BIS CDO CDO CDO CDO Cifuentes and O Connor[1] Finger[6] Li[8] Duffie and Garleânu[4] CDO Merton[9] CDO 1 CDO CDO CDS CDO three jump model Longstaff an

Similar documents
CDOのプライシング・モデルとそれを用いたCDOの特性等の考察: CDOの商品性、国内市場の概説とともに

IMES DISCUSSION PAPER SERIES Discussion Paper No. 99-J- 9 -J-19 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN


() ( ) ( ) (1996) (1997) (1997) EaR (Earning at Risk) VaR ( ) ( ) Memmel (214) () 2 (214) 2

「国債の金利推定モデルに関する研究会」報告書

1 Nelson-Siegel Nelson and Siegel(1987) 3 Nelson-Siegel 3 Nelson-Siegel 2 3 Nelson-Siegel 2 Nelson-Siegel Litterman and Scheinkman(199

FRB EU EU.GM JFE AIG HD

わが国企業による資金調達方法の選択問題

‚åŁÎ“·„´Šš‡ðŠp‡¢‡½‹âfi`fiI…A…‰…S…−…Y…•‡ÌMarkovŸA“½fiI›ð’Í

text.dvi

デフォルト相関係数のインプライド推計( )

03.Œk’ì

untitled

商品流動性リスクの計量化に関する一考察(その2)―内生的流動性リスクを考慮したストレス・テスト―

大規模データベースを用いた信用リスク計測の問題点と対策(変数選択とデータ量の関係)

gr09.dvi

○松本委員

Vol. 3 No (Mar. 2010) An Option Valuation Model Based on an Asset Pricing Model Incorporating Investors Beliefs Kentaro Tanaka, 1 Koich

082_rev2_utf8.pdf


金融システムレポート(2008年3月号)

2 A A 3 A 2. A [2] A A A A 4 [3]

O x y z O ( O ) O (O ) 3 x y z O O x v t = t = 0 ( 1 ) O t = 0 c t r = ct P (x, y, z) r 2 = x 2 + y 2 + z 2 (t, x, y, z) (ct) 2 x 2 y 2 z 2 = 0

,,,17,,, ( ),, E Q [S T F t ] < S t, t [, T ],,,,,,,,

JORSJ05-61_2_pdf.dvi

相互取引に伴う債権債務の依存構造を考慮した金融機関の与信評価について

x E E E e i ω = t + ikx 0 k λ λ 2π k 2π/λ k ω/v v n v c/n k = nω c c ω/2π λ k 2πn/λ 2π/(λ/n) κ n n κ N n iκ k = Nω c iωt + inωx c iωt + i( n+ iκ ) ωx

カルマンフィルターによるベータ推定( )

PFI

住宅ローン債権担保証券のプライシング手法について:期限前償還リスクを持つ金融商品の価格の算出

1 (1) () (3) I 0 3 I I d θ = L () dt θ L L θ I d θ = L = κθ (3) dt κ T I T = π κ (4) T I κ κ κ L l a θ L r δr δl L θ ϕ ϕ = rθ (5) l

Title 最適年金の理論 Author(s) 藤井, 隆雄 ; 林, 史明 ; 入谷, 純 ; 小黒, 一正 Citation Issue Date Type Technical Report Text Version publisher URL

ACLI-EBC-CLHIA Interim Proposal _J_ June Final.PDF

: α α α f B - 3: Barle 4: α, β, Θ, θ α β θ Θ

all.dvi

微分積分 サンプルページ この本の定価 判型などは, 以下の URL からご覧いただけます. このサンプルページの内容は, 初版 1 刷発行時のものです.

2011de.dvi

V(x) m e V 0 cos x π x π V(x) = x < π, x > π V 0 (i) x = 0 (V(x) V 0 (1 x 2 /2)) n n d 2 f dξ 2ξ d f 2 dξ + 2n f = 0 H n (ξ) (ii) H

COE-RES Discussion Paper Series Center of Excellence Project The Normative Evaluation and Social Choice of Contemporary Economic Systems Graduate Scho

ad bc A A A = ad bc ( d ) b c a n A n A n A A det A A ( ) a b A = c d det A = ad bc σ {,,,, n} {,,, } {,,, } {,,, } ( ) σ = σ() = σ() = n sign σ sign(

A

L Y L( ) Y0.15Y 0.03L 0.01L 6% L=(10.15)Y 108.5Y 6%1 Y y p L ( 19 ) [1990] [1988] 1

_0212_68<5A66><4EBA><79D1>_<6821><4E86><FF08><30C8><30F3><30DC><306A><3057><FF09>.pdf


untitled

untitled

わが国のレポ市場について―理論的整理と実証分析―

3B11.dvi

1 CAPM: I-,,, I- ( ) 1 I- I- I- ( CAPM) I- CAPM I- 1 I- Jensen Fama-French 3 I- Fama-French 3 I- Fama-MacBeth I- SMB-FL, HML-FL Fama-MacBeth 1 Fama-Fr

01.Œk’ì/“²fi¡*

201711grade1ouyou.pdf

基礎数学I

CVaR

II A A441 : October 02, 2014 Version : Kawahira, Tomoki TA (Kondo, Hirotaka )

24 [11] [4, 8, 10, 20, 21] CreditMetrics [8] CreditMetrics CreditMetrics CreditMetrics [13] [1, 12, 16, 17] [12] [1] Conditional Value-at-Risk C

, 1), 2) (Markov-Switching Vector Autoregression, MSVAR), 3) 3, ,, , TOPIX, , explosive. 2,.,,,.,, 1


第5章 偏微分方程式の境界値問題

スプレッド・オプション評価公式を用いた裁定取引の可能性―電力市場のケース― 藤原 浩一,新関 三希代

f(x) = f(x ) + α(x)(x x ) α(x) x = x. x = f (y), x = f (y ) y = f f (y) = f f (y ) + α(f (y))(f (y) f (y )) f (y) = f (y ) + α(f (y)) (y y ) ( (2) ) f

meiji_resume_1.PDF

: , 2.0, 3.0, 2.0, (%) ( 2.

