国土交通政策研究第 号.PDF
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1 2002
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5 I 1
6 2 3 II
7 - BS - BS A BS A 2 BS III
8 PM PM IV
9
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16 1
17 Frank Knight Richard Zeckhauser 1 F. Knight risk uncertainty R. Zeckhauser risk uncertainty (ignorance) Knight 2 1 CutlerZeckhauser (1999) 2
18 (1) 3 random variable x x (mean) = E[x] (x) µ = E [ x ] = xf ( x ) = xf ( x ) dx x variance var[x]=e[(x-e[x ]) 2 ] 2 var[ x] = E[( x E[ x]) ] = E[ x 2 ] ( E[ x]) 2 standard deviation (1/2) σ = var[x] (2002)pp (2000) p16-17
![2 var[ x] = E[( x E[ x]) ] = E[ x 2 ] ( E[ x]) 2 standard](/docs-images/41/22691477/images/page_18.jpg "deviation (1/2) σ = var[x] (2002)pp 20-23 1 3 (2000)")
19 3 4 C3 Crystal Ball Student
20
21 4 5 [ ] p (2002)pp
22 (3)
23
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25 Risk Management within the Corporate Structure(AS/NZS ) Risk Management Guideline for Decision-Makers(CAN/CSA-Q850-97) JIS JIS Q2001:2001
26 2 3
27 (2001), pp
28 - BS BS BS
29 2
30 F. Knight 1 1 National Research Council Improving risk communication. (1989) p p19
31 2 2 2 (2000)
32 2 3 A>B B>C A>C A>B B>C P0<P<1 B P A 1-P C P A B C A P C 1-P B P C 1-P A>B A B A A 3 (1973)p54-62
33 4 the certainty effect risk averse risk seeking the isolation effect 4 TverskyKahneman(1979), p ; Tversky Kahneman(1981) p ; (2000); (2001), P21-26
34 ' u '' u Comsumption or Income y Function Utility y u Aversion Risk lative R Aversion Risk Absolute R y u y u y yr R y u y u R R A A R A > = = > = : : ) ( Re : : 0) ( ) '( ) '( ' 0), ( ) '( ) ''( ]: [ ] var[ : Pr : 0) ( 2 2 ) '( ) ( '' )] ( [ )] ( [ x E z prospect risky zero mean z emium Risk R y u y u y u E z y u E A = > = = + + σ π σ σ π π u (y)>0, u (y)<0
35 framing effect value function decision weight 2 f > 0 y f 2 SydsaterStormBerck(2000), p f y 2, < 0 2
36 decision weight stated probability KahnemanTversky(1979), p283 5 TverskyKahneman(1992) 4 (P306)
37 6 l1 L1 L2 l2 o C B u2 A u1 0 6
38 L1 A u1 0.5 l1 0.5 l2 L1 0.5* l1 +0.5* l2 = L 1 u2 0.5*v(l1)+0.5*v(l2)= u2 L1 u2 u1 u2 L1 L2 l1 u2 L1L2 L2 L1
39 D u3 F f u4 E g2 G2 1 g1 1 u3 0.5 g1 0.5 g2 (0.5 *g1 0.5* g2 =1 ) u4 u3 u4 G1 G2 G2
40 G1 G2 G2 G1 G1 G2 G1 g2 G1 g2 G2 u4 G1 G2 G1 G2
41 ( ) dreadful unknown Slovic(1987) 8 KleinhesselinkRosa(1991) pp-49-56
42 ( ) ( ) 10 (1979) (1999)
43
44 (2001)
45
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47 (1992 )p Slovic (1987), pp TverskyKahneman (1981), pp
48 1 ( (1) ) technical disaster 18 normalcy bias pre-emergency p (1999)p96SorensenDombrowsky(1988)
