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
SBI https://www.sbisec.co.jp/ IT SBI http://www.sbisonpo.co.jp/ FX SBI https://www.netbk.co.jp/ SBI FX https://www.sbifxt.co.jp/
SBI http://biz-journal.jp/2013/10/post_3151.html http://www.sbicom.jp/kitao_diary/archives/201403188632.html
FICO IT 2490 FICOFICO 3 Equifax Experian TransUnion FICO FICO (Fair, Isaac & Co., Inc.) Fair Isaac Corporation (FICO) http://www.fairisaac.co.jp/solution/gfs/index.html 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
IT http://www.jicc.co.jp/ 33 TERA JACIN KEY IT CIC 43 5 5
CRIN CRIN (KSC) CIC CRIN CRIN: Credit Information Network 1987/03/20 JIC, CIC, KSC 1. 2. 1. 2. 3. 4. 3. 4. 5. 1. 2. 6. 1/2 JACIN (Japan Credit Information Network) 1500 50~60 5000 2070% JACIN 10ID ID KEY KEY JACIN (1/3) E E EiEzweb Yahoo! E ( 2/2 PRIS (Public Record Information System) (2/3) ( 1000 500 100 50 20 5 5
(3/3) 0, 1, 2, 3, 4, 5, 6, 7, 8, 9 0% 20% 40% 60% 80% 100% ~200 200~500 500~700 700~1000 1000~ 2008 1,137,099 535 () 2,126,348 185,453 1,607 118 1,489 1,606 CDATM CDATM 95,024 1,670 1,670 24 1,485 93,354 21.05% 0% 20% 40% 60% 80% 100% ~29 30~39 40~49 50~59 60~ 0% 20% 40% 60% 80% 100%
IT 14 12 10 8 6 4 2 0 2005 2006 2007 2008 2009 measurement management 3 14,000 12,000 10,000 8,000 6,000 4,000 2,000 0 2005 2006 2007 2008 2009
= (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)
NK225 (index) 0 5000 10000 15000 20000 25000 30000 35000 40000 45000 1984/1/4 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) -0.2-0.15-0.1-0.05 0 0.05 0.1 0.15 1984/1/4 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) 0 50 100 150 200 250 300-0.175-0.165-0.155-0.145-0.135-0.125-0.115-0.105-0.095-0.085-0.075-0.065-0.055-0.045-0.035-0.025-0.015-0.005 0.005 0.015 0.025 0.035 0.045 0.055 0.065 0.075 0.085 0.095 0.105 0.115 0.125 0.135 0.145 0.155 0.165 historical return FX JPY/USD ^2
2 X ~ N( µ, σ ) f ( x) dx = E[ X ] 2 1 1 µ exp x 2πσ 2 σ 2 Var[ X ] = σ α = p percentile p = α f ( x) dx 0.45 0.4 0.35 0.3 0.25 0.2 0.15 0.1 0.05 0-5 -4.5-4 -3.5-3 -2.5-2 -1.5-1 -0.5 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 VaR 1.1 1 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0-5 -4.5-4 -3.5-3 -2.5-2 -1.5-1 -0.5 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 VaR RiskMetrics 95% VaR 95% 5% r = - 10% A=$500,000 VaR=500,000(-0.10)=-50,000
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) 1. 100 2. 3. 95 percentile 4. VaR Monte Carlo VaR USA, GB, Japan, Hong Kong, Singapore, France, Deutsch,... 180 160 140 120 100 80 60 40 20 0 0 1 2 3 4 5 6 7 8 9 10 11 12
(settlement) A B (netting) Numerix http://www.numerix.com/ Simplex Technonogy http://www.simplex-tech.co.jp Algorithmics http://www.algorithmics.com Sungard Financial Systems http://www.sungard.com/financialsystems Numerical Technologies http://www.numtech.co.jp/ BARRA http://www.mscibarra.com/index.jsp 1 1 NO! 8800 IBM http://www-06.ibm.com/industries/jp/finance/ http://www.ns-sol.co.jp/ss/finance/index.html http://www.scs.co.jp/product/solution/industrial.html#finance NTT
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 1. 2. 3. 4. 5. http://www.standardpoor.com/japan/resources/rati ng_process.html
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
CreditMetrics 1. exposure 2. 1. 2. 3. 4. 3. 4. VaR CreditMetrics 95 10095 VaR VaR IT VaR VaR (Finite Difference Method) (Finite Element Method) CPU Seniority Class (%) (%) Senior Secured 53.80 26.86 Senior Unsecured 51.13 25.45 Senior Subordinated 38.52 23.81 Subordinated 32.74 20.18 Junior Subordinated 17.09 10.90 Source: Carty & Lieberman [96a] Moody's Investors Service VaR 1
IT Artificial Financial Market SimCity IT London Stock Exchange
YES/NO #01 100 8% NO 108 #02 100 8% NO 108 #03 100 8% NO 108 #04 100 8% NO 108 #05 100 8% NO 108 #06 100 8% NO 108 #07 100 8% NO 108 #08 100 8% NO 108 #09 100 8% NO 108 #10 100 8% NO 108 FICO #01 100 8% NO 108 #02 100 8% NO 108 #03 100 8% NO 108 #04 100 8% NO 108 #05 100 8% NO 108 #06 100 8% NO 108 #07 100 8% NO 108 #08 100 8% NO 108 #09 100 8% NO 108 #10 100 8% YES 0
: 100 NO 108 #01 8% 97.2 #02 100 8% NO 108 97.2 #03 100 8% NO 108 97.2 #04 100 8% NO 108 97.2 #01 100 20% NO 120 #02 100 20% NO 120 #03 100 20% NO 120 #04 100 20% NO 120 #05 100 8% NO 108 97.2 #06 100 8% NO 108 97.2 #07 100 8% NO 108 97.2 #08 100 8% NO 108 97.2 #09 100 8% NO 108 97.2 #10 100 8% YES 0 97.2 1000 972 972 #05 100 20% NO 120 #06 100 20% NO 120 #07 100 20% NO 120 #08 100 20% NO 120 #09 100 20% NO 120 #10 100 20% YES 0 1000 1080 (pass-through) #01 100 8% NO 108 #02 100 8% NO 108 #0001 #A #03 100 8% NO 108 #B #04 100 8% NO 108 #05 100 8% NO 108 #0002 #I #06 100 8% NO 108 #07 100 8% NO 108 #08 100 8% NO 108 #J #S #09 100 8% NO 108 #10 100 8% NO 108 #5000 #Z 1000 1080 (pass-through) #01 100 8% NO 108 #02 100 8% NO 108 #0001 #A #03 100 8% NO 108 #B #04 100 8% NO 108 #05 100 8% NO 108 #0002 #I #06 100 8% NO 108 #J #07 100 8% NO 108 #08 100 8% NO 108 #S #09 100 8% NO 108 #10 100 8% YES 0 #5000 #Z 1000 972
(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
CDS: Credit Default Swap Black=Scholes Quiz: 1 1. IT? 1. 2. 3. 4. 5. 6. 2.? 1. 2. 3. 4. 5. 3.? 1. TOEIC 2. FICO 3. 4. 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? 1. 2. 3. 4. 5. ips 6. 6.? 1. CreditMetrics 2. CreditRisk+ 3. KMV 4. CAPM 5. Black=Scholes IT