) a + b = i + 6 b c = 6i j ) a = 0 b = c = 0 ) â = i + j 0 ˆb = 4) a b = b c = j + ) cos α = cos β = 6) a ˆb = b ĉ = 0 7) a b = 6i j b c = i + 6j + 8)

untitled

43 2 PD DR Sommar and Shahnazarianka [19] Simons and Rolwes [17] GDP Figlewski, Frydman and Liang [7] GDP Bonfim [2] 3 Bhattacharjee et al. [1] 2002 [

130 Oct Radial Basis Function RBF Efficient Market Hypothesis Fama ) 4) 1 Fig. 1 Utility function. 2 Fig. 2 Value function. (1) (2)

Part () () Γ Part ,

.n.s.N.._...{.\1

Vol.8 No (July 2015) 2/ [3] stratification / *1 2 J-REIT *2 *1 *2 J-REIT % J-REIT J-REIT 6 J-REIT J-REIT 10 J-REIT *3 J-

.3. (x, x = (, u = = 4 (, x x = 4 x, x 0 x = 0 x = 4 x.4. ( z + z = 8 z, z 0 (z, z = (0, 8, (,, (8, 0 3 (0, 8, (,, (8, 0 z = z 4 z (g f(x = g(

(2004 ) 2 (A) (B) (C) 3 (1987) (1988) Shimono and Tachibanaki(1985) (2008) , % 2 (1999) (2005) 3 (2005) (2006) (2008)

Venkatram and Wyngaard, Lectures on Air Pollution Modeling, m km 6.2 Stull, An Introduction to Boundary Layer Meteorology,

本邦国債価格データを用いたゼロ・クーポン・イールド・カーブ推定手法の比較分析

(1.2) T D = 0 T = D = 30 kn 1.2 (1.4) 2F W = 0 F = W/2 = 300 kn/2 = 150 kn 1.3 (1.9) R = W 1 + W 2 = = 1100 N. (1.9) W 2 b W 1 a = 0

ばらつき抑制のための確率最適制御

?

パーキンソン病治療ガイドライン2002

研修コーナー

No δs δs = r + δr r = δr (3) δs δs = r r = δr + u(r + δr, t) u(r, t) (4) δr = (δx, δy, δz) u i (r + δr, t) u i (r, t) = u i x j δx j (5) δs 2

,. Black-Scholes u t t, x c u 0 t, x x u t t, x c u t, x x u t t, x + σ x u t, x + rx ut, x rux, t 0 x x,,.,. Step 3, 7,,, Step 6., Step 4,. Step 5,,.

マクロ経済スライド下における積立金運用でのリスク

RMBS CDO (ABS ABS CDO IMF , , IMF, Global Financial Stability Report 1) Alt-A 4,250 A

mf.dvi


Auerbach and Kotlikoff(1987) (1987) (1988) 4 (2004) 5 Diamond(1965) Auerbach and Kotlikoff(1987) 1 ( ) ,

IS-LM (interest) 100 (net rate of interest) (rate of interest) ( ) = 100 (2.1) (gross rate of interest) ( ) = 100 (2.2)


本文/目次(裏白)

,398 4% 017,

III 1 (X, d) d U d X (X, d). 1. (X, d).. (i) d(x, y) d(z, y) d(x, z) (ii) d(x, y) d(z, w) d(x, z) + d(y, w) 2. (X, d). F X.. (1), X F, (2) F 1, F 2 F

r d 2r d l d (a) (b) (c) 1: I(x,t) I(x+ x,t) I(0,t) I(l,t) V in V(x,t) V(x+ x,t) V(0,t) l V(l,t) 2: 0 x x+ x 3: V in 3 V in x V (x, t) I(x, t

1-2 1 path dependence pathwise analysis forward pathwise node A B C D E F A B D A B E A C E A C F 2 3 A B C 1-3 1

1 1.1 Merton (1974) Black and Cox (1976) PD Probability of Default LGD Loss Given Default 1 EAD Exposure At Default II Merton (1974) Merton Merton Ges

IMES DISCUSSION PAPER SERIES Discussion Paper No J INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN

untitled

ohpmain.dvi

positron 1930 Dirac 1933 Anderson m 22Na(hl=2.6years), 58Co(hl=71days), 64Cu(hl=12hour) 68Ge(hl=288days) MeV : thermalization m psec 100

untitled

LLG-R8.Nisus.pdf

untitled

Transcription:

CDO 2010 5 18 CDO(Collateralized Debt Obligation) Duffie and Garleânu[4] CDO CDS(Credit Default Swap) Duffie and Garleânu[4] 4 CDO CDS CDO CDS CDO 2007 CDO CDO CDS 1 1.1 2007 2008 9 15 ( ) CDO CDO 80 E-mail:taiji.ohka@gmail.com E-mail:stk25616a@ae.keio.ac.jp 1

