金融システムレポート(2008年3月号)
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- あいね だいほうじ
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1 inancial ystem eport
2
3 1 Box Box 9 Box 3 3 Box 3 Box 5 36 Box 6 38 Box Box 8 58 Box Box 1 7 7
4
5 1
6
7 3
8
9 Box Box Box 1 B1-1 B1-1 origination distribution investment 3 15 Alt-A 3 5
10 originate-anddistribute conduit SIVstructured investment vehicle 1 7 B1-B B B OFHEO S&P/Case Shiller GSEFannie MaeFreddie Mac GSE OFHEOS&P B JP Intex B1-1, 8, 6,,, bp 1, 1, 8 6 6/1 6/7 7/1 7/7 8/ CDS ABX-HE 6-1 JP Markit bp 6
11 LBOleveraged buy-out ABCPasset-backed commercial paper B B1-5 ABCP FRB B B /1 7/5 7/9 8/ /1 7/5 7/9 8/ /1 7/5 7/9 8/1 3 LIBOR FF GBPGreat Britain PoundDeposit EONIAEuro Overnight Index Average Bloomberg sovereign wealth fund 7
12 B FRB B ABCP 3 ABCP ABCP SIV
13 incentive compatibility 8 G7 II 3 9
14
15 7 Box Box Box ROE ROE 1-3 ROE ROE ROE 1-3 ROE ROE bp ROE bp ROE ROE A B bp 7 ROE ROE ROE 6-J AROE ROE BROE ROE 11
16 1- ROE 7ROE ROE 1 3bp bp 3 3bp ROE Box 5 Box
17 bp bp bp bp bp 1 13
18 LIBOR Bloomberg
19
20 M&A 16
21
22 bp 7 9bp 38bp 37bp 7 9 GDP bp bp 18
23 6 6 6bp Tier I Tier I TOPIX
24 1- LIBOR-OIS bp 7/ 7/6 7/8 7/1 7/1 8/ Bloomberg , Box 1 1 OISovernight index swap LIBOR-OIS 7 8 LIBOR-OIS 1- Box
25 Tier I bpv pt Tier I Tier I pt Tier I 1
26 Tier I 1-8Tier I Tier I bp bp
27 RMBS residential mortgage-backed securities 1-3 Tier I Tier I Tier I RMBS CMBS commercial mortgage-backed securities TOPIX
28 Tier I Tier II
29 Tier II II Tier I Tier I Tier I II EL+ULEL 99 II
30 SPC Tier II Tier I Tier II Tier I
31 CDS CDS 7 1- CDS CDS /1/5= &Fitch R&IJCR Bloomberg bp 1-39 CDS 7/1 7/ 7/7 7/1 8/1 UFJ CitigroupBank of AmericaJPMorgan Chase Wells FargoGoldman SachsHSBCUBS Bloomberg /1/11 7/1 7/ 7/7 7/1 8/1 Bloomberg 8 7
32 8
33 Box , B-1 1, 3,6 LBO B B- 8 BB- 3 B B- 5 B-3 RW
34 Box 3 HEL ABS ABS CDO Box 1 Box 3 B3-1 B3-1 B3-3
35 B3- CDO B3-3 8, 6,,, bp B3-3CDO 1,5 1, 5 bp bp Box 5 CDO squared 1 1 CDO squared CDO squared B3-=.5CDO CDO 37 CDO squared CDO squared B3-5 =. CDO CDO squared 31
36 6 bp B3- CDO squared λ =. λ =.1 λ = bp bp CDO CDO squared CDO 1 1 B3-3 5,, 3,, 1, bp B3-5 CDO squared λ =. λ =.1 λ =.5 bp, 3,, 1, ,5 1, bp CDO CDO 3 7 CDO squared CDO squaredcdo B3-6, 1,5 1, 5 B3-6 bp =. 6 9 FASBFair Value Measurements 157 FAS FAS CAQCenter for Audit QualityMeasurement of Fair Value in Illiquidor Less Liquid Markets 3
37 3 B3-7 B3-7 33
38 Box 6 B-1 7 B- B-1 B / / B B B UFJ UC OMC 9 3
39 7 B- B-5, 1,5 1, 5-5 B SFCGNIS 6 35
40 Box SPC B5-1B B B B / 6/1 7/ 7/1 36
41 B5-3 1,9,8 3,5 3,1,9 1,1,7 1,61,93 19,8 1,75 19,13 17,51 16,93 17, 3,3 5,3 3,65,95,85 7,1 13,19 13,15 13,7 13,6 51 1, ,77 8,83 9,11 9,31 9,53 3,1 6,7 6,9 6,1 6,6,17 5,35 6,1 6,8 5,7,17 5,35 6,1 6,8 5,7 1,3 3,1 3,61 3,65 3, B B5-6/ 6/1 7/ 7/1 37
