对外经济贸易大学硕士学位论文风险分析贝尔斯登事件及其启示姓名：申请学位级别：硕士专业：金融学指导教师：20080501
햪 튪 볓죫쫀쎳ퟩ횯뫳ꎬ컒맺뷰죚튵랢햹쯙뛈볓뿬ꎬ뷰죚쫐뎡뗄럧쿕풽살풽틽웰죋쏇뗄맘힢ꆣ뷰죚믺릹뺭펪맽돌훐폶떽뗄럧쿕늻뛏볓듳ꎬ럧쿕맜샭돉캪웤죕뎣뺭펪맜샭훐늻뿉뫶쫓뗄훘튪컊쳢ꆣ폈웤쫇퓚2007쓪3퓂쏀맺듎벶햮좯캣믺놬랢틔살ꎬ룷듳뷰죚믺릹퓢쫜쇋뻞듳뗄쯰쪧ꎬ짵훁폐킩믺릹틑ퟟ떽쇋웆닺믲놻쫕릺뗄뺳뗘ꎬ죧쏀맺탂쫀볍뷰죚릫쮾ꆢ놴뛻쮹뗇릫쮾ꆣ평폚컒맺쪵탐QDII늻뻃ꎬ뺳쓚뷰죚믺릹뺳췢춶뗄맦쒣폐쿞ꎬ쯹틔웤쫜듎듻캣믺뗄펰쿬뷏킡ꆣ떫쯦ퟅ컒맺뷰죚튵뗄짮죫랢햹ꎬ뺳쓚뷰죚믺릹붫풽살풽뛠뗘닎폫맺볊뷰죚믮뚯훐ꎬ헢뇘좻뛔헢킩뷰죚믺릹뗄럧쿕맜샭쳡돶룼룟뗄튪쟳ꆣ 놾컄쫔춼춨맽듓럧쿕맜샭뗄뷇뛈뛔놴뛻쮹뗇릫쮾뷸탐좫쏦럖컶ꎬퟜ뷡웤ퟟ쿲놻쫕릺뗄풭틲뫍뺭퇩ꎬ웚췻쓜뛔컒맺뷰죚믺릹뗄쿖폐럧쿕맜샭쫖뛎룄뷸듸살웴쪾ꆣ놾컄훷튪듓쫐뎡럧쿕ꆢ탅폃럧쿕뫍쇷뚯탔럧쿕돶랢ꎬ쫗쿈틔놴뛻쮹뗇릫쮾릫늼뗄닆컱놨뇭캪퇐뺿믹뒡ꎬ퓋폃뚨솿뫍뚨탔럖컶쿠뷡뫏뗄랽쪽듓ퟜ쳥짏뛔놴뛻쮹뗇릫쮾뺭펪맽돌쯹쏦쇙뗄럧쿕뷸탐럖컶ꎬ웤듎헒돶웤맦뇜럧쿕뗄쫖뛎ꎬퟮ뫳뷡뫏웤맜샭뗄킧맻뛔헢킩쫖뛎룸폨움볛ꎬ늢ퟮ훕뗃떽뛔컒맺뷰죚믺릹럧쿕맜샭뗄웴쪾ꆣ벴컒맺뷰죚믺릹뗄맜샭헟펦떱뛔럧쿕맜샭폐ퟣ릻뗄훘쫓ꎬ뛔뷰죚닺욷뗄춶믺튪닉좡뷷짷첬뛈ꎬ럧쿕맜샭쫖뛎펦룃쯦ퟅ쫐뎡쟩뿶뗄뇤뮯늻뛏ퟶ돶쿠펦뗄뗷헻ꎬ듓뛸쳡룟웤맦뇜럧쿕뗄폐킧탔ꆣ 맘볼듊ꎺ놴뛻쮹뗇ꎬ쫐뎡럧쿕ꎬ탅폃럧쿕ꎬ쇷뚯탔럧쿕
Abstract After joining the WTO, China has accelerated the development of financial industry and the financial market risks have increasingly caused for concern. Financial institutions have encountered increasing risk in the process of operating and the risk management has become the important issues, which cannot be overlooked, in its day-to-day management. Especially after sub prime debt crisis occurred in March 2007 in the United States, major financial institutions have suffered enormous losses, and even some agencies have come to an acquisition or bankruptcy situation, such as the American new century finance companies and Bear Stearns Co. Since China's implementation of QDII, the domestic financial institutions’ scale of investment in the offshore is limited, so their impact of the crisis is limited. But with the deepening development of China's financial industry, domestic financial institutions will be more and more