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88 X RW% RW% RW5% RW% RW RW X MR VaR( days;99%) MR /. 8 + RW X E 8% MR /.8 E + RW X.8 CDS Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 6
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Earnngs at Rsk Value at Rsk Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved.
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S(t) c t S ( t ) N ( t ) X U (t) c t X 3 S(t) u X X T t T T 3 Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 3
Cramer-Lundberg model t < +,t N( t) sup n ; T Y k Tk Tk d E[ Y k ] λ Posson process S( t) X N( t) S ( t) S(t) N(t) ( X ) k k E [ X ] µ, N k V [ ] σ < + T T ( X k ), ( Y k ) N ( t) U (t) U ( t ) u + c t S ( t ) u c { t} n X k G ( x) Pr ob t [ S( t) x] n e λ t ( λ t) n! n F n* ( x) c u Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 4
Cash n-flowcash out-flow Cash net-flow Rsk Adjusted Performance Measurement Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 5
GAP GAP Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 6
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A N (t) A() A O (t) t L() L N (t) t L O (t) E() E(t) t GAP( t) ( A ( t) L ( t) E()) O O ( GAP( t dt) R ( t) P( t) Q( t) r ) Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 8
FTSFund Transfer System 3.% +.%.7%.3% +.3% Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 9
Expected Loss Unexpected Loss Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved.
W Loan () W dw Loan Loan ( T ) W N ( t) X π dt C Loan dt X Loan N N ( θ ) dn ( t) X X π ( ) + T d W Loan ( t ) X () (t) N C Loan θ N ( t ) jump process ( t ) N default not default untl t untl t default t P [ d N ( t ) N ( t + dt ) N ( t ) N ( t ) ] λ dt () t P [ N ( t ) N ( ) ] e λ t λ t (3) P [ N ( t ) N ( ) ] e λ t λ t Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved.
Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. (4) (5) (6) ()] [ ) ( ( )] () [ N Loan N Loan Loan N E X C X W W E θ π λ θ π N Loan N X X c X ) ( )) ( ( ( ) ) ( ) ( ( λ θ π N Loan X c X Loan X c X Γ > ρ λ θ π ) ) ( ) ( ( Γ ρ Loan X X c Γ + + > ρ λ θ π ) ( ) ( N Loan Loan X X c C ) ( N X N L () ) ( θ N X L E EL ) ( ] [ λ θ + N N Loan Loan Loan N X dt C X W W () ) ( ) ( () () θ π
W Loan () V [ W Loan () W Loan ()] N N X N X N ( θ ) V [ N ()] ( θ ) λ ( λ ) N X ( θ ) λ ( λ ) (7) X N UL φ V [ L ] φ ( θ ) λ ( λ ) < W Loan φ () (8) N mn N mn > φ X W Loan ( ) ( θ ) λ ( λ ) (9) Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 3
M max X M M + + max + M max + + max + () X X N () M max X M max > φ X W Loan ( ) ( θ ) λ ( λ ) () M max < W Loan ( ) X φ ( θ ) λ ( λ ) (3) W Loan () Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 4
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Earnngs at Rsk Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 7
W ALM () W ALM ( T ) W ALM ( ) + T d W ALM dw ALM ( t ) A( t ) p ( t ) dt L ( t ) q ( t ) dt C ALM dt ( gap ( s, t s) dr ( s) ) dt ( t ) t (4) A (t) [ t, t + dt] p ( ) A (t ) t L(t) [ t, t + dt] q ( t) L (t ) C ALM gap( s, τ) d r ( s ) [ s, s + ds] τ GAP GAP s t dr ( s ) gap ( s, t s) Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 8
t W () W () + ( A( t) p ( t) L( t) q ( t) C ) dt + ( gap ( t s) dr ( s)) dt ALM ALM ALM (5) GAP gap( s, t s) gap( t s) (6) ( ) ( s dr s µ ds + σ dz ) dz ( s) N(, dt) (7) E[ W ALM () W ALM ()] t ( A( t) p ( t) L( t) q ( t) C ALM ) dt + ( gap ( t s) E[ dr ( s)]) dt ( A( t ) p ( t ) L ( t ) q ( t ) C ALM ) dt + ( gap ( t s) µ ds ) dt t > ρ W ALM () (8) C ρ () ALM W ALM Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 9
t V [ W () W ()] E[( ( gap ( t s) σ dz ( s)) dt ) ] t dt gap ( t s) σ dz ( s) t EaR φ V [ W () W ()] φ E[( ( gap ( t s) σ M ALM ALM φ φ φ φ gap ( t s ) M dz ( s) gap ( t s) σ dt () () s ALM ALM E[( dz ( s) gap ( t s) σ ds ( gap ( t s) σ s s dt ) ds ( gap ( t s) σ dt ) ds M s σ ( s) 3 ALM W φ σ dt ) φ M 3 ] σ ( s) (9) φ M σ 3 () d Z ( s)) dt ) 3 W ALM () ] s () t Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 3
ALM A ( t), L( t) p t), q ( ) ( t dr ( s ) GAP GAP ALM Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 3
V 4 4 + + r() ( + r()) V r( ), r(),, r( t), 4 + ( + r(3)) 3 4 + ( + r(4)) 4 4 + ( + r(5)) 5 4 4 4 4 4 Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 3
V() V() V()V() V() V() V()V() V() V() Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 33
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W Trade () T W ( T ) W ( ) + d W ( t ) Trade d W Trade K ( t ) k Trade k ( t ) d x k Trade ( t ) C Trade dt (3) (t ) [ t, t + dt] k x ( t ) [ t, t + dt] d k C Trade d x ( t ) µ ( t ) dt + σ d Z ( t ) k k k k W Trade (t) W Trade () dw Trade (t) W Trade () t Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 35
K W ( ) W ( ) ( t ) d x Trade Trade k k k ( t ) C Trade (4) E [ W Trade () W Trade ( )] K k k ( t ) E [ d x k ( t )] C Trade K k k ( t ) µ ( t ) dt C Trade > ρ W Trade () (5) E [ W () W ( )] C < Trade Trade E [ d x ( t )] Trade k (6) ρ W Trade () C Trade Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 36
dw Trade ( t) dz ( t) dz ( t),, dz ( ) ( ) K t d W Trade ( t ) N ( k r r ( t ) µ ( t ) dt, ( t ) Σ dt ( t )) Σ dt dz ( t ) r r (t) (t ) K k k (7) W Trade ( ) ( t ) Σ ( t ) dt dt φ (8) W Trade () Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 37
W Trade () W Trade (t) W Trade () Loss Cut Rule (t) G W Trade (t) H H G t W Trade ( t) WTrade () G τ(g) (9) d W Trade ( t ) H σ d Z ( t ) dz ( t) N (, dt ) (3) G G Pr[ τ ( G) > t] Φ Φ σ H t σ H t t G G G Pr[ τ ( G) > ] Φ + Φ Φ σ H t σ H t σ H t (3) Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 38
VaR M k t) + + K ( t) M ( ( t ) k M k Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 39
Rsk Adjusted Performance measurement dw Trade ( t) W Trade () W Loan () dw dw Loan ALM ( t) ( t) W ALM () dw Fee (t) Copyrght 7 Mzuho-DL Fnancal Technology Co., Ltd. All rghts reserved. 4
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