BIS CDO CDO CDO CDO Cifuentes and O Connor[1] Finger[6] Li[8] Duffie and Garleânu[4] CDO Merton[9] CDO 1 CDO CDO CDS CDO three jump model Longstaff and Rajan[10] CDS CDS CDO Duffie and Garleânu[4] CDO CDS(Credit Default Swap) CDS CDS CDS CDS CDS CDS CDO CDS ISDA(the International Swaps and Derivatives Association) CDS 2007 62.2 CDS 1 2

CDS CDS CDS George[7] CDS CDS CDS Duffie and Singleton[3] RMV(recorvery of market value) RMV CDS RMV CDS CDS 4 CDS CDO CDO (2006 9 20 2007 12 10 ) (2007 12 10 2009 12 9 ) CDO CDO 2 3 George [7] CDS CDO 2 3 4 2 CDO 2.1 CDS 2.2 3 3

2.4 2.5 2.1 CDS CDS CDS CDS λ L CDS L L CDS Duffie and Singleton[4] RMV RMV T τ ϕ(τ) ϕ(τ) = (1 L)v(τ, T ), λ L CDS CDS George[7] 2 CDS ( ) ( ) CDS r x t(x > t) R(t, x) R(t, x) = x t rdu, t CDS t = 0 t CDS S(t) CDS T (T > 0) 1 1 t = 0 T CDS S(0) CDS S(0) 3 τ(τ < T ) τ R A R A = E Q t [ = S(t)E Q t S(t) ] m exp( R(t, t i ))I {τ>ti } i=1 [ m ] exp( R(t, t i ))I {τ>ti }, (1) 2 CDS 3 n S(t) CDS i=1 4

1: CDS (1) E Q t t Q τ R(t, t i ) t i t I {τ>tj } { 1 (τ > t i ) I {τ>ti } = 0 (τ t i ) τ > 0 Y (τ) ϕ(τ) 1 Y (τ) = 1 ϕ(τ), Duffie, Pan, and Singleton[2] 1 T t v(t, T ) T v(t, T ) = exp( R(t, T )) Pr[τ > T t] + (1 L) t exp( R(t, u))f (t, u)du, (2) (2) T 1 f (t, x) t x Pr Q [τ < x t] f (t, x) = d dx Pr [τ > x t] Q t R B t T R B = E Q t [ ] exp( R(t, τ))y (τ)i{τ tj,t j + t}. (3) 5

CDS (1) (3) (4) S(t) = EQ t = T t R A = R B, (4) [ exp( R(t, τ))y (τ)i{tj + t>τ>t j }] Q [ ], m exp( R(t, t j ))I {τ>tj } j=1 exp( R(t, x)) {1 (1 L)v(x, T )} f (t, x)dx m, (5) exp( R(t, t j ) Pr Q [τ > t j t] j=1 2.2 Duffie and Garleânu[4] CDS t t t t + t λ λ Pr[τ < t + t t] = λ t. (6) (6) t λ t Pr[τ < t + t t] t t t + t t λ(t) t < τ t + x ( t+x )] Pr[τ < t + x t] = E t [exp λ(u)du, x > 0, t E t t t s λ(t) dλ(t) = κ(θ λ(t))dt + σ λ(t)dw (t) + J(t), (7) W (t) J(t) J(t) µ l κ, θ, σ, µ, l 6

κ, θ, σ, µ, l κ θ σ µ l Duffie and Kan[5] t x E Q t (8) [ ( t+x )] exp λ u du = e α(x)+β(x)λ(t), (8) t f (t, x) = d dx Pr[τ > x t] = exp {α(x t) + β(x t)λ(t)} [α (x t) + β (x t)λ(t), ] (9) α(x) β(x) α (x) β (x) α(x) = κθ( c 1 d 1 ) β(x) = b 1 c 1 d 1 1 eb 1 x c 1 +d 1, e b 1 x α (x) = κθβ(x) + l ln c 1+d 1 e b 1x c 1 +d 1 µβ(x) 1 µβ(x), β (x) = κβ(x) + 1 2 σ2 β 2 (x) 1, b 1 = κ 2 + 2σ 2, c 1 = κ+ κ 2 +2σ 2 2, d 1 = κ κ 2 +2σ 2 2, a 2 = d1 c 1, b 2 = b 1, c 2 = 1 µ c 1, d 2 = d 1+µ c 1, + κθ c 1 x + l(a 2c 2 d 2 ) b 2 c 2 d 2 ln c 2+d 2 e b2x c 2 +d 2 + ( l c 2 ) l x, Duffie and Garleânu[4] 1 X κ, θ X, σ, µ, l X Y κ, θ Y, σ, µ, l Y X Y X + Y κ, θ, σ, µ, l θ = θ X + θ Y l = l X + l Y 1 2.3 1 X C(i,j) X C(i) X C X G X C(i,j) (κ, θ XC(i,j), σ, µ, l XC(i,j) ) X C (i) (κ, θ XC(i), σ, µ, l XC (i)) X C (κ, θ XC, σ, µ, l XC ) X G (κ, θ XG, σ, µ, l XG ) X C(i,j) X C(i) X C X G (i = 1, 2,, n, j = 1, 2,, m, C = 1, 2,, l ) λ C(i,j) = X C(i,j) + X C(i) + X C + X G (κ, θ C(i,j), σ, µ, l C(i,j) ) 7