49 (1) (2) 10 tone sufficient 53 1 (3) 4
50 (1985) p27-35
51
52
53 9 11 CIA FBI (1998 ) 22 Enron 21 The Culture in the Workplace Questionnaire TM (Dr. Geert Hofstede ) 22 (2001), p23
54 Brand Australia (2001) pp40-41
55 24 24 (1999)p96CovelloSlovicvon Winterfeld(1988)
56 3
57 G. L. Head (2002)pp50-56 (1998) pp
58 (1) (2)
59 Catastrophe Risk
60 ,541 6, (NR ) (1998)
61
62 (a financial arrangement that redistributes the costs of unexpected loss) (1993)p2
63 Xii=1,2,n Sn=X1 + + Xn Xi n S n n µ n S n P{ µ ε } n Economists Mathematical Manual (3 rd. ed.)(2000) p185
64
65 (California Earthquake Authority, CEA) CEA CEA CEA Catastrophic Bond, 7 7 CEA ( 1998p172
66 CEA 1 California Earthquake Authority 1996 CEA 1994 Northridge 1996 CEA 10,500M$ 71.6% CEA 1,000M$ CEA 5, CEA
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72 (200 US$) 100 US$ 100 US$ Catastrophe Bond Catastrophe Contingent Financing Facility Concentric, Ltd. SPC Circle Maihama, Ltd. SPC 100 US$ (LIBOR) 3.1% BB+(S&P) Ba1(Moody s) US$ (LIBOR) 0.75% A(S&P) 2001p89-96
73 ( ) (LIBOR) Concentric Ltd. US$100M Collateral account US$100M (3.1% ) (LIBOR+) Collateral account 1 US$100M US$100M Concentric Ltd. (USM$ 100 ) 2001P94 Concentric, Ltd. Concentric, Ltd. 3.1%+ LIBOR+3.1% Concentric, Ltd.
74 * ( ) US$100M * 2001P9596 Collateral account Circle Maihama Ltd. SPC US$100M (LIBOR) (x%) (LIBOR+0.75%) Circle Maihama Ltd. SPC (LIBOR+ 0.75%) Collateral account USM$100 USM$100
75 Collateral account Circle Maihama Ltd. SPC Circle Maihama, Ltd. US Circle Maihama, Ltd. Circle Maihama, Ltd. X% LIBOR+0.75% Circle Maihama, Ltd. Y% Circle Maihama, Ltd. Circle Maihama, Ltd. LIBOR+0.75%
76 (Equitime )
77
78
79 ICAO ICAO 9 9 Cutler and Zeckhauser (1999) pp
80 10 = / , ( 1/2) ( )195
81 KleindorferKunreuther (1999)
82 Shiller(1993) 1 R. Merton pp (2000) pp (Federal Emergency Management Agency, FEMA) National Flood Insurance Program (
83 1 CEA Catastrophic Risk Bond 15 ICAO 15 Cat Bond 7.8% 1/2, ( ) 390, Cat Bond 1998pp
84 Cat Bond 16 ) ) ) 16 (2000) pp
85
86 17 5 ( ) 19 ( ) 2, ,330 2/3 1 (SPC) (SPC) p 251, 1996p p1041 (1997) pp27-42
87
88 4
89 4 1 NPV 1 10 Net Present Value NPV Discounted
90 Cash Flow DCF Cost Benefit Analysis, CBA DCF (Weighted Average Cost of Capital) (WACC ) CBA
91 Sensitivity Analysis NPV 6%( ) 6%( ) p93 2 2
92 NPV NPV NPV
93 Real Option Valuation, ROV 2 BS 1973 F. Black M. Sholes 1980 R. Merton MIT S. Myers real option 1990 F. Black M. Sholes - BS 2 R. Merton 3 F. Black M. Sholes R. Merton BS 2
94 - - BS 3 BS - (BS) 3 (2000) : ) ( T : X : S : : ) ( ( ) / ln( ) ( ) ( ) ( ) ( d N p d d r X S d d SN d N Xe p d N Xe d SN c rt rt : Τ = Τ /2)Τ + + = = = 2 σ σ σ σ
