( A-1~D AAA~D AAA~BBB B+ A-1 A-2 A-1 A-3 B C D AAA AA A BBB BB B CCC CC C D (AAA) 2 BB ng_process.html
15 CFOCEO 3~4 5 Aaa Aa A Baa Ba Moody's Aaa Aaa B Caa Ca C CreditMetrics CreditMetric VaR risk horizon CreditMetric VaR CreditManager CreditMetrics
16 CreditMetrics 1. exposure VaR CreditMetrics VaR VaR IT VaR VaR (Finite Difference Method) (Finite Element Method) CPU Seniority Class (%) (%) Senior Secured Senior Unsecured Senior Subordinated Subordinated Junior Subordinated Source: Carty & Lieberman [96a] Moody's Investors Service VaR 1
17 IT Artificial Financial Market SimCity IT London Stock Exchange
18 YES/NO # % NO 108 # % NO 108 # % NO 108 # % NO 108 # % NO 108 # % NO 108 # % NO 108 # % NO 108 # % NO 108 # % NO 108 FICO # % NO 108 # % NO 108 # % NO 108 # % NO 108 # % NO 108 # % NO 108 # % NO 108 # % NO 108 # % NO 108 # % YES 0
19 : 100 NO 108 #01 8% 97.2 # % NO # % NO # % NO # % NO 120 # % NO 120 # % NO 120 # % NO 120 # % NO # % NO # % NO # % NO # % NO # % YES # % NO 120 # % NO 120 # % NO 120 # % NO 120 # % NO 120 # % YES (pass-through) # % NO 108 # % NO 108 #0001 #A # % NO 108 #B # % NO 108 # % NO 108 #0002 #I # % NO 108 # % NO 108 # % NO 108 #J #S # % NO 108 # % NO 108 #5000 #Z (pass-through) # % NO 108 # % NO 108 #0001 #A # % NO 108 #B # % NO 108 # % NO 108 #0002 #I # % NO 108 #J # % NO 108 # % NO 108 #S # % NO 108 # % YES 0 #5000 #Z
20 (ABS-CDO) ABS-Collateralized Debt Obligations #0001 #A #A #B #B #0002 #I #I #J #J #S #S #5000 #Z #Z (ABS-CDO) ABS-Collateralized Debt Obligations #0001 #A #A #B #B #0002 #I #I #J #J #S #S #5000 #Z #Z (CDO) Collateralized Debt Obligations #01 #02 #50 #A #B #I #J #S #Z
21 CDS: Credit Default Swap Black=Scholes Quiz: 1 1. IT? ? ? 1. TOEIC 2. FICO Fair Issac 5. Equifax 6. Experian 7. TransUnion 4. VaR? 1. Variance 2. Value-at-Return 3. Volt-Amperes Reactive 4. Value-at-Risk 5. Variable 6. Vector Autoregression 5. IT? ips 6. 6.? 1. CreditMetrics 2. CreditRisk+ 3. KMV 4. CAPM 5. Black=Scholes IT
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Abstract JP Morgan CreditMetrics (1) () (3) (4) 1 3 3 4 4 5 10 6 16 1 1 BIS 1 3 1 BIS 1 BIS 1 3 ALM (1) Value at Risk () (3) RAROC (Risk Ajusted Return On Capital) (4) 3 5 6 31 99% (= p ) ~x X Prf~x Xg
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