X C(i,j) X C(i) X C X G 4 1 2 3 4 4 X C(i,j) X C(i) X C X G X C(i,j) C i j 1 X C(i) C i 2 X C C 3 X G 4 ρ C(i,j) = l X G, l C(i,j) (10) ρ C(i,j) = l X C, l C(i,j) (11) ρ C(i,j) = l X C(i) l C(i,j), (12) ρ C(i,j) = l X C(i,j) l C(i,j), (13) E Q t (10) (13) 4 4 4 t t + s(s > 0) [ ( t+x )] exp λ C(i,j) (u)du = exp[α(x) + β XC(i,j) (x)x C(i,j) (t) + β XC(i) (x)x C(i) (t) + β XC (x)x C (t) + β XG (x)x G (t)], t α(x) = α XC(i,j) (x) + α XC(i) (x) + α XC (x) + α XG (x). f (t, x) = exp { α(x t) + β C(i,j) (x t)c i,j (t) + β C(i) (x t)x C(i) (t) + β C (x t)x C (t) + β G (x t)x G (t) } [ ] α (x t) + β C(i,j) (x t)x i,j(t) + β C(i) (x t)x C(i)(t) + β C(x t)x C (t) + β G(x t)x G (t), α (x) = α C(i,j) (x) + α C(i) (x) + α C(x) + α G(x), 8

2.4 [13] CDO t(t = 0, 1,, N) F S (t) F M (t) F E (t) C S C M t L(t) t Loss S (t) Loss M (t) Loss E (t) (i, j) CDO CDS S i,j (i = 1, 2,, m.j = 1, 2,, n) r (i, j) τ i,j (τ i,j > 0) t + 1 CDO spr(t + 1) m n spr(t + 1) = S i,j I {τi,j >t} + (e r 1)(F S (t) + F M (t) + F E (t)) (F S (t)c S + F M (t)c M ), i=1 j=1 Loss E (t+1) Loss E (t + 1) = min {F E (t) + spr(t + 1), L(t + 1)}, t + 1 F E (t + 1) = F E (t) + spr(t + 1) Loss E (t + 1), Loss M (t + 1) = min {F M (t), max {0, L(t + 1) F E (t) spr(t + 1)}}, t+1 F M (t + 1) = F M (t) Loss M (t + 1), 9

Loss S (t + 1) = min {F S (t), max {0, L(t + 1) F E (t) F M (t) spr(t + 1)}}, t + 1 F S (t + 1) = F S (t) Loss S (t + 1), 2.5 CDO CDO CDO (7) i, j λ i,j 4 λ C(i,j) (t) = X C(i,j) + X C (i) + X C + X G, (14) X C(i,j) (t) = X C(i,j) (t t) + κ(θ XC(i,j) X C(i,j) (t t)) t + σ X C(i,j) (t t)ε XC(i,j) t + JXC(i,j) (t), X C(i) (t) = X C(i) (t t) + κ(θ XC(i) X C(i) (t t)) t + σ X C(i) (t t)ε XC(i) t + JXC(i) (t), X C (t) = X C (t t) + κ(θ C X C (t t)) t + σ X C (t t)ε C t + JC (t). X G (t) = X G (t t) + κ(θ G X G (t t)) t + σ X G (t t)ε G t + JG (t). (15) ε XC(i,j) ε XC(i) ε C ε G N(0, 1) J XC(i,j) J XC(i) J C J G J k (t) = { m k l k t 0 1 l k t. m k µ (k = X C(i,j), X C(i), C, G) (15) (14) C(i, j) t t + t (15) CDO 4 4 2 X C(i,j), X C(i) 2 10

3 CDO 3.1 3.2 3.3 2 3.1 CDS CDO 1 4 Quick 19 72 CDS CDS CDS 3 CDS Quick 2006 9 20 2009 12 9 3 5 r 1 L Rating and Investment Information, Inc [12] L = 0.95 CDS T 1 360 T = 1800 2 5 R I A ( 5405) R I AA Rating and Investment Information,Inc [12] 0.07 0.2 R I 72 2 2 2006 9 20 2009 12 9 2006 9 20 2007 12 9 2007 12 10 2009 12 9 3 2007 CDS 2 2006 9 20 2009 12 9 CDS 2 2006 9 20 2007 CDS 2009 CDS 3 CDS 2006 9 20 2007 12 9 2007 12 10 2009 12 9 2006 9 20 2009 12 9 3 3 B 5 1 2 11

2: 2006 9 20 2009 12 9 CDS ( :bbs) 1 1 1 t p [0, p] Nelsen[11] Li[8] CDO 2.4 1 MATLAB CDO 1 10 0.1 20 0,2 70 0,7 4 1.5 L 95 r 1 CDO 72 CDS 2009 12 9 CDO 5 CDO 3.2 (15) CDO 12

(10) ρ C(i,j) ρ C(i,j) (11) 3 CDS (2006 9 20 2007 12 9 ) CDS (2007 12 10 2009 12 9 ) 3 4 5 72 (11) (12) (13) 3 ρ C(i,j) ρ C(i,j) 3 ρ C(i,j) ρ C(i,j) 19 1000 JAL 2010 1 19 ρ C(i,j) ρ C(i,j) 4 ρ C (i, j) 4 ρ C (i, j) 3 ρ C(i,j) ρ C (i, j) 5 5 ρ C(i,j) ρ C(i,j) 4 ANA ρ C(i,j) ρ C(i,j) JAL ρ 13