95 BS S X 4 T S (2 BS 5 S arbitrage BS BS 6 BS
96 ), ) 2 ( (ln ln (0,1) ( 2 T T S N S N wiener dt dz Sdz Sdt ds σ σ µ ε ε ε σ µ + = + = = 0.09 dt dz Ct = f(t, St ) ) ( 2 1 t t t t t t t t ds S C ds S C dt t C dc + + = ) ( 2 1 ), ( 2 x dx x F dx x F dt t F df t x F xdz xdt dx + + = + = σ µ pp90-91
97 (2) 3 t t t t t t t t t t t t t t ds dc dv V V dt S S C C r dt rv dv S C S C V δ δ δ + = = = = + = ) ( dv = + + t t t t t t t t rc S C S S C rs t C σ 1 3
98 8 : 2 u u = 2 t x : C T = Max [ S T X,0] (2000) pp (2000) pp
99 2 (2) (2) (2) (2) exercise (2001): p58
100 S X T BS (2) (2) (2)5(1) CBOE 11 John Hull( )(1994)pp500
101 12 BS 12 ( (2001), pp )
102 BS
103 14 15 ( ) IT ( ) 13 (2001) pp KulatilakaAmram(2001):, pp
104 PRI Review
105 A A 19 BS A 5,920.5 A y2k 19 A 1/3
106 A( ) A 20 A 1 2, BS John Hull( ) (1994) pp A
107 12% A ( ) [ ] ( (2001)pp86,105 ) A BS (2001) pp
108 26 BS 27 BS S X T () A A A 26 27
109
110 ( ) A A BS
111 T 29BS T 29
112 A A 30 30
113 - BS 2 A A BS A
114 - (BS) 2
115 t1 V0 2 u u V0 d0<d<1 d 2 p
116 2 2 V0 P u V0 V0 P d 1P d V0 [0 ] [ t1 ] 0 t1 u d BS BS 2 t1 2
117 V 2 BS dv = µ Vdt + σvdz (0) dz = ε dt ( wiener εn (0,1) ε σ ln VN (ln V + ( µ 2 2 ) T, σ T ) u d ud (1) (0) 2 E(V 2 )-(E(V)) 2 ) p * u 2 +(1- p * )d 2 - { p * u +(1- p * )d } 2 = 2 (2)
118 2 3 4 r p * p * V0= (p *) uv0 + (1-p * )dv0/ (e r ) (3) 3 (2000): pp , 1999 : pp26-30 (1999) pp
119 1/(1+r) 1/(e r ) 5 u d( )p * (1)(3) : u = e d = e - p * = (e r - d)/(u - d) p * u d p * 2 3 u d 2 p p 1/( ) 1/(e ) 5 e r 1+r e r 1+r r = 0.04 e 0.04 = =
120 {puv0 + (1-p)dV0}/(e ) PV p * { p * uv0 + (1- p * )dv0}/( e r ) {puv0 + (1-p)dV0}/(e ){ p * uv0 + (1- p * )dv0}/( e r )(4) pp * 3 2 (4) 2 t1 uv0 dv0 K uv0- K K Max[uV0 K, 0]
121 V0 2 1 p * V1u = Max [u V0, 0] V1d = Max [dv0, 0] V0 P * d [0 ] [ t1 ] t1 0 0 V0 V0 = { p * V1u +( 1 p * )V1d }/(e r ) = { p * Max [u V0 K, 0]+( 1 p *) Max [dv0 K, 0]} e r 5 V0 V0 V0(5)V0(3) (6) 2 p * t1
122 6 p * = = - 6 (2001) p98-99
123 2 2
124 SmitAnkum(1993) PP
125
126 ,
127 p (2 )
128 p8
129
130 13 (I)i (ERt ) ( 1,2,3, ) ( = = = = = + = t t t ER i I CF t t ER i I CF 13 SmitAnkum(1993)
131 ER = ( ER0) e t t = 1,2,3, dt, 2 max[vt,s I, o] I( )
132 V :v(0<v<1) :(0<<1) v v< [2 ] 1
133 V I : θ : v : p : r : C C 0 : 1, u 1, d : : V 1 : *1 = max[ * 2 = max[ * 3 = max[ pc pc pc 1, u 2, uu 2, du + (1 1 + r + (1 1 + r + (1 1 + r p) C 1, d p) C p) C,0] 2, ud 2, dd,0],0]
134 = =, 3, 2 1, 1 t ER ER t 2
135 1, =0.55 v= H. Smit and L. Ankum [ ]
136 V V 0 1 I : : : 50 A 100 B θ : = 0.55 v : p : = 0.52 = 0.5 r : = 0.1 C C 1, u 1, d : :
