Transcription of 信用リスク管理の基礎 - ffr-plus.jp
1 1.. 2.. 3.. 4.. 2006 12 1 . CRD .. credit standing .. 5.. PD .. PD .. PD . PD .. PD.. 6. PD .. Z a0 + a1X1 + a2X2 + + aNXN. X . PD .. PD /(1+exp(-Z)). PDi i .. Z . Zi i 7.. PD .. PD X .. X.. PD .. PD /(1+exp(-Z)). Z X .. Z 8.. L .. i i i D Exposure at Default . LGD Loss Given Default .. LGD . EAD .. 9.. Probability of Default .. 1000 1 5 .. D Exposure at Default .. LGD Loss Given Default .. 10.. 11.. 10. 100 .. 1 C 2 C 10 . 3 C 4 B .. 5 B 1 . 6 A 7 B 10. 100 1 10 1 2 1 . 8 B 10. 9 A 10 . 10 A 100. 12.. 1.. 0 1. Excel . Rand . 1 . 13.. 1 2 3 4 5 6 7 8 9 10. 10 10 10 100. 1 2 3 4 5 6 7 8 9 10. 1 2 3 4 5 .. 1 2 3 4 5 6 7 8 9 10 . 1 2 3 4 5 .. 14.. 0 10 20 30 40 50 . 60 70 80 90 100 110 120 130 0 20 40 60 80 100 120 140. 130 . 15. VaR . VaR .. VaR . PD EAD LGD . PD .. PD . 16. PD .. Z a0 + a1X1 + a2X2 + + aNXN. X . PD .. PD /(1+exp(-Z)). PDi . Z . PD i Li EL VaR. Zi = EAD LGD i i 1 C 2 C 3 C 4 B 5 B 6 A 7 B 10 8 B 10 0 20 40 60 80 100 120 140.
2 9 A 10. 17.. 10 A 100.. 18.. (.. (.. ). ).. 19.. EL .. 1 . EL Expected Loss VaR Value at Risk .. UL Unexpected Loss . UL VaR EL.. 0 20.. EL UL . EL UL .. UL .. EL.. 21.. 2008 . VAR . VAR .. VAR .. 22.. EL . RAROC Risk Adjusted Return On Capital UL . SVA Shareholders Value Added UL . 23.. ( / . UL .. VaR . VaR .. 24. 2007 . 25. 2007 . 26.. EL UL.. EL UL.. 27.. or .. 28.. EL UL VaR 29.. 30.. 31.. 32.. PD EAD LGD . EL UL .. 33.. 34.. (.. (.. ). ).. 35.. 36.)