3: 14

4: 15

5: 16

3.3 CDO CDO CDO (2006 9 20 2009 12 9 ) (2007 12 10 2009 12 9 ) (2006 9 20 2007 12 9 ) CDS 2 1: (2007/12/10 2009/12/9) 100 99.88 0.40 99.89 68.60 21.22 CCC 10.09 0.36 1.46 B (2006/9/20 2009/12/9) 100.00 99.84 1.35 98.92 50.28 21.81 CCC 1.71 0.04 0.46 BB 2, (2007/12/10 2009/12/9) 100.00 97.20 8.57 84.40 19.16 16.03 CCC 0.00 0.00 0.00 AAA 0.00 0.00 0.00 0.00 0.00 0.00 AAA 0.00 0.00 0.00 AAA 1 (2007/12/10 2009/12/9) (2006/9/20 2009/12/9) 2 ( ), R I CDO 1 99.88 99.84 10 17

6: 6 6 10 10 10 1 68.60 50.28 20 6 BBB 0.36 0.04 1 1 6 6 7 8 70 30 7 8 30 2 1 18

7: (2006 9 20 2009 12 9 ) 8: (2007 12 10 2009 12 9 ) 19

10 9 9: 2 (2007 12 10 2009 12 9 ) 2 9 2 2 10 2 10 2 3.96 4.71 2 13.55 3.63 10 2 CDO 11 5 30 50 80 11 20

10: 2 (2007 12 10 2009 12 9 ) 11: (2007 12 10 2009 12 9 ) 21

8 40 40 20 40 12 12: ( 40 20 40 ) 2: ( 40 20 40 ) (2007/12/10 2009/12/9) 100.00 56.91 12.48 0.03 0.00 0.07 AA 0.00 0.00 0.00 AAA 12 2 12 22

AAA 4 CDS CDO CDO 4 4 4 CDO CDO CDO CDO [1] Cifuentes,A. and G. O Connor. The Bionomial Expanision Method Applied to CBO/CLO Analysis. Moody sinvestors Service, 1996. [2] Duffie, D., J. Pan, and K. Singleton. Transform Analysis and Asset Pricing for Affine Jump Diffusion. Econometrica, Vol.12, pp.1343-73, 2000. [3] Duffie, D. and K. Singleton. Modeling term Structures of Defaultable Bonds. Review of Financial Studies, 1999. [4] Duffie, D., N. Garleânu.Risk and Valuation of Collateralized Debt Obligations. Financial Analysts Journal, January-February, pp.41-59, 2001. [5] Duffie, D., R. Kan. A Yield Factor Model of Interest Rates.Mathematical Finance, Vol.6, pp.379-406, 1996. 23

[6] Finger, C. C.A Comparison of Stochastic Default Rate Models. Working Paper, The RiskMetrics Group, 2000. [7] George Chacko, Anders Sjoman, Hideto Motohashi, Vincent Dessain. Credit Derivative: A Primer on Credit Risk, Modeling, and Instruments,Wharton School Publishing, 2006.(,,,,,,2008.) [8] Li, D. X. On Default Correlation:A Copula Approach. The Journal of Fixed Income, Vol.9, pp.43-54, 2000. [9] R, C, Merton. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. Journal of Finance, Vol.29, pp.449-470, 1974. [10] Longstaff,Francis A. Arivind Rajan. An Empirical Analysis of the Pricing of Collateralized Debt Obligations. Journal of Finance,2007. [11] Nelsen, R. B. An Introduction to Copulas, Springer, New York, 1999. [12] Rating and Investment Information, Inc. R I Tranche Pad Version 1.0 Technical Document.R I, 2007. [13],. -ABS CDO., 2009 3 5. A 3: (2009 6 19 : : http : //www.r i.co.jp/jpn/news t opics/detail/200906/j09 a 066a.pdf) 1 2 3 4 5 6 7 8 9 10 AAA 0.00 0.00 0.00 0.00 0.00 0.15 0.29 0.29 0.29 0.29 AA 0.00 0.00 0.00 0.00 0.05 0.10 0.16 0.33 0.52 0.71 A 0.07 0.17 0.28 0.43 0.58 0.73 0.98 1.27 1.53 1.78 BBB 0.09 0.30 0.52 0.75 1.06 1.36 1.66 1.88 2.19 2.48 BB 1.95 3.38 4.95 6.09 6.92 7.89 9.30 10.80 11.99 13.15 B 8.70 14.04 18.46 20.47 23.09 24.71 27.05 28.28 29.56 30.88 4: 72 (R I 2009 12 31 : ) AAA AA A BBB B 1 24 37 9 1 24

5: R I 72 (2009 12 31 ) A A BBB A A AA A AA A AA A A AA A A A A A AA A NEC A A A A AA A AA A AA NTT AA BBB KDDI A A NTT A AA A AA A JR AA JT A BBB AA BBB AA BBB AA AA A A A AAA A BBB A A A BBB AA A BBB AA ANA BBB JFE AA JAL CCC AA A A A AA A A A 25