137 ( )
138
139 (Dynamic Programming) 1950 R. Bellman Bellman Economists Mathematical Manual (3 rd ed.) Springer Chapter17
140 t t t+1 t Et[Ft+1 ] t+1 t t t ut Ft Bellman F E t t ( x t [ F ) t + 1 = ( x max u t t + 1 )] { π ( x, u ) + E [ F ( x )] } = t F t t + 1 ( x t t ρ ) d Φ t x t t + 1 x t + 1 t, u t t + 1 (1) Ft xt ut t xt+1 xt, ut
141 t =t= x x (1) { } )] ' ( [ 1 1 ), ( max ) ( x F E u x x F u ρ π + + = 20 xt dt (2)
142 dx = µ xdt + σxdz dz = ε dt( wiener εn (0,1) ε σ ln xn (ln x + ( µ 2 2 ) T, σ T ) F(x,t) xt, T (x, t) F(x+dx, t+dt) t dx = x dt + x dz
143 F( x, t) = max{ Ω( x, t), π ( x, t) + (1 + ρdt) 1 E[ F ( x + dx, t + dt ) x]} 2 1 (x,t)= 1 2 x F(x,t)= σ 2 x F xx ( x, t) + αxf ( x, t) + F ( x, t) ρf ( x, t) + π ( x, t) = 0 x t 3 x * F(x,t )=F0 ( ) x 2 (x*, t) =(x*, t) ( t ) x(x*, t) =x(x*, t) ( t ) pp , pp
144 contingent claim 2 2
145 3 ) ) CO2 PM 4 ) Dynamic Programming p OECD est! (Economically Sustainable Transport) (2000 p20) WHO 10m PM10 est! 90 55%99%
146
147 6 6 7 / / p134 7 US EPA(1999) ,530 /
148 42/20 = 2.1 /
149
150
151
152 / 100,000 10, *
153 7. * 17.8 r R. Pindyck 1994 Pindyck(2000)
154 ,902 / % 4 9
155 M E / B K (K) W T ~ W N E E W A E r (3) (6) (7)(8) (9) (11) (16) (18) (18) p
156 θ β γ β α λ α θ γ β α λ α β θ β α λ α γ β σ σ α σ α β α λ θ θ α λ α θ γ α λ θ θ θ θ θ θ θ θ σ αθ λ θ θ σ αθ λ γ θ ε ε θ ε ε ε ε σθ αθ θ θ θ θ λ γ β β β θ θ θθ θ θθ θ (17) 1) ( ) )( ( : (18) : (17) ] ) )( ( )[ 1 ( : (16) ] ) )( ( [ ) 1 ( : (15) 1) ( 2 ) 2 1 ( 2 1 : (14) ), ( : (13) ) )( ( ), ( : (12) ), ( ), ( : (11) ), ( ), ( : (10) 0 ) (0, : (9) 2 1 : (8) 2 1 ) ( : (7) : ], [ ), ( : : (6) 1 ) ( 0, ) ( : (5) : (4) : (3) ) ( ), ( : (2) ) ( ) ( : (1) * * * * * * ~ = = + = + = > + + = + = + + = = = = + + = = = = = = + = = = r r k E K ke K E r r K r r E K A r r M M W r r E r M A M W M W M W K M W M W M W W W MW M rw W W W M E M rw Ke dt e M B W Max Var E dt dz dz dt d M M B t M t E dt dm A N A N A N N A A A M A N N N M N rt rt t t t t t t 100,000 / ;
157 0.02; 20 / ; 2B$; k=20,000($); 0.02; ; ; 0.20; 1.62; A= 7,681,000; 42$/ - 21
158 11 NPV NPV NPV p13-14
159 12 12 SmitAnkum pp55-56
160 (2002) (1980) 1995 (1999) ( ) (2002) (1982) (2000a).2001 (2000) TBS (1992) JIS JIS Q2001: (1978) (1984) 1999 (2000) (2000) Vol.26, No.1 (2001) (1985) 60 8 (1999) (2001) (1979) (1981) 2001
161 (2000) 2001, HUMAN STUDIES SEPTEMBER (2001) (2001) (2000a) (2000b)
162 1996 M.(1993) 1977 (1997) 4 M. and N. (2001) (2001)
163 J ( )(1998) 3 J( )(1994), R (1996) (2001) (2001) (1999) (1994) (2002) 14 1 (2001) PRI Review 2 (2001)
164 (1997)
165
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