{"created":"2021-03-01T06:46:47.763120+00:00","id":40509,"links":{},"metadata":{"_buckets":{"deposit":"1dd1b375-3ed6-4dc5-9aee-1913d37dadc8"},"_deposit":{"id":"40509","owners":[],"pid":{"revision_id":0,"type":"depid","value":"40509"},"status":"published"},"_oai":{"id":"oai:teapot.lib.ocha.ac.jp:00040509","sets":["347:381:848"]},"item_11_biblio_info_8":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2013-10-31","bibliographicIssueDateType":"Issued"},"bibliographicPageEnd":"18","bibliographicPageStart":"1","bibliographicVolumeNumber":"20","bibliographic_titles":[{"bibliographic_title":"生活社会科学研究"}]}]},"item_11_description_17":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_11_description_46":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"subitem_description":"紀要論文","subitem_description_type":"Other"}]},"item_11_description_6":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"本稿では，金融危機の原因について，金融機関のリスク管理や当局の規制監督などのミクロ的な側面から考察する．まず，危機の引き金となった証券化商品について，リスク管理の問題点を検討する．想定外の損失は，主として銀行と投資銀行におけるAAA 格付の証券化商品の保有から生じている．損失の背景を検討し，証券化商品のリスク特性を適切に管理していなかった点などを明らかにする．証券化商品のリスクは，ストレス時に一気に顕在化するが，この性質は，高格付トランシェほど，再証券化を行うほど強まる．こうした性質は，外部格付，VaR によるリスク管理やCDS でのヘッジでは適切に対応できない．この点が，想定以上の損失に繋がった一因である．次に，リスク管理の問題が同時的に欧米の金融機関で生じた背景を規制監督面から検討する．バーゼルⅡ最終案の公表と，SEC による投資銀行の規制変更が04年に行われたが，この結果，証券化商品についてアービトラージの機会が広がり，証券化が急拡大した．新たな規制は，外部格付やVaR を基準としていたため，リスクの評価が現実のリスクと乖離していた．とくに組成が急増したAAA 格の再証券化商品は，こうした乖離が大きかった．監督については，まず実務的な検討により，監督者が技術的に対応できないほど高度なリスク管理の問題ではなかったことを明らかにする．そのうえで，監督がリスク管理の不備に対応できなかった背景として，規制が誤った管理手法にお墨付きを与えたことや，当時の政策を巡る考え方が市場機能への過信と監督機能への懐疑論を強めていたことなどが，監督的介入を困難にしていた事情を示す．以上を踏まえて，金融システム安定化に向けて考慮すべき留意点として，監督機能の重視，アービトラージへの留意，ミクロのインセンティブ構造の監視などを整理する．さらに，こうした観点に基づき，現在，議論されている金融システム改革案を検討する．","subitem_description_type":"Abstract"},{"subitem_description":"The paper discusses the cause of the financial crisis in terms of the micro aspects such as the risk management of financial institutions and the regulation and the supervision of the authorities. The paper focuses the risk management of securitization because it was one of the triggers of the crisis. The losses beyond the expectation of the risk management were mainly caused by AAA-rated tranches held by commercial and investment banks. The paper clarifies the risk property of the securitization was not properly managed. The risk of the securitization materializes suddenly and massively under stressed conditions(all or nothing risk profile). The higher it is rated and the more it is resecuritized, this property is stronger. The risk management based on external ratings and VaR, and the hedge by CDSs do not appropriately address this property. Then, the paper discusses reasons why the risk was mismanaged by the financial institutions in the US and Europe at the same time. In 2004, the Basel II was finalized and the SEC announced the relaxation of their capital regulation on top investment banks. Those new regulations made more arbitrage opportunity. After these relaxations, the securitization activities sky-rocketed without sufficient capital. Because these regulations are based on external ratings and VaR the risk assessment of these regulations diverged from the economic\\\nrisk profile. Especially, the divergence in AAA-rated resecuritized tranches was larger than others. On supervision, through practical review, the paper shows supervisors were able to follow technically the issues related to the risk management failures. Then, as the background of the malfunction of the supervision against risk management failures, it is discussed that the regulation gave misperception and the principles of the prudential policy was distorted by the\\\nover confidence on the market discipline and the skepticism of the supervision under the financial revolution. Based on the above discussion, the paper shows the implications to the financial stability, such as importance of the supervision, attention to the regulatory arbitrage, and monitoring micro incentive structures. In terms of these implications, the current proposals on the reform of the financial system are reviewed.","subitem_description_type":"Abstract"}]},"item_11_publisher_36":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"お茶の水女子大学生活社会科学研究会"}]},"item_11_select_19":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_select_item":"publisher"}]},"item_11_source_id_11":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN10459016","subitem_source_identifier_type":"NCID"}]},"item_11_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"13410385","subitem_source_identifier_type":"ISSN"}]},"item_11_text_18":{"attribute_name":"形態","attribute_value_mlt":[{"subitem_text_value":"591852 bytes"}]},"item_11_text_38":{"attribute_name":"別言語の出版者","attribute_value_mlt":[{"subitem_text_value":"Association of Social Sciences and Family Studies Ochanomizu University"}]},"item_11_text_47":{"attribute_name":"資源タイプ・ローカル","attribute_value_mlt":[{"subitem_text_value":"紀要論文"}]},"item_11_text_48":{"attribute_name":"資源タイプ・NII","attribute_value_mlt":[{"subitem_text_value":"Departmental Bulletin Paper"}]},"item_11_text_49":{"attribute_name":"資源タイプ・DCMI","attribute_value_mlt":[{"subitem_text_value":"text"}]},"item_11_text_50":{"attribute_name":"資源タイプ・ローカル表示コード","attribute_value_mlt":[{"subitem_text_value":"03"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"宮内, 篤"}],"nameIdentifiers":[{"nameIdentifier":"82432","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"MIYAUCHI, Atsushi","creatorNameLang":"en"}],"nameIdentifiers":[{"nameIdentifier":"82433","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2018-04-20"}],"displaytype":"detail","filename":"p.1-18.pdf","filesize":[{"value":"598.2 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"※本文は全文閲覧可能ですが印刷できません。","url":"https://teapot.lib.ocha.ac.jp/record/40509/files/p.1-18.pdf"},"version_id":"1a163b2d-b88f-436f-ac36-37ddca1f91e5"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"証券化商品のリスク管理と金融危機","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"証券化商品のリスク管理と金融危機"},{"subitem_title":"The Risk Management of Securitization and the Financial Crisis","subitem_title_language":"en"}]},"item_type_id":"11","owner":"1","path":["848"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-12-25"},"publish_date":"2013-12-25","publish_status":"0","recid":"40509","relation_version_is_last":true,"title":["証券化商品のリスク管理と金融危機"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-12T05:46:02.652112+00:00"}