B 6: (r = 0.01 L = 0.95 T = 1800) :2006 9 20 2009 12 9 σ µ κ l C θ C RSME 4.560E-06 1.081E-05 4.560E-06 1.081E-05 1.081E-05 1.236E-04 7: (r = 0.01 L = 0.95 T = 1800) :2006 9 20 2009 12 9 θ C(i) l C(i) 4.700E-05 4.700E-05 2.723E-05 2.723E-05 2.943E-05 2.943E-05 2.739E-05 2.739E-05 1.297E-05 1.297E-05 2.911E-05 2.911E-05 2.699E-05 2.699E-05 3.183E-05 3.183E-05 1.395E-05 1.395E-05 2.979E-05 2.979E-05 1.371E-05 1.371E-05 2.687E-05 2.687E-05 3.026E-05 3.026E-05 6.498E-05 6.498E-05 1.163E-05 1.163E-05 1.324E-05 1.324E-05 1.229E-05 1.229E-05 2.709E-05 2.709E-05 2.874E-05 2.874E-05 26

8: (r = 0.01 L = 0.95 T = 1800) :2006 9 20 2009 12 9 l C(i,j) θ C(i,j) 1.755E-06 1.755E-06 2.604E-06 2.604E-06 2.207E-06 2.207E-06 2.468E-06 2.468E-06 2.238E-06 2.238E-06 JT 2.593E-06 2.593E-06 2.168E-06 2.168E-06 1.767E-06 1.767E-06 2.386E-06 2.386E-06 1.942E-06 1.942E-06 1.844E-06 1.844E-06 2.056E-06 2.056E-06 1.917E-06 1.917E-06 2.014E-06 2.014E-06 1.823E-06 1.823E-06 1.849E-06 1.849E-06 2.517E-06 2.517E-06 1.921E-06 1.921E-06 2.707E-06 2.707E-06 1.939E-06 1.939E-06 2.640E-06 2.640E-06 2.060E-06 2.060E-06 2.436E-06 2.436E-06 2.290E-06 2.290E-06 1.903E-06 1.903E-06 1.824E-06 1.824E-06 1.927E-06 1.927E-06 2.642E-06 2.642E-06 2.141E-06 2.141E-06 1.898E-06 1.898E-06 1.905E-06 1.905E-06 2.087E-06 2.087E-06 2.555E-06 2.555E-06 1.857E-06 1.857E-06 3.210E-06 3.210E-06 7.768E-06 7.768E-06 2.458E-06 2.458E-06 4.426E-06 4.426E-06 NEC 2.716E-06 2.716E-06 4.203E-06 4.203E-06 2.548E-06 2.548E-06 5.572E-06 5.572E-06 2.443E-06 2.443E-06 1.843E-06 1.843E-06 2.505E-06 2.505E-06 1.789E-06 1.789E-06 2.533E-06 2.533E-06 3.021E-06 3.021E-06 2.994E-06 2.994E-06 4.118E-06 4.118E-06 2.499E-06 2.499E-06 JFE 4.185E-06 4.185E-06 2.426E-06 2.426E-06 4.583E-06 4.583E-06 2.444E-06 2.444E-06 4.913E-06 4.913E-06 2.525E-06 2.525E-06 ANA 1.514E-06 1.514E-06 2.500E-06 2.500E-06 JAL 1.449E-05 1.449E-05 2.751E-06 2.751E-06 6.283E-06 6.283E-06 1.970E-06 1.970E-06 6.332E-06 6.332E-06 2.067E-06 2.067E-06 6.974E-06 6.974E-06 NTT 2.506E-06 2.506E-06 7.441E-06 7.441E-06 KDDI 2.591E-06 2.591E-06 4.255E-06 4.255E-06 NTT 2.505E-06 2.505E-06 4.718E-06 4.718E-06 27

9: (r = 0.01 L = 0.95 T = 1800) 2006 9 20 2007 12 9 σ µ κ l C θ C RSME 0.000002 3.304E-06 2.000E-06 3.304E-06 3.304E-06 5.999E-5 10: (r = 0.01 L = 0.95 T = 1800) 2006 9 20 2007 12 9 θ C(i) l C(i) 1.450E-05 1.450E-05 1.334E-05 1.334E-05 1.358E-05 1.358E-05 1.298E-05 1.298E-05 1.289E-05 1.289E-05 1.319E-05 1.319E-05 1.314E-05 1.314E-05 1.320E-05 1.320E-05 1.340E-05 1.340E-05 1.341E-05 1.341E-05 1.314E-05 1.314E-05 1.319E-05 1.319E-05 1.350E-05 1.350E-05 2.068E-05 2.068E-05 1.283E-05 1.283E-05 1.294E-05 1.294E-05 1.291E-05 1.291E-05 1.295E-05 1.295E-05 1.366E-05 1.366E-05 28