42 Box B6-1Box B B6-1 ROA B6- ROA ROA ROA B6-3ROA B6-3ROA B
43 B6-3 3 ROA B ROA ROA ROA ROA ROA B6-5ROA ROA ROA ROA ROA ROA ROA ROA ROA 39
44 Box 7 LIBOROISovernight index swaplibor-ois 1- OIS 3 3 OIS OIS LIBOR-OIS 3 LIBOR OIS B7-1 LIBOR-OIS B7-13 LIBOR-OIS LIBOR-OIS Box 1 LIBOR-OIS LIBOR- OIS FF 1bp 5bp bp OISOvernight Index Swap6-J OIS3 3 LIBOR-OIS
45 7 9-1 Box GDP CPI
46 Bloomberg, 1, /1/=1 199/1/6= Box , pt R&I 6 5 Bloomberg
47 -6 6, 5,, , , 1, GDP
48 DI pt DI , 1, 1, 8 6 GDP , 1,5 1, 5-1 GDP ,
49 originate-and-distribute Box GDP GDP GDP FRB, "Flow of Funds Accounts of the United States." -1 GDP CPI GDP HP 5
50 GDP GDP DI pt GDP
51 pt DI bp bp 3 7-J
52 pt ,6 1, 1, 1, CDS CDS CDS 7 1,57 - CPMcredit portfolio management CDS 8
53 BIS 5 BIS 9
54 Box
55 -5 LTVloan to value -6 5 LTV LTV LTV LTV MTB-IKOMA -6 LTV LTV LTV LTV LTV 51
56 DI pt REIT 3/3/31= REIT REIT,5 3, 1,5-3 J-REIT DI J-REIT -1,5-3, -, J-REIT 5
57 J-REIT -3 J-REIT NOI net operating income NOI NOI -31 REIT -31 J-REIT /3 1 /3 1 5/6 1 6/6 1 7/ A / 5/1 6/ 6/1 7/ 7/1-33 J-REIT NOI NOI NOI NOI 53
58 -3 M&A M&A Thomson Financial M&A M&A M&A M&A M&A M&A M&A M&A EBITDA earnings before interest, taxes, depreciation, and amortization M&A EBITDA Thomson Financial 5
59 M&A M&A M&A9 5 1 M&A M&A M&A M&A M&A 9-36 Thomson Financial M&A LBOleveraged buy-out , ,,5, 1,5 1, Thomson Financial Thomson Financial 55
60 7 9 Box Thomson Financial ABS ABS 1 7 M&A -39 M&A CPM RMBS -17 ABS asset-backed securities CDO collateralized debt obligation 56
61 7 9 CDS / 5/9 6/5 7/1 7/ CDS B R&I7 7-3 ABCP 7 - ABCP 7. ABCP -3 - ABCP 7 3 ABCP CDO - ABCP 73 9,83 S&P ABCPFRB ABCP 9 S&P 57
62 Box 8 B8-1 B8-1 B GDP B8- GDP B GDP 9 6 GDP MMMF FRB, "Flow of Funds Accounts of the United States." 58
63 7 9 GDP B8-3 B GDP 9 6 GDP MMMF ETF FRB, "Flow of Funds Accounts of the United States." B8-7 9 GDP GDP GDP B GDP ABS FRB, "Flow of Funds Accounts of the United States." 59
64 Box 9 CMBS Box 9-5 McNeil and Wendin7 MTB-IKOMA B B
65 B9- min[ P, D] = D + min[ P T D,] = D max[ D P,] T T P T D P T D D P T D P T min[p T, D] D B9- P T D B9-3 LTV LTV MTB-IKOMA 1 LTV LTV B9-3 LTV DSCRdebt service coverage ratio McNeil, Alexander J. and Jonathan Wendin, "Bayesian Inference for Generalized Linear Mixed Models of Portfolio Credit Risk," Journal of Empirical Finance, vol.1, No., 7, pp
66
67 3- LIBOR
68
69
70 VAR 1 1 Tier I Box 8 Tier I
71 ELexpected loss UL unexpected loss Tier I GDP GDPCPI 5 VARvector antoregression GDP GDP GDP GDP pt
72 Tier I GDP 8 GDP Tier I 5 1 Tier I 535 Tier II 68
73 Tier I
74 1 Box 1 1 7
75 TOPIX VaR Tier I pt pt VaR Tier I 71
76 Box 1 1 B1-1 B1-1 TOPIX 3,,5, 1968/1/= ,5 1. 1, VaR B1- B1-3 7
77 B1- B1- B1-3 3,,5, 1,5 1, /1/ B
78 "Developments in a Cross-Border Bank Exposure 'Network'" Masazumi Hattori and Yuko Suda
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