involved in international financial activities, and it will be bond to require higher risk management for these financial institutions. This paper attempts to conduct a comprehensive analysis in risk management from the point of view of Bear Stearns, conclude its being acquired and the reasons, looking forward to bring some source of inspiration for China's financial institutions to improve the existing risk management instruments. This paper starts mainly from market risk, credit risk and liquidity risk. Firstly, based on published financial statements of Bear Stearns Co. and through using the combination of quantitative and qualitative methods, this paper will analyze the risk Bear Stearns might face in the business process. Secondly, it will identify and evaluates the means to avoid risks. Finally, this paper will conclude the inspiration for the China's financial institutions risk management: the managers of China's financial institutions should have adequate risk management attention and be cautious about the speculation on the financial products. Moreover, the risk management tools should be correspondingly adjusted continuously as market conditions change and enhance its effect of hedging risks. KeywordsꎺBear Stearns, Market Risk, Credit Risk, Liquidity Risk ꋲ
톧캻싛컄풭뒴탔짹쏷 놾죋횣훘짹쏷ꎺ쯹돊붻뗄톧캻싛컄ꎬ쫇놾죋퓚떼쪦뗄횸떼쿂ꎬ뛀솢뷸탐퇐뺿릤ퟷ쯹좡뗃뗄돉맻ꆣ돽컄훐틑뺭힢쏷틽폃뗄쓚죝췢ꎬ놾싛컄늻몬죎뫎웤쯻룶죋믲벯쳥틑뺭랢뇭믲킴맽뗄ퟷ욷돉맻ꆣ뛔놾컄쯹짦벰뗄퇐뺿릤ퟷퟶ돶훘튪릱쿗뗄룶죋뫍벯쳥ꎬ뻹틑퓚컄훐틔쏷좷랽쪽뇪쏷ꆣ놾죋췪좫틢쪶떽놾짹쏷뗄램싉퓰죎평놾죋돐떣ꆣ 쳘듋짹쏷 톧캻싛컄ퟷ헟잩쏻ꎺ 쓪 퓂 죕