11: (r = 0.01 L = 0.95 T = 1800) 2006 9 20 2007 12 9 l C(i,j) θ C(i,j) 9.290E-06 9.290E-06 8.555E-06 8.555E-06 9.330E-06 9.330E-06 8.511E-06 8.511E-06 8.956E-06 8.956E-06 JT 8.727E-06 8.727E-06 9.119E-06 9.119E-06 8.290E-06 8.290E-06 9.354E-06 9.354E-06 8.958E-06 8.958E-06 8.627E-06 8.627E-06 8.991E-06 8.991E-06 8.694E-06 8.694E-06 8.920E-06 8.920E-06 8.543E-06 8.543E-06 8.408E-06 8.408E-06 8.546E-06 8.546E-06 8.600E-06 8.600E-06 8.700E-06 8.700E-06 8.641E-06 8.641E-06 8.585E-06 8.585E-06 8.643E-06 8.643E-06 8.534E-06 8.534E-06 8.858E-06 8.858E-06 8.617E-06 8.617E-06 8.357E-06 8.357E-06 8.623E-06 8.623E-06 9.110E-06 9.110E-06 8.914E-06 8.914E-06 8.586E-06 8.586E-06 8.617E-06 8.617E-06 8.828E-06 8.828E-06 8.638E-06 8.638E-06 8.555E-06 8.555E-06 8.968E-06 8.968E-06 8.876E-06 8.876E-06 8.491E-06 8.491E-06 8.634E-06 8.634E-06 NEC 8.872E-06 8.872E-06 8.615E-06 8.615E-06 8.717E-06 8.717E-06 8.730E-06 8.730E-06 8.344E-06 8.344E-06 8.545E-06 8.545E-06 8.417E-06 8.417E-06 8.432E-06 8.432E-06 8.648E-06 8.648E-06 9.427E-06 9.427E-06 1.160E-05 1.160E-05 8.665E-06 8.665E-06 8.518E-06 8.518E-06 JFE 8.689E-06 8.689E-06 8.334E-06 8.334E-06 8.743E-06 8.743E-06 8.399E-06 8.399E-06 8.745E-06 8.745E-06 8.732E-06 8.732E-06 ANA 7.420E-06 7.420E-06 8.637E-06 8.637E-06 JAL 1.607E-05 1.607E-05 8.708E-06 8.708E-06 8.557E-06 8.557E-06 8.660E-06 8.660E-06 8.550E-06 8.550E-06 9.010E-06 9.010E-06 8.639E-06 8.639E-06 NTT 8.520E-06 8.520E-06 8.703E-06 8.703E-06 KDDI 8.660E-06 8.660E-06 8.528E-06 8.528E-06 NTT 8.510E-06 8.510E-06 8.707E-06 8.707E-06 29

12: (r = 0.01 L = 0.95 T = 1800) 2007 12 10 2009 12 9 σ µ κ l C θ C RSME 9.999E-06 1.793E-05 9.999E-06 1.793E-05 1.793E-05 1.094E-04 13: (r = 0.01 L = 0.95 T = 1800) 2007 12 10 2009 12 9 θ C(i) l C(i) 4.367E-05 4.367E-05 1.102E-05 1.102E-05 1.329E-05 1.329E-05 1.136E-05 1.136E-05 9.920E-06 9.920E-06 1.314E-05 1.314E-05 1.087E-05 1.087E-05 1.644E-05 1.644E-05 1.050E-05 1.050E-05 1.381E-05 1.381E-05 1.042E-05 1.042E-05 1.072E-05 1.072E-05 1.430E-05 1.430E-05 5.791E-05 5.791E-05 8.847E-06 8.847E-06 1.012E-05 1.012E-05 9.353E-06 9.353E-06 1.106E-05 1.106E-05 9.880E-06 9.880E-06 30

14: (r = 0.01 L = 0.95 T = 1800) 2007 12 10 2009 12 9 l C(i,j) θ C(i,j) 3.328E-05 3.305E-05 1.866E-05 2.208E-05 5.388E-05 5.321E-05 1.000E-05 1.000E-05 5.514E-05 5.444E-05 JT 1.702E-05 1.980E-05 3.738E-05 4.655E-05 1.000E-05 1.000E-05 4.169E-05 5.464E-05 2.611E-05 3.255E-05 2.359E-05 2.550E-05 2.317E-05 2.853E-05 2.952E-05 3.335E-05 2.087E-05 2.529E-05 2.115E-05 2.256E-05 1.129E-05 1.181E-05 1.204E-05 1.286E-05 1.629E-05 1.886E-05 1.666E-05 1.933E-05 1.736E-05 2.036E-05 1.523E-05 1.733E-05 2.472E-05 3.073E-05 1.000E-05 1.000E-05 3.673E-05 4.537E-05 1.412E-05 1.579E-05 2.407E-05 2.609E-05 1.571E-05 1.803E-05 4.069E-05 5.281E-05 2.774E-05 3.494E-05 2.785E-05 3.101E-05 1.429E-05 1.603E-05 3.326E-05 3.923E-05 2.534E-05 2.769E-05 2.568E-05 2.812E-05 3.786E-05 4.772E-05 4.442E-05 5.786E-05 1.866E-05 1.965E-05 3.246E-05 3.728E-05 NEC 3.051E-05 3.489E-05 3.081E-05 3.482E-05 2.465E-05 2.682E-05 3.788E-05 4.631E-05 1.809E-05 1.899E-05 2.570E-05 2.813E-05 2.322E-05 2.504E-05 2.186E-05 2.339E-05 2.405E-05 2.606E-05 4.445E-05 5.865E-05 3.207E-05 3.737E-05 1.414E-05 1.582E-05 2.226E-05 2.388E-05 JFE 1.483E-05 1.679E-05 1.598E-05 1.660E-05 1.893E-05 2.255E-05 1.776E-05 1.861E-05 2.216E-05 2.708E-05 1.409E-05 1.574E-05 ANA 6.980E-06 6.987E-06 1.336E-05 1.471E-05 JAL 7.642E-05 6.275E-05 2.208E-05 2.695E-05 1.232E-05 1.326E-05 3.313E-05 3.882E-05 1.271E-05 1.380E-05 3.575E-05 4.333E-05 1.700E-05 1.981E-05 NTT 8.070E-06 8.070E-06 1.988E-05 2.385E-05 KDDI 2.174E-05 2.174E-05 1.642E-05 1.903E-05 NTT 8.072E-06 8.072E-06 2.073E-05 2.510E-05 31

