3

00D8103005L 004 3

3

1... 1....1.......4..1...4.....5 3... 7 3.1...7 3....8 3.3...9 3.3.1...9 3.3.... 11 3.4...13 3.4.1...13 3.4....17 4... 4.1 NEEDS Financial QUEST... 4....5 4.3...30 4.4...31 4.5...34 5... 36 37 38 i

1 1980 1 000 15 001 1 00 003 1

.1 1 BCD 3 BBB.1.1 (ROE).1 0 00

.1 1 1 1 3

...1 7 1 3 4 5 6 7 (1)()(3)(7) 4

3.. [1] 5

6

3 3.1 3.1 3. 3.1 3. 3.1 7

3.1 3. T 3.3 B 0 T B T 0 E 0 = 0 = T 3.3 8

0 T 3.3 0T B 0T E 0T 3.3 T < B T 3.1 (3.1) Pr( < B ) T T 3.3 3.3.1 *1 * *3 [] *1 Z d dz 9

dz = ε d 3. ε dz * ds = µ Sd + σ SdZ 3.3 S d S d S µ S µ σ dz S ds S = µ d + σ dz 3.4 ds S µ d σ d *3= K T [ 0, T ] r C ( S, ) S C ( T ) ( S, ) SN( d ) Ke r N( d ) = 3.5 1 d d 1 ln = ( S K ) + ( r + σ )( T ) σ T ( S K ) + ( r σ )( T ) ln = = d1 σ σ T T N(x) 0 1 10

N(x) N( x) = 1 π x e y dy 3.6 N (x) 3.4 N(x) x N( ) = 0, N(0) = 1, N( ) = 1 N (x) ( 1 π ) e x x x i (a) (b) 3.4 3.4 (a) 0 1 x (b ( 1 ) e ) N(x) π 3.3. 0 T ( ) x i x d = µ d + σ dz 3.7 µ σ Z 3.3.1 T 1 T 0 T B ( ) 3.8 B B 0 11

T T < B T 3.5 T T 3.7 T {( µ σ ) T + dzt } = exp 3.9 0 σ 3.9 ln T ( µ σ ) T + dzt = ln + 3.10 0 σ T ln 0 + ( µ σ )T σ T N(x) 0 1 0 1 1 µ σ µ Z = σ Z 0 T Expeced Defaul Probabiliy EDP) EDP = Pr = Pr ln = 0 ( T < BT 0 ) ( ln T < ln BT ln 0 ) BT f ( ln ) d ln ln BT = N ln = 1 N T [ ln 0 + ( µ σ ) T ] σ T ( 0 BT ) + ( µ σ ) σ T T T 3.11 [3] f (x) N ( d ) 1

N( d ) 1 N( d ) 1 0 T µ B T B 0 0 T 3.5 3.4 3.4.1 3.3. (3.11) 0 BT µ σ T T 0 BT µ σ 1T T =1 T B T B T = B 0 = 13

3 0 0 0 0 S n E0 0 B 0 0 () = + 3.1 0 B0 + E0 = B0 ns0 4 µ r µ = r 5σ 0 T S ( ) ds = µ S d + σ S dz 3.13 S S µ S σ S n E E = ns 3.14 14

{ E } 0 T de = µ E d + σ E dz 3.15 E E µ E σ E σ E = σ S µ E = µ S T T T E T = max( B, 0) 3.16 T T B T T ( 0 T ) C (, C ) r( T ) (, ) N( x ) B e N( x ) = 3.17 1 T E x 1 ln = ( B ) + ( r + σ )( T ) T σ T x ( B ) + ( r σ )( T ) ln T = = x1 σ σ T T E E = C( ), 3.18 r C 15

( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) 1 1 1,,,,,, x N re B T x f C C T x f C C x N C C T r T = = = = = = σ σ 3.19 ( ) x f (3.7)(3.18)(*4) ( ) ( ) ( )( ) ( ) ( ) Z x N re r x N Z C C C C E d d d, d, 1 ), ( ), ( d 1 1 σ µ σ σ µ + + = + + + = 3.0 (3.15) ( ) E x N E σ σ 1 = 3.1 = 0 ( ) 0 1 0 x N E E σ σ = 3. σ *4 () x x ( ) ( ) Z x x x + =,, σ µ 3.3 0 ( ) ( ) Z x x x d, d, d σ µ + = 3.4 16

x () G = f ( x, ) G G G 1 G G dg = µ ( x, ) + + { σ ( x, ) } d + σ ( x, ) dz 3.5 x x x 3.. (3.) Hisorical Volailiy 0 n m = σ E 1 n 1 = n 1 n 1 Pi ln Pi i= 1 1 P i σ E n Pi ln Pi i= 1 1 3.6 m 50 001 1 0 40 60 80 17

3.63.8 0 0 40 60 80 3.93.1 3.93.1 60 18

3.6 3.7 3.8 19

3.9 0 3.10 40 0

3.11 60 3.1 80 1

4 4.1 NEEDS-Financial QUEST NEEDS-FinancialQUEST [] [] 30

[] [] [] [] 3

ISE50 ISE50 50 150 TOPI 4

4. 000 003 1 0 1 1998 4 00 1 4.1 4.1 000 003 000 00 3 000 00 4 000 5 00 4 000 5 00 5 000 7 00 7 000 9 00 8 000 11 00 10 001 1 003 3 001 9 003 6 001 1 003 10 00 1998 4 00 1 4.14.4 5

4.1 000 6

4. 001 7

4.3 00 8

4.4 003 000 00 17 1 15 1 15 1 003 4.4.4 4.5 4.5 9

60 4.3 4.6 4.6 30

4.4 TOPI TOPI1968 1 4 5 5 TOPI TOPI 4 4.7 TOPI TOPI () TOPI 31

4.7a TOPI () 3

4.7bTOPI () 33

4.5 3 10 1998 4 00 1 17 1 15 00 17 19.( 0.007) 00 1 15 1 15 3 1 510 00 1 5 15 9 4.8 4.9 34

4.10 35

5 1 36

37

[1] 1999 7 [] [] 00 [3] 3 38 1 85 000 1 [4] 35 10 1997 10 [5] 000 [6] 003 38

NEEDS-Financial QUEST [] 1964 4 000 9 1977 4 1995 4 1984 4 000 9 [] 1964 4 1984 4 3 6

1974 9 001 9 001 3 1983 9 001 9 001 3 1983 3 001 9 001 3 1999 3 000 9 1990 1 1994 1 1993 3 1990 11 1994 1 1993 9 000 9 1988 10 1994 1 1995 3 1996 3 1998 9 1998 9 1997 9 000 9 1990 1 1988 4 1997 9 1985 10

30 10 001 3 001 9 1977 4 1996 3 1989 1 1994 1 1997 1 00 6 1 3 003 3 00 9

[///] 1977 1 1986 9 1 [] 1998 9 1 [//] 1986 1 1986 9 1 [ //] PERPBR +-- 000 10 [] 1977 1 4 1986 9 1 [] 1977 1 [] 1997 1

[] 300 TORPS 1997 1 CB 1977 1 4 1998 8 7 199 1 6 TOPI S&P/TOPI150 300 50 TOPI 1988 9 3 300 1994 14 S&P/TOPI150 001 6 11 TOPI S&P/TOPI150 300 5 1989 6 1 1997 7 18 T-BOND 000 8 14 1985 10 19

1990 5 11 ISE50 300 500 1949 5 16 1985 3 5 1977 1 4 P/E EPS 36 1980 1 4 1980 1 ISE50 50 1988 7 4 1985 1993 1 4 PERPBR 000 10 50 1 1985 1 4 1993 1 4

150 1 1985 1 4 1993 1 4 3 1977 7 1 1977 1 4 1 1994 1 11 1 1994 1 11 1974 6 30