톧캻싛컄냦좨쪹폃쫚좨쫩 놾죋췪좫쇋뷢뛔췢뺭볃쎳틗듳톧맘폚쫕벯ꆢ놣듦ꆢ쪹폃톧캻싛컄뗄맦뚨ꎬ춬틢죧쿂룷쿮쓚죝ꎺ내헕톧킣튪쟳쳡붻톧캻싛컄뗄펡쮢놾뫍뗧ퟓ냦놾ꎻ톧킣폐좨놣듦톧캻싛컄뗄펡쮢놾뫍뗧ퟓ냦ꎬ늢닉폃펰펡ꆢ쯵펡ꆢ즨쏨ꆢ쫽ퟖ뮯믲웤쯼쫖뛎놣듦싛컄ꎻ톧킣폐좨쳡릩쒿슼볬쯷틔벰쳡릩놾톧캻싛컄좫컄믲늿럖뗄퓄샀럾컱ꎻ톧킣폐좨내헕폐맘맦뚨쿲맺볒폐맘늿쏅믲헟믺릹쯍붻싛컄ꎻ퓚틔늻틔펮샻캪쒿뗄뗄잰쳡쿂ꎬ톧킣뿉틔쫊떱뢴훆싛컄뗄늿럖믲좫늿쓚죝폃폚톧쫵믮뚯ꆣ놣쏜뗄톧캻싛컄퓚뷢쏜뫳ퟱ쫘듋맦뚨ꆣ 톧캻싛컄ퟷ헟잩쏻ꎺ 쓪 퓂 죕 떼쪦잩쏻ꎺ 쓪 퓂 죕
뗚튻헂 틽퇔 2007쓪8퓂ꎬ쏀맺듎벶뗖톺듻뿮캣믺좫쏦놬랢ꎬ쏀맺뗀쟭쮹횸쫽ꆢ쓉쮹듯뿋폫뇪ힼ웕뛻500 돶쿖듳럹뛈쿂듬ꎬ쫀뷧룷뗘퇫탐믰쯙힢죫뷰뷸뎡뻈쫐ꎬ쏀솪뒢퓸튻쳬죽듎쿲틸탐힢380틚쏀풪틔컈뚨막쫐ꆣ헢뎡쪼폚2007쓪돵뗄듎듻캣믺ꎬ퓚2007쓪3퓂13죕쏀막듳뗸ꎬ뗀쟭쮹횸쫽쿂뗸2%ꎬ 뇪ힼ웕뛻쿂뗸%ꎬ쓉쮹듯뿋횸쫽쿂뗸%뫳훕폚뢡돶쮮쏦놸쫜맘힢ꆣ쏀맺뗄랿뗘닺뗖톺듻뿮럖캪죽샠ꎺ폅훊뗖톺듻뿮ꆢ듎폅뗖톺듻뿮뫍듎벶뗖톺듻뿮ꆣ듎벶뗖톺듻뿮쫐뎡쏦쿲탅폃움벶뗍ꆢ쫕죫횤쏷좱쪧ꆢ뢺햮뷏훘뗄뿍뮧,틲탅폃튪쟳돌뛈늻룟ꎬ웤듻뿮샻1싊뇈튻냣뗖톺듻뿮샻싊룟돶2% 훁3% ꎬ웤쳘뗣쫇ꆰ룟럧쿕ꆢ룟쫕틦ꆱꆣ듳훂맀쯣ꎬ쏀맺듎벶뗖톺햮랢탐ퟜ맦쒣퓚6000틚쏀풪틔짏ꎬ틲웤쓪쫕틦싊뇈춬탅폃뗈벶햮좯룟돶30%ퟳ폒, 쯹틔쫜떽뫜뛠춶믺릹뗄ힷ엵, 춶폚듎벶햮뗄뷰죚믺릹튲돉쇋헢뎡캣믺뗄횱뷓쫜몦헟ꆣ뷘훁쒿잰캪횹ꎬ쏀맺듳풼폐20볒듻뿮믺릹뫍뗖톺듻뿮뺭볍릫쮾웆닺ꎬ웤훐냼삨훸쏻뗄쏀맺탂쫀볍뷰죚릫쮾뫍랿뗘닺춶탅췐2릫쮾ꆣ좻뛸퓚듎듻캣믺훐쯰쪧ퟮ캪닒훘뗄쫇벤뷸뗄뛔돥믹뷰, 뮨웬벯췅뗄쯰쪧풼퓚550틚떽1000틚쏀풪횮볤, 뛸훸쏻춶탐놴뛻쮹뗇릫쮾웬쿂뗄솽룶뛔돥믹뷰튲헛돁즳, 웤훷쾯볦탐헾ퟜ닃쮹엥뿆쳘튲틲듋틽뻌듇횰ꎬ늢ퟮ훕퓚2008쓪3퓂16죕놻쒦룹듳춨쎿막2쏀풪쫕릺ꎬ뺡맜횮뫳쒦룹듳춨훘탂돶볛ꎬ떫컞램럱죏뗄쫇놴뛻쮹뗇헢룶퓸뺭퓚튵쓚뒦폚쇬쿈뗘캻뗄릫쮾틑ퟟ떽쇋뇴쇙웆닺뗄뺳뗘ꆣ 퓚놾컄럖컶놴뛻쮹뗇쫂볾횮잰ꎬ컒쏇쫗쿈폐뇘튪뛔놴뛻쮹뗇릫쮾뗄놳뺰뷸탐튻뚨뗄쇋뷢ꆣ 3놴뛻쮹뗇릫쮾(Bear artns eSCo.)돉솢폚1923쓪ꎬퟜ늿캻폚얦풼ꎬ쫇쏀맺뮪뛻뷖뗚쇹듳춶틸탐ꆢ좫쟲500잿웳튵횮튻ꆣ놴뛻쮹뗇쫇튻볒좫쟲쇬쿈뗄뷰죚럾컱릫쮾ꎬ훂솦폚캪좫쫀뷧뗄헾뢮ꆢ웳튵ꆢ믺릹뫍룶죋쳡릩뷰죚럾컱ꆣ웤훷튪튵컱몭룇믺릹막욱뫍햮좯ꆢ만뚨쫕틦ꆢ춶틸탐튵컱ꆢ좫쟲쟥쯣럾컱ꆢ닺맜샭틔벰룶죋틸탐럾컱ꆣ 퓚쏀맺춶탐튵ꎬ놴뛻쮹뗇뗄닺맦쒣뷶업쏻뗚쇹ꆣ쯼쯤좻늻쫇닺맦쒣ퟮ듳뗄춶탐ꎬ떫좴쫇뷼벸쓪뮪뛻뷖ퟮ잮뗄춶탐ꆣ2003쓪ꎬ놴뛻쮹뗇뻍틲햼쇬뗖톺놣횤횤좯튵컱(collateralized ortgage mobligationsꎬ)OMC뗄훷튪쫐뎡ꎬ웤쮰잰샻죳뎬맽쇋룟쪢뫍쒦룹쪿떤샻ꎬ돉캪좫쟲펯샻ퟮ룟뗄춶틸탐ꆣ 웤듎ꎬ죃컒쏇믘맋튻쿂놴뛻쮹뗇릫쮾놻쫕릺뗄헻룶쫂볾뺭맽ꆣ 2007쓪6퓂14죕놴뛻쮹뗇랢늼벾놨ꎬ돆쫜뗖톺듻뿮쫐뎡욣죭펰쿬ꎬ릫쮾벾 1 횣솼랼ꎺ쏀맺듎듻캣믺뗄펰쿬ꆢ돉틲웊컶뫍쪮뗣뺯쪾ꎬꆶ뺭볃퇐뺿닎뾼ꆷꎬ2007쓪뗚66웚ꆣ 2 돂볡ꎺ쏀맺듎듻캣믺벰웤뛔훐맺웴쪾ꎬꆶ뷰죚뺭볃ꆷꆣ 3 얦풼횤좯붻틗쯹듺싫ꎺCSBꆣ 1
뛈펯샻뇈짏쓪춬웚쿂뗸10%ꆣ뷴뷓ퟅ2007쓪8퓂1죕ꎬ놴뛻쮹뗇탻늼웬쿂솽횻춶듎벶뗖톺듻뿮횤좯뮯닺욷뗄믹뷰떹뇕ꎬ춶ퟜ릲쯰쪧폢15틚쏀풪ꆣ쯦뫳ꎬ룃릫쮾솪쾯ퟜ닃볦솪쾯쫗쾯퓋펪맙컖싗ꆤ쮹엥뿋쳘탻늼듇횰ꎬ났싗ꆤ쪩췟듄돉캪릫쮾캨튻ퟜ닃ꆣ2007쓪9퓂20죕ꎬ놴뛻쮹뗇탻늼벾뛈펯샻듳뗸68ꎥꆣ5퓂뗗훁8퓂뗗볤ꎬ릫쮾헋쏦닺쯵쮮틑듯420틚쏀풪ꆣ춬쓪12퓂20죕ꎬ놴뛻쮹뗇탻늼복볇19틚쏀풪닺ꆣ 2008쓪1퓂7죕놴뛻쮹뗇릫쮾쫗쾯횴탐맙뾭뛷웈폚톹솦탻늼샫횰ꎬ쪩췟듄뷓죎룃횰ꆣ춬쓪3퓂12죕쪩췟듄퓚쏀맺CBNC뗧쫓첨랢뇭붲뮰낲뢧춶헟쟩탷ꎬ돆릫쮾쒿잰쇷뚯탔돤ퟣꎬ늢풤볆릫쮾붫퓚뗚튻닆헾벾뛈붫쪵쿖펯샻ꆣ떫뻍퓚솽쳬뫳ꎬ벴3퓂14죕쏀솪뒢뻶뚨춨맽쒦룹듳춨릫쮾쿲놴뛻쮹뗇쳡릩펦벱뷰ꎬ틔뮺뷢룃릫쮾뗄쇷뚯탔뛌좱캣믺ꆣ헢쫇ퟔ1929쓪쏀맺뺭볃듳쿴쳵틔살ꎬ쏀솪뒢쫗듎쿲럇짌튵틸탐쳡릩펦벱뷰ꆣ쪵볊짏ꎬ헢킩펦벱뷰늢캴쓜릻헦헽췬뻈놴뛻쮹뗇ꆣ2008쓪3퓂16죕쒦룹듳춨 (JPgan)Mor횤쪵ꎬ붫틔ퟜ볛풼틚쏀풪ꎨ쎿막2쏀풪ꎩ쫕릺놴뛻쮹뗇ꆣ뺡맜횮뫳쫕릺볛룱폐쯹짏헇ꎬ떫컞램럱죏뗄쫇놴뛻쮹뗇틑췪좫놻헢뎡듎벶듻뿮캣믺쯹췌쎻ꆣ 헢뎡듎듻캣믺죧뫎쪹퓸뺭퓚뮪뛻뷖춶탐튵훐쏻쇐잰쎩뗄놴뛻쮹뗇ퟟ떽뇴쇙웆닺뗄뺳뗘쓘ꎿ놾컄퓚뗚뛾늿럖붫듓좫뻖뗄뷇뛈뛔놴뛻쮹뗇릫쮾뺭펪맽돌훐뗄럧쿕뷸탐ퟜ쳥럖컶ꆣ 뗚2헂 놴뛻쮹뗇릫쮾ퟜ쳥럧쿕럖컶 퓚뷰죚튵늻뛏랢햹ꎬ뷰죚죕틦짮뮯뗄뷱쳬ꎬ죎뫎뷰죚믺릹퓚뺭펪맽돌훐뚼믡쏦쇙룷훖룷퇹뗄럧쿕ꆣ헢킩뷰죚믺릹죧뫎뿘훆ퟔ짭쯹쏦쇙뗄럧쿕돉캪웤쓜럱짺듦벰붡뾵ꆢ욽컈뗘랢햹뗄맘볼틲쯘ꆣ ퟷ캪춶틸탐ꎬ놴뛻쮹뗇뗄훷튪튵컱몭룇쇋믺릹막욱뫍햮좯ꆢ만뚨쫕틦ꆢ춶틸탐튵컱ꆢ좫쟲쟥쯣럾컱ꆢ닺맜샭틔벰룶죋틸탐럾컱ꆣ헢킩튵컱뻶뚨쇋웤퓚뺭펪맽돌훐훷튪쏦쇙ퟅ쫐뎡럧쿕ꆢ탅폃럧쿕뫍쇷뚯탔럧쿕ꎬ쓜럱폐킧뗘퓚죕뎣뗄뺭펪맜샭맽돌훐뿘훆뫃헢킩럧쿕돉캪웤짺듦뫍랢햹뗄맘볼ꆣ 2ꆢ1 쫐뎡럧쿕 뷰죚믺릹퓚뺭펪맽돌훐폶떽뗄쫗튪춬쪱튲쫇ퟮ캪훘튪뗄럧쿕쫇쫐뎡럧쿕ꎬ놴뛻쮹뗇릫쮾튲늻샽췢ꆣ쫐뎡럧쿕훷튪쫇횸웳튵뗄튵벨쫜룷훖쫐뎡틲쯘늨뚯뗄펰쿬뛸뇭쿖돶늻좷뚨탔ꎬ훷튪냼삨샻싊럧쿕ꆢ믣싊럧쿕ꆢ횤좯벰짌욷볛룱뗈ꆣ 놾늿럖훷튪듓틔쿂솽랽쏦뛈솿놴뛻쮹뗇쯹쏦쇙뗄쫐뎡럧쿕ꎬ튻랽쏦쫇춨맽2005쓪훁2007쓪놴뛻쮹뗇쯹돖폐뗄뷰죚닺뗄럖늼쟩뿶듓뚨탔뗄뷇뛈럖컶웤튵 2
컱쫜떽샻싊늨뚯뗄펰쿬ꎬ쇭튻랽쏦퓲쫇춨맽볆쯣쏀솪뒢믹ힼ샻싊폫룃릫쮾쎿막쫕틦EPS뗄쿠맘쾵쫽뚨솿뗘럖컶샻싊럧쿕ꆣ 놾컄쯑벯쇋2005쓪훁2007쓪놴뛻쮹뗇릫쮾쯹랢늼뗄벾뛈닆컱놨뇭ꎬ듓훐뷘좡돶룃릫쮾퓚헢뛎쪱볤쯹돖폐뗄뷰죚닺쟩뿶ꎬ볻뇭2ꆢ1ꆣ 컒쏇뿉듓룹뻝틔짏쫽뻝쯹뮭돶뗄훹ힴ춼2ꆢ1뾴돶ꎬ듓2005쓪훁2007쓪볤놴뛻쮹뗇릫쮾쯹돖폐뗄뷰죚닺훐쯹햼뇈샽ퟮ듳뗄쫇뗖톺횤좯뫍닺횧돖횤좯ꆣ헢돤럖퇩횤쇋듎벶햮좯틲웤쓪쫕틦싊뇈춬탅폃뗈벶햮좯룟돶30%ퟳ폒,룷듳뷰죚믺릹뚼죈훔폚춶듎벶듻뿮횤좯뮯뫳뗄뷰죚닺욷ꎬ죧뗖톺횤좯ꆢ닺횧돖횤좯ꆣ떱샻싊짏짽쪱ꎬ힡랿뗖톺듻뿮뗄뮹뿮샻쾢붫쯦횮퓶볓ꎬ헢컞틉볓훘쇋뷨뿮헟뗄뢺떣ꎬ뛸폖평폚퓚ퟮ돵룃듻뿮랢럅쪱뛔뷨뿮헟뗄탅폃ힴ뿶뫍쫕죫살풴뗄뾼달늢늻쫇럇뎣퇏룱ꎬ쯹틔떱샻싊짏짽떽튻뚨뷗뛎쪱뷨뿮헟붫컞솦뎥뮹듻뿮ꎬ퓬돉쇋뮵헋ꆣ뛸랿뗘닺볛룱뗄쿂붵믡쪹뷨뿮헟뗄뮹뿮쓜솦뷸튻늽뛱뮯ꆣ 춼2ꆢ1 놴뛻쮹뗇돖폐뗄뷰죚닺쾸럖춼100%퇜짺뷰죚릤뻟80%뗖톺횤좯뫍닺횧60%돖횤좯웤쯻릫쮾햮좯40%릫쮾막좨벰뿉햮20%웤쯻헾뢮믺릹횤좯0%뛈뛈뛈뛈뛈뛈뛈뛈뛈뛈뛈쏀맺헾뢮믺릹횤좯벾벾벾벾벾벾벾벾벾벾벾튻뛾죽쯄튻뛾죽쯄튻뛾죽뗚뗚뗚뗚뗚뗚뗚뗚뗚뗚뗚쓪쓪쓪쓪쓪쓪쓪쓪쓪쓪쓪55556666777000000000000000000000022222222222쪱볤 캪쇋뷸튻늽쮵쏷뺭펪맽돌훐쯹쏦쇙뗄샻싊럧쿕돌뛈ꎬ놾컄룹뻝2004쓪훁2007쓪볤쏀솪뒢믹ힼ샻싊폫놴뛻쮹뗇릫쮾쾡쫍뫳뗄쎿막쫕틦EPS쫽뻝볆쯣돶쯼쏇횮볤뗄쿠맘쾵쫽ꎨ볻뇭2ꆢ2ꎩꆣ쿠맘쾵쫽캪ꎬ헢뇭쏷룃릫쮾퓚2004쓪훁2007쓪볤폃폚맦뇜쫐뎡럧쿕뗄랽램폐튻뚨뗄킧맻ꎬ떫춬쪱컒쏇뿉틔뾴떽2007쓪8퓂쏀맺듎듻캣믺좫쏦놬랢뫳ꎬ웤쎿막쫕틦평2007쓪뗚뛾벾뛈뗄쎿막쏀풪듳럹쿂붵54%훁쎿막쏀풪ꆣ 횵뗃힢틢뗄쫇ꎬ떱쏀솪뒢듓2004쓪뾪쪼훰늽볓쾢뗄맽돌훐ꎬ놴뛻쮹뗇릫쮾뗄쎿막쫕틦늢캴솢벴쿂붵ꎬ뛸쫇돊쿖튻룶훰늽짏짽뗄쟷쫆ꎬ떫떱샻싊짏짽뎬맽튻뚨쮮욽쪱ꎬ평폚룷훖훷쳥ꎬ죧뗖톺듻뿮뷨뿮죋틑컞솦돐떣맽뛠뗄샻쾢톹솦ꎬ듓뛸 3냙럖뇈
돶쿖뗄캥풼쿖쿳뻍믡쿱떼믰쯷튻냣톸쯙퓚뷰죚쫐뎡짏싻퇓ꎬ듋쪱ꎬ뷰죚믺릹죧놴뛻쮹뗇헢퇹뗄릫쮾뗄뺭펪ힴ뿶뇣쫜떽뫜듳뗄펰쿬ꆣ 뇭2ꆢ2 쪱볤 쾡쫍뗄쎿막쫕틦 쏀솪뒢믹ힼ샻싊(%) 2004쓪뗚튻벾뛈 쓪뗚뛾벾뛈 2004쓪뗚죽벾뛈 쓪뗚쯄벾뛈 2005쓪뗚튻벾뛈 쓪뗚뛾벾뛈 2005쓪뗚죽벾뛈 쓪뗚쯄벾뛈 2006쓪뗚튻벾뛈 쓪뗚뛾벾뛈 2006쓪뗚죽벾뛈 쓪뗚쯄벾뛈 2007쓪뗚튻벾뛈 쓪뗚뛾벾뛈 2007쓪뗚죽벾뛈 쓪뗚쯄벾뛈 4
뇭2ꆢ1 2005쓪훁2007쓪놴뛻쮹뗇릫쮾돖폐뷰죚닺럖늼쟩뿶 2005쓪 2006쓪 2007쓪 뗚튻벾뛈 뗚뛾벾뛈 뗚죽벾뛈 뗚쯄벾뛈 뗚튻벾뛈 뗚뛾벾뛈 뗚죽벾뛈 뗚쯄벾뛈 뗚튻벾뛈 뗚뛾벾뛈 뗚죽벾뛈 쏀맺헾뢮믺릹횤좯7,207,863 9,035,4127,164,2509,914,86610,097,0159,536,192 6,818,9596,136,1915,246,4535,473,1313,756,119 웤쯻헾뢮믺릹횤좯1,222,618 874,567 778,332 1,159,265574,050 683,193 262,385 1,371,7132,456,1913,374,448740,162 릫쮾막좨벰뿉햮16,474,396 16,703,36118,048,51118,601,13220,598,37226,134,95726,756,23228,892,58836,423,13538,369,27333,492,558 웤쯻릫쮾햮좯 16,163,569 20,715,24321,701,12221,571,91426,396,12930,373,22331,949,42833,924,11635,208,01638,029,34733,260,396 뗖톺횤좯뫍 30,243,753 31,129,14238,598,77440,297,01639,671,52141,063,53141,851,58843,226,69957,549,27252,163,61855,936,503 닺횧돖횤좯 퇜짺뷰죚릤뻟 11,519,091 13,585,76012,787,08814,700,22813,322,71317,278,33415,147,67311,617,14410,281,47211,265,60014,688,114 뇭3ꆢ1 떥캻ꎺ냙췲쏀풪 2004쓪 2005쓪 2006쓪 2007쓪 쫐뎡럧쿕 뗚튻벾 뗚뛾벾 뗚죽벾뗚쯄벾뗚튻벾뗚뛾벾뗚죽벾뗚쯄벾 뗚튻벾 뗚뛾벾뗚죽벾뗚쯄벾뗚튻벾뗚뛾벾 뗚죽벾 샻싊럧쿕 믵뇒럧쿕 1 횤좯럧쿕 3 짌욷/쓜풴 0 0 0 0 0 0 0 0 0 0 0 0 1 뛠퇹뮯틦뒦 -7 볓ퟜ퓚쿕볛횵 35 5
돽쇋틔짏쯹쮵뗄샻싊럧쿕ꎬ놴뛻쮹뗇릫쮾뗄뺭펪ힴ뿶뮹쫜떽믣싊ꆢ횤좯믲쿠맘짌욷볛룱뗄펰쿬ꆣ떱웤싲믲싴틔럇쏀풪뇪볛뗄춷듧쪱ꎬ믣싊럧쿕뇣쫇훷튪뗄쫐뎡럧쿕ꆣ떱돖폐폫짌욷폐맘뗄뷰죚퇜짺욷ꎬ죧쪯폍웚믵쪱ꎬ짌욷볛룱뗄늨뚯ퟔ좻룸놴뛻쮹뗇듸살쇋쫐뎡럧쿕ꆣ퓚듋뛔헢솽훖쫐뎡틲쯘쯹듸살뗄쫐뎡럧쿕늻퓙뷸탐쿪쫶ꆣ 2ꆢ2탅폃럧쿕 탅폃럧쿕쫇횸퓚뷰죚쫐뎡훐평폚붻틗뛔쫖캴쓜싄탐뫏춬햮컱뛸떼훂뺭볃쯰쪧뗄럧쿕ꆣ뛸캥풼럧쿕쫇탅폃럧쿕훐ퟮ훷튪뗄늿럖,튲쫇쒿잰톧쫵뷧뫍짌튵쇬폲ퟮ캪맘힢뗄튻듳뮷뷚ꆣ 평폚놴뛻쮹뗇릫쮾뎤쓪돖폐룷훖늻춬탅폃움벶쮮욽뗄횤좯ꎬ죧헾뢮햮좯ꆢ힡랿뗖톺햮좯ꆢ뷰죚퇜짺욷뗈ꎬ헢릹돉쇋웤뺭펪맽돌훐뇘좻쏦쇙ퟅ맦뇜탅폃럧쿕뗄컊쳢ꆣ 놴뛻쮹뗇릫쮾뫢솿탅폃럧쿕뗄랽램캪쎿죕맀쯣돶웤붻틗뛔쫖랽뗄쳦듺돉놾ꎨthe ent Replacemcost of counter party contractsꎩꆣ춼2ꆢ2쫇룹뻝2004쓪훁2007쓪놴뛻쮹뗇릫늼뗄탅폃럧쿕놩슶춷듧뗄벾뛈쫽뻝ꎨ볻뇭2ꆢ3ꎩ뇠훆뗄ꎬ컒쏇죝틗뾴돶듓2004쓪훁2007쓪볤뺡맜퓚늻춬뗄쓪럝폐튻뚨뗄늨뚯ꎬ떫ퟜ쳥짏웤탅폃럧쿕놩슶춷듧돊쏷쿔뗄짏짽쟷쫆ꆣ폈웤쫇듓2007쓪뗚뛾벾뛈뾪쪼탅폃럧쿕놩슶돌뛈톸쯙퓶듳ꎬ2007쓪뗚죽벾뛈폫잰튻벾뛈쿠뇈퓶뎤쇋43%ꎬ뛸뗚죽벾뛈헽쫇쏀맺듎듻럧쿕뛔뷰죚믺릹펰쿬킧맻ퟮ캪쏷쿔뗄쪱볤ꆣ2007쓪8퓂1죕ꎬ놴뛻쮹뗇탻늼웬쿂솽횻춶듎벶뗖톺듻뿮횤좯뮯닺욷뗄믹뷰떹뇕ꎬ춶ퟜ릲쯰쪧폢15틚쏀풪ꆣ2007쓪9퓂20죕ꎬ놴뛻쮹뗇탻늼벾뛈펯샻듳뗸68%ꆣ5퓂뗗훁8퓂뗗볤ꎬ릫쮾헋쏦닺쯵쮮틑듯420틚쏀풪ꆣ 뇭2ꆢ3 2004훁2007쓪탅폃럧쿕놩슶춷듧 쪱볤 탅폃럧쿕놩슶춷듧( 쪮틚쏀풪ꎩ 2004쓪뗚쯄벾뛈쓪뗚튻벾뛈쓪뗚뛾벾뛈쓪뗚죽벾뛈쓪뗚쯄벾뛈 2006쓪뗚튻벾뛈쓪뗚뛾벾뛈쓪뗚죽벾뛈쓪뗚쯄벾뛈쓪뗚튻벾뛈 2007쓪뗚뛾벾뛈쓪뗚죽벾뛈 6
춼2ꆢ2 탅폃럧쿕놩슶춷듧 떥캻ꎺ쪮틚쏀풪987탅폃럧65쿕놩슶4춷듧(3쪮틚쏀2풪ꎩ10뛈뛈뛈뛈뛈뛈벾벾벾벾벾벾쯄뛾쯄뛾쯄뛾뗚뗚뗚뗚뗚뗚쓪쓪쓪쓪쓪쓪455667000000000000222222쪱볤 2ꆢ3쇷뚯탔럧쿕 쯹캽쇷뚯탔럧쿕쫇횸웳튵컞솦캪뢺햮뗄복짙뫍/믲닺뗄퓶볓쳡릩죚뛸퓬돉쯰쪧믲웆닺뗄럧쿕ꆣ쇷뚯탔럧쿕냼삨닺쇷뚯탔럧쿕뫍뢺햮쇷뚯탔럧쿕ꆣ닺쇷뚯탔럧쿕쫇횸닺떽웚늻쓜죧웚ퟣ뛮쫕믘ꎬ뷸뛸컞램싺ퟣ떽웚뢺햮뗄뎥뮹뫍탂뗄죚탨쟳ꎬ듓뛸룸웳튵듸살쯰쪧뗄럧쿕ꆣ뢺햮쇷뚯탔럧쿕쫇횸웳튵맽좥돯벯뗄뷰평폚쓚췢틲쯘뗄뇤뮯뛸랢짺늻맦퓲늨뚯ꎬ뛔웤닺짺돥믷늢틽랢쿠맘쯰쪧뗄럧쿕ꆣ 폐킧뗘맦뇜쇷뚯탔럧쿕뛔폚웳튵폈웤쫇짏쫐릫쮾뛸퇔쫇럇뎣훘튪뗄ꎬ틲캪쇷뚯탔캣믺뿉틔톸쯙쿲쫐뎡뒫뗝싴뿕뗄탅뫅ꎬ떱춶헟듳솿엗쫛룃릫쮾막욱쪱ꎬ막볛쿂뗸ꎬ쫐횵훨복ꎬ돉캪놻쫕릺뛔쿳ꎬ짵훁ퟟ쿲웆닺뗄뺳뗘ꆣ 놾컄퓚럖컶룃릫쮾쯹쏦쇙쇷뚯탔럧쿕횮잰ꎬ쫗쿈탨튪쇋뷢웤닺폫뢺햮뗄쳘뗣ꆣ뛔폚튻볒춶틸탐뛸퇔ꎬ놴뛻쮹뗇릫쮾펵폐뗄닺듳늿럖평쿖뷰ꆢ짏쫐뗄횤좯듦믵틔벰폫뿍뮧뫍횤좯붻틗폐맘뗄뗖톺펦쫕헋뿮ꆣ웤훐ꎬ뗖톺펦쫕헋뿮훷튪폐쏀맺헾뢮뫍믺릹횤좯떣놣뗄뢽싴믘킭틩ꎨresale entsagreemꎩ뫍뿍뮧놣횤뷰듻뿮뗈ꆣ쇭췢ꎬퟷ캪튻룶횤좯붻틗짌ꎬ놴뛻쮹뗇릫쮾돖폐뗄횤좯듦믵쫽쒿뷏뛠ꎬ쒿뗄쫇싺ퟣ뿍뮧뫍쫴붻틗뗄탨튪ꆣ뛸놴뛻쮹뗇뗄뢺햮퓲훷튪평뎤뛌웚뷨뿮ꆢ믘릺킭틩쿂싴돶뗄횤좯ꆢ뛔뿍뮧ꆢ붻틗짌뫍뺭볍짌뗄펦뢶헋뿮ퟩ돉ꆣ웤훐ꎬ뛔뿍뮧뗄펦뢶헋뿮뫍믘릺킭틩쿂싴돶뗄횤좯뷰뛮햼뫜듳뇈훘뗄풭틲퓚폚놴뛻쮹뗇ퟷ캪뷰죚훐뷩믺릹ꎬ돐떣쇋뿍뮧쿠맘뗄쟥쯣튵컱ꎬ웤훐튻쿮뇣쫇뿍뮧뗄놣횤뷰튵컱ꆣ 톧쫵뷧퓚뫢솿튻룶릫쮾뗄쇷뚯탔럧쿕짏쳡돶맽뫜뛠뻟쳥뗄횸뇪ꎬ뇈죧쇷뚯뇈싊ꎨCurrent Ratioꎩꆢ쯙뚯뇈싊ꎨ ytidiuqiLoitaRꎩꆢ닺뢺햮뇈뗈ꆣ놾컄본폚춶틸탐뺭펪튵컱뗄쳘쫢탔ꎬ죏캪닺뢺햮뇈뷏캪쫊뫏뫢솿웤쇷뚯탔럧쿕ꎬ틲캪룃횸 7탅폃럧쿕놩슶춷듧
뇪볲떥틗탐ꆢ쟒쫊폃랶캧맣ꎨ뛔쯹뫢솿뗄릫쮾쯹뺭펪뗄튵컱쎻폐뻟쳥쿞훆ꎩꆣ 틲듋ꎬ놾컄쯑벯쇋룃릫쮾2000쓪훁2007쓪뺭짳볆뫳뗄닆컱놨뇭ꎬ듓훐뷘좡쇋닺뢺햮뇭훐닺폫뢺햮뗄쫽뻝ꎨ뇭2ꆢ4ꎩꎬ늢룹뻝룃쫽뻝뮭돶쇋헛쿟춼2ꆢ3ꆣ 뇭2ꆢ4 2000쓪훁2007쓪놴뛻쮹뗇릫쮾닺폫뢺햮ힴ뿶 쓪럝 닺ꎨ냙췲쏀풪ꎩ 뢺햮ꎨ냙췲쏀풪ꎩ 뢺햮/닺 1 2000 2 2001 3 2002 4 2003 5 2004 6 2005 7 2006 91382 79253 8 2007 96077 84284 23 춼ꆢ뢺햮닺뇈 평춼2ꆢ3뿉틔뾴돶ꎬ듓2000훁2007쓪놴뛻쮹뗇릫쮾뗄욽뻹뢺햮싊퓚88%틔짏ꎬ웤훐퓚2004쓪뫍2005쓪솽쓪볤뢺햮싊뷓뷼97%ꎬ닆컱룜룋뗄뇈싊틑쿠떱룟ꆣ뛸2004훁2005쓪잡쫇쏀맺뷰죚쫐뎡랢햹쫆춷뫃뗄튻뛎쪱웚ꎬ룷훖뷰죚퇜짺욷닣돶늻쟮ꎬ틲듋쿱놴뛻쮹뗇헢퇹좫쟲훸쏻뗄춶탐떱좻믡돤럖랢믓닆컱룜룋뗄ퟷ폃살좡샻죳ꎬ춶폚룷훖뷰죚닺욷ꎬ뛸헢튲룸릫쮾붫살듸살쇋뫜듳뗄쇷뚯탔럧쿕ꆣ뛸떱컒쏇뷸튻늽럖컶웤닺릹돉쪱랢쿖ꎬ펵폐뗄닺듳늿럖평쿖뷰ꆢ짏쫐뗄횤좯듦믵틔벰폫뿍뮧뫍횤좯붻틗폐맘뗄뗖톺펦쫕헋뿮ꆣ웤훐ꎬ짏쫐뗄횤좯듦믵뗄볛횵뛔샻싊뗈쫐뎡틲쯘럇뎣쏴룐ꎬ뛸폫뿍뮧뫍횤좯붻틗폐맘뗄뗖톺펦쫕헋뿮듦퓚ퟅ뫜듳뗄캥풼럧쿕ꎬ죴뛔붻틗뛔쫖랽뗄탅폃뫍싄풼쓜솦늻쓜뷸탐폐킧뗘뿘훆ꎬ퓲웤닺쯵쮮뗄뿉쓜탔믡듳듳퓶듳ꎬ쓇쎴룃릫쮾퓚헢훖쟩뿶쿂싄탐햮컱뗄쓜솦붫듳듳붵뗍ꎬ뛔쫐뎡랢돶쇋늻샻뗄탅뫅ꎬ쪧좥춶헟뗄탅탄ꆣ 8
뗚3헂 놴뛻쮹뗇릫쮾럧쿕뿘훆쫖뛎 3ꆢ1놴뛻쮹뗇뿘훆쫐뎡럧쿕뗄랽램 놴뛻쮹뗇릫쮾폃폚맦뇜쫐뎡럧쿕뗄랽램훷튪폐ꎺ퓚쿕볛횵alue Vat Riskꆢ쟩뺰럖컶ꎨScenario analysisꎩ벰웤쯻쿠맘랽램ꆣ 퓚쿕볛횵alue Vt aiRsk쫇뷼쓪살얷쏀맺볒탋웰뗄튻훖뷰죚럧쿕맜샭릤뻟ꆣ퓚쿕볛횵aRV 쫇횸퓚짌욷볛룱뇤뚯뗄쳘뚨룅싊럖늼쿂, 춶ퟩ뫏퓚듋쳘뚨돖폐웚4볤, 퓚볈뚨훃탅쮮욽쿂뗄ퟮ듳뿉쓜쯰쪧ꆣ놴뛻쮹뗇릫쮾붫룃랽램폃폚뿘훆쫐뎡럧쿕ꆣ퓚쎿튻벾뛈쒩쯼붫쫐뎡럧쿕훐뗄샻싊럧쿕ꆢ믣싊럧쿕뫍횤좯럧쿕럖뇰볆쯣퓚쿕볛횵ꎬ춬쪱뾼싇춶뛠퇹뮯쯹듸살럧쿕볛횵뗄붵뗍킧맻ꎬퟮ훕볆쯣돶볓ퟜ퓚쿕볛횵ꆣ 춼3ꆢ1캪룹뻝놴뛻쮹뗇릫늼뗄닆컱놨뇭훐쇐돶뗄늻춬럧쿕ힴ뿶ꎨ볻뇭3ꆢ1ꎩ쯹뮭돶뗄ퟔ2004쓪떽2007쓪볤쫐뎡럧쿕룷늿럖뗄퓚쿕볛횵벾뛈럖늼춼ꆣ컒쏇죝틗뾴돶룃릫쮾쏦쇙뗄ퟮ듳쫐뎡럧쿕뇣쫇샻싊럧쿕ꎬ헢튲헽쫇캪뫎웤쫜샻싊늨뚯펰쿬죧듋횮듳뗄풭틲횮튻ꆣ 쟩뺰럖컶ꎨScenario alysainsꎩ폃폚닢솿퓚풤쿈룸뚨뗄룷훖벫뛋쫐뎡쟩뿶쿂랢짺쯰쪧뗄뿉쓜탔ꆣ쯼쫇뫢솿쫐뎡럧쿕뫍탅폃럧쿕뗄훘튪릤뻟횮튻ꆣ쯼뿉틔듓헻룶릫쮾뗄뷇뛈뛔쒳튻뇊붻틗ꆢ쒳튻뿍뮧믲쒳튻춷듧뷸탐럧쿕뫢솿ꆣ놴뛻쮹뗇릫쮾퓚맽좥뺭펪뗄맽돌훐랢쿖ꎬ쟩뺰럖컶뗄랽램쓜릻뷏캪ힼ좷뗘풤닢쫐뎡ힴ뿶ꎬ틲듋쯼냑헢훖랽램ퟷ캪뫢솿릫쮾쫐뎡럧쿕뗄훷튪쫖뛎ꆣ 춼3ꆢ1 놴뛻쮹뗇릫쮾뗄VaR100%80%60%40%20%짌욷/쓜풴0%횤좯럧쿕뛈뛈뛈뛈뛈뛈뛈뛈믵뇒럧쿕벾벾벾벾벾벾벾벾샻싊럧쿕튻죽튻죽튻죽튻죽뗚뗚뗚뗚뗚뗚뗚뗚쓪쓪쓪쓪쓪쓪쓪쓪44556677000000000000000022222222쪱볤 4 룟ꎺ믹폚a RV뗄컒맺짏쫐릫쮾닆컱럧쿕맜샭쒣탍폅뮯ꎬꆶ뺭볃폫뿆벼ꆷꎬ2007쓪12퓂ꆣ 9냙럖뇈
돽쇋틔짏쯹쳡떽뗄솽훖맦뇜쫐뎡럧쿕뗄쫖뛎췢ꎬ놴뛻쮹뗇릫쮾맦뇜쫐뎡럧쿕뗄쫖뛎뮹냼삨ꎺ쿞훆붻틗뛮ꆢ쯹폐춷듧뚼탫쎿죕뚢쫐ꆢ쎿죕놨룦샻죳뫍쯰쪧ꆢ쎿죕럧쿕쳡쪾놨룦ꆢ쎿죕놨룦듦믵춷듧ꆢ놨룦쎿죕붻틗뗄뺻쫕죫ꆣ 3ꆢ2놴뛻쮹뗇뿘훆탅폃럧쿕뗄랽램 놴뛻쮹뗇릫쮾훷튪춨맽쓚췢늿뿘훆쿠뷓뫏뗄랽쪽살맦뇜웤쯹쏦쇙뗄탅폃럧쿕ꎬ벴쓚늿뿘훆캪놨룦죕뎣뗄붻틗뺻춷듧ꎬ뛸췢늿뿘훆캪볤뷓뗄탅폃놣쿕랽쪽ꆣ죕뎣뗄붻틗뺻춷듧뫍잰컄쳡떽뗄붻틗뛔쫖랽뗄쳦듺돉놾뚼냼몬퓚놴뛻쮹뗇릫쮾죕뎣닆컱놨룦훐ꆣ룃릫쮾뗄맜샭닣믡퓚쎿튻벾뛈쒩뛔짏쫶럧쿕놩슶춷듧뗄뿘훆벰쇷돌뗄폐킧탔뷸탐움맀ꆣ 3ꆢ3놴뛻쮹뗇뿘훆쇷뚯탔럧쿕뗄랽램 놴뛻쮹뗇릫쮾퓚쏦쇙죕뎣뗄쇷뚯탔럧쿕쪱뺿뺹쫇죧뫎맦뇜뗄쓘ꎿ놾컄춨맽ퟐ쾸퇐뺿웤랢늼뗄닆컱놨뇭뫳랢쿖ꎬ놴뛻쮹뗇릫쮾훷튪쫇춨맽죚쟾뗀뗄뛠퇹뮯살맦뇜쇷뚯탔럧쿕ꆣ뎣맦뗄뛌웚죚튻랽쏦냼삨뗖톺뷨뿮ꆢ죧믘릺킭틩ꎬ횤좯뷨돶낲업ꎨsecurities lending entarrangemꎩ뗈떣놣쪽뗄뛌웚죚ꆣ쇭튻랽쏦냼삨컞떣놣뗄뛌웚죚ꎬ쯼냼삨짌튵욱뻝ꆢ훐웚욱뻝뫍틸탐뛌웚뷨뿮ꎬ헢킩춨뎣쫇룴특믲튻쓪쓚떽웚ꆣ놴뛻쮹뗇릫쮾죏캪뛌웚컞떣놣죚평폚듻뿮죋퓚햮컱떽웚쪱늻퓊탭뷨뿮죋볌탸쪹폃룃뇊죚낲업ꎬ쯹틔폫뛌웚떣놣죚쿠뇈ꎬ뛌웚컞떣놣죚뛔폚뷨뿮죋뛸퇔쫇뷏캪늻컈뚨뗄뛌웚뷰살풴ꆣ놴뛻쮹뗇퓚쪹폃뛌웚컞떣놣죚쪱닉좡뷷짷첬뛈ꆣ쇭췢ꎬ룃릫쮾퓚뛌웚죚낲업닺욷뗄톡퓱ꆢ뗘뗣ꆢ떽웚쪱볤짏힢훘뛠풪뮯ꆣ 돽쇋짏쫶뛌웚죚췢ꎬ놴뛻쮹뗇릫쮾튲춨맽뎤웚죚살맦뇜웤쯹쏦쇙뗄쇷뚯탔럧쿕ꆣ쯼냼삨랢탐횤좯ꆢ뎤웚뷨뿮ꎨ냼삨뢡뚯뫍만뚨샻싊욱뻝ꎩ뗈ꆣ룃릫쮾춨뎣믡뛔웤돖폐닺뗄맦쒣ꆢ릹돉뫍쫐뎡뇤쿖쓜솦뷸탐럖컶ꎬ늢ퟶ돶쿠펦뗄뗷헻ꎬ듓뛸쓜릻좷놣헢킩닺쓜릻ퟷ캪떣놣뷸탐뎤웚죚ꆣ놴뛻쮹뗇릫쮾죏캪뎤웚죚낲업쫇뷏캪컈뚨뗄뷰살풴ꎬ쓜릻폐킧뗘맦뇜쇷뚯탔럧쿕ꆣ 돽쇋틔짏뎣맦죚낲업틔췢ꎬ놴뛻쮹뗇릫쮾퓚뺭펪맽돌훐튻횱놣돖ퟅ쇭튻훖놸폃뗄죚닟싔ꎬ룃닟싔힢훘폚웤돖폐닺뷸탐퓙죚뗄쓜솦ꎬ쒿뗄퓚폚놣돖돤ퟣ뗄쿖뷰놾(cash capital)ꎨ죧웚쿞뎬맽12룶퓂뗄좨틦뫍뎤웚죚ꎩ쓜릻쪹릫쮾틔붫헢킩뎤웚횤좯ퟷ캪뗖톺뷸탐뛌웚죚ꆣ캪듋ꎬ룃릫쮾튻횱놣돖ퟅ튻룶헽쪽뗄믲폐죚볆뮮ꎬ쯼냼삨쿪쾸뗄쫚좨낲업뫍뺫쾸뗄탐뚯볆뮮살뿘훆틲쒳튻춻랢쫂볾뛸떼훂뗄쇷뚯탔캣믺ꆣ 돽쇋틔짏맦뇜쇷뚯탔럧쿕뗄랽램틔췢ꎬ놴뛻쮹뗇릫쮾퓚뫢솿쇷뚯탔럧쿕쪱훷튪춨맽솽룶횸뇪ꎺ쇷뚯탔뇈싊ꎨuidlitqy ratioꎩ뫍뺻쿖뷰놾ꎨnet cash capitalꎩꆣ룃릫쮾퓚볙짨닺늻뻟폐쇷뚯탔ꎬ춬쪱튲늻쓜랢탐죎뫎탂뗄컞떣놣햮좯ꎨ죧짌튵 10
욱뻝ꎩ뗄쟩뿶쿂ꎬ춨맽뿘훆쿖뷰춷듧뫍룃릫쮾쯹뷨죫뗄퓚쫐뎡짏붻틗컞헏낭뗄컞떣놣횤좯볛횵살놣돖쓜릻쳡릩쇷뚯탔뗄닺폫떽웚뢺햮뗄뇈싊늻뗍폚100%ꆣ쇭췢ꎬ룃릫쮾뺡뿉쓜뗘놣돖헽뗄뺻쿖뷰놾ꎬ벴쿖뷰놾뎬맽닺훐컞램ퟷ캪떣놣뷸탐퓙죚뗄늿럖ꆣ 뗚4헂 움볛놴뛻쮹뗇맦뇜럧쿕뗄랽램 4ꆢ1쫐뎡럧쿕 퓚쿕볛횵캪쳘뚨쪱볤쓚쫐뎡틲ퟓ뗄뇤뚯틽웰뗄잱퓚쯰쪧쳡릩쇋튻훖뿉쓜탔뗄맀닢ꆣ쯼늢늻쫇쮵쪵볊쯰쪧붫튪듯떽뛠짙, 뛸쫇쮵퓚뛠듳뗄룅싊쿂ퟮ듳뿉쓜쯰쪧쫇뛠듳ꆣ퓚쿕볛횵폫뒫춳럧쿕뛈솿랽램폐뫜듳뗄쟸뇰ꎬ뿉틔쮵퓚쿕볛횵룅쓮뗄쳡돶펰쿬쇋죋쏇뗄뻶닟뫍춶랽쪽ꆣ죋쏇퓚뫢솿럧쿕쪱늻퓙틀뾿쒳튻룶맂솢뗄횸뇪, 뇈죧랽닮, 냫랽닮뗈, 튲늻퓙떥뒿틀삵폚뒫춳뗄믡볆닆컱횸뇪, 뛸쫇튻룶쾵춳맽돌, 늻뷶튪뾼싇샺쪷쟩뿶춬쪱튲튪냑룷ퟔ춶럧쿕욫뫃뗄죋캪틲쯘뾼싇뷸좥ꆣ퓚헽뎣뗄쫐뎡쳵볾쿂, aRV쫇닢뛈뛌웚쓚(뇈죧쪮쳬) 붻틗뎨뿚ퟜ쳥럧쿕ퟮ폐킧뗄냬램ꆣ떫뎤웚쪱볤쓚, aRV뻍늻쓇쎴뿉뾿쇋, 횻폐춨맽뢨훺탔뗄랽램, 죧톹솦닢쫔ꆢ 쟩뺰럖컶뗈뗈닅쓜뇈뷏ힼ좷뗘럖컶ꆣ퓚쪵볊펦폃훐,평폚쫽뻝돩퇹ꆢ쒣탍뗄볙짨쳵볾ꆢ뚯첬탔볙뚨ꆢ쯦믺틲쯘뫍죋캪틲쯘뗄펰쿬ꎬVaR맀볆닺짺튻뚨뗄욫닮쫇퓚쯹쓑쏢뗄ꆣ 횵뗃컒쏇힢틢뗄쫇ꎬ퓚쿕볛횵뛈솿뗄믹뒡쫇볙짨웤쯹퇐뺿뗄뇤솿럾듓헽첬럖늼ꎬ쫐뎡쟩뿶춨뎣믡퓚헽뎣뗄맀볆랶돫쓚ꆣ떫뛔폚놾컄쯹퇐뺿뗄놴뛻쮹뗇뛸퇔ꎬ평폚쏀맺뗄듎듻쫐뎡랢햹쪱볤뷏뛌ꎬ짙폚20쓪ꎬ틲듋컒쏇컞램듓샺쪷쫽뻝훐퇩횤퓚쿕볛횵쯹퇐뺿뗄뇤솿럾듓헽첬럖늼ꆣ뛸헽쫇2007쓪쫐뎡뗄춻뇤틑뎬돶쇋퓚쿕볛횵퇐뺿뗄볙짨쟩뿶ꎬ틲듋퓋폃퓚쿕볛횵살뫢솿쫐뎡럧쿕뗄랽램틑쪧킧ꆣ 뻍쟩뺰럖컶랽램뛸퇔ꎬ웤탨튪틀삵맜샭헟뛔폚쫐뎡돶쿖뗄쎿튻훖늻춬쟩뿶뗄룅싊뷸탐맀볆ꎬ듓뛸틽죫쇋맜샭헟뗄훷맛탐캪ꎬ뛔맀볆뗄뷡맻폐횱뷓뗄펰쿬ꎬ듓뛸쪹헢훖랽램맀볆뗄ힼ좷탔폐쯹쿂붵ꆣ놴뛻쮹뗇릫쮾퓚뷸탐쟩뺰럖컶쪱ꎬ평폚웤캴맀볆2007쓪쫐뎡붫돶쿖벫뛋쟩뿶ꎬ듓뛸쪹맜샭헟컞램맀볆떱쫐뎡샻싊늻뛏짏짽뗄쟩뿶쿂릫쮾뗄뺭펪ힴ뿶붫죧뫎뇤뮯ꆣ 퓚쿕볛횵폫쟩뺰럖컶쫇떱잰샭싛뷧죏캪뷏캪뺭뗤뗄쫐뎡럧쿕뿘훆쫖뛎ꎬ떫퓚놴뛻쮹뗇쫂볾훐ꎬ캴쓜폐킧뗘뿘훆샻싊럧쿕쫇훂쪹웤놻뗍볛쫕릺뗄훷튪풭틲횮튻ꆣ평폚쯑벯뗄쇏폐쿞ꎬ놾컄컞램틲듋낸샽뇣뛔헢솽훖랽램쳡돶뫜듳뗄훊틉ꎬ떫횵뗃힢틢뗄쫇ꎬ웳튵퓚쪹폃헢솽훖랽램뷸탐쫐뎡럧쿕뗄뫢솿맽돌훐쫇탨튪늻뛏뛔웤훐뗄쿠맘틲쯘뷸탐뗷헻뗄ꎬ벴쫐뎡쟩뿶짔폐뇤뮯쪱ꎬ볆쯣뗄틲ퟓ믲헟좨훘튪 11
ퟶ쿠펦뗄탞헽ꎬ틔랴펳쫐뎡뮷뺳뗄뇤뮯ꎬ듓뛸늻훁폚쪹맜샭헟퓚쏦뛔늻샻뗄쫐뎡뮷뺳쪱듫쫖늻벰ꆣ 4ꆢ2탅폃럧쿕 퓚놴뛻쮹뗇뿘훆탅폃럧쿕뗄랽램훐ꎬ뛔탅폃럧쿕놩슶춷듧뗄죕뎣놨룦