15: 2 (r = 0.01 L = 0.95 T = 1800) 2007 12 10 2009 12 9 sigma mu kappa l2 theta2 RSME 1.200.E-05 3.750.E-05 1.200.E-05 3.750.E-05 3.750.E-05 1.185.E-04 1.000.E-05 1.940.E-05 1.000.E-05 1.940.E-05 1.940.E-05 1.118.E-04 1.000.E-05 1.070.E-05 1.000.E-05 1.070.E-05 1.070.E-05 1.411.E-04 1.000.E-05 1.340.E-05 1.000.E-05 1.340.E-05 1.340.E-05 1.356.E-04 1.000.E-05 1.240.E-05 1.000.E-05 1.240.E-05 1.240.E-05 1.376.E-04 1.000.E-05 1.210.E-05 1.000.E-05 1.210.E-05 1.210.E-05 1.380.E-04 1.000.E-05 2.160.E-05 1.000.E-05 2.160.E-05 2.160.E-05 1.018.E-04 1.820.E-05 1.000.E-05 1.820.E-05 1.000.E-05 1.000.E-05 1.449.E-04 1.320.E-05 1.000.E-05 1.320.E-05 1.000.E-05 1.000.E-05 1.436.E-04 1.000.E-05 1.060.E-05 1.000.E-05 1.060.E-05 1.060.E-05 1.409.E-04 1.000.E-05 1.380.E-05 1.000.E-05 1.380.E-05 1.380.E-05 1.340.E-04 1.000.E-05 1.470.E-05 1.000.E-05 1.470.E-05 1.470.E-05 1.333.E-04 1.000.E-05 1.910.E-05 1.000.E-05 1.910.E-05 1.910.E-05 1.097.E-04 9.998.E-06 2.587.E-05 9.998.E-06 2.587.E-05 2.587.E-05 1.041.E-04 9.999.E-06 2.057.E-05 9.999.E-06 2.057.E-05 2.057.E-05 1.090.E-04 1.000.E-05 1.301.E-05 1.000.E-05 1.301.E-05 1.301.E-05 1.363.E-04 1.181.E-05 4.447.E-05 1.181.E-05 4.448.E-05 4.449.E-05 1.515.E-04 1.000.E-05 1.128.E-05 1.000.E-05 1.128.E-05 1.128.E-05 1.397.E-04 1.000.E-05 1.394.E-05 1.000.E-05 1.394.E-05 1.394.E-05 1.347.E-04 32

16: 2 (r = 0.01 L = 0.95 T = 1800) 2007 12 10 2009 12 9 l C(i,j) θ C(i,j) 2.331E-04 2.331E-04 1.215E-05 1.215E-05 1.281E-04 1.281E-04 1.052E-05 1.052E-05 1.249E-04 1.249E-04 JT 1.202E-05 1.202E-05 4.961E-06 4.961E-06 1.015E-05 1.015E-05 7.161E-06 7.161E-06 1.366E-05 1.366E-05 2.282E-06 2.282E-06 1.245E-05 1.245E-05 2.806E-06 2.806E-06 1.184E-05 1.184E-05 2.145E-06 2.145E-06 9.455E-06 9.455E-06 1.106E-05 1.106E-05 1.016E-05 1.016E-05 1.295E-05 1.295E-05 1.040E-05 1.040E-05 1.229E-05 1.229E-05 1.205E-05 1.205E-05 1.025E-05 1.025E-05 4.716E-06 4.716E-06 1.028E-05 1.028E-05 2.288E-06 2.288E-06 1.064E-05 1.064E-05 6.669E-06 6.669E-06 1.384E-05 1.384E-05 2.641E-06 2.641E-06 1.032E-05 1.032E-05 3.610E-06 3.610E-06 1.118E-05 1.118E-05 2.443E-06 2.443E-06 1.682E-05 1.682E-05 3.992E-06 3.992E-06 1.030E-05 1.030E-05 1.707E-06 1.707E-06 NEC 1.262E-05 1.262E-05 1.574E-06 1.574E-06 1.112E-05 1.112E-05 2.435E-06 2.435E-06 1.017E-05 1.017E-05 2.143E-06 2.143E-06 1.073E-05 1.073E-05 1.931E-06 1.931E-06 1.098E-05 1.098E-05 7.541E-06 7.541E-06 1.503E-05 1.503E-05 1.049E-05 1.049E-05 1.067E-05 1.067E-05 JFE 1.066E-05 1.066E-05 1.001E-05 1.001E-05 1.166E-05 1.166E-05 1.017E-05 1.017E-05 1.247E-05 1.247E-05 1.088E-05 1.088E-05 ANA 6.131E-07 6.131E-07 1.065E-05 1.065E-05 JAL 6.986E-06 6.986E-06 1.292E-05 1.292E-05 1.069E-05 1.069E-05 2.738E-06 2.738E-06 1.078E-05 1.078E-05 3.396E-06 3.396E-06 1.194E-05 1.194E-05 NTT 1.057E-05 1.057E-05 1.278E-05 1.278E-05 KDDI 1.170E-05 1.170E-05 1.048E-05 1.048E-05 NTT 1.056E-05 1.056E-05 1.155E-05 1.155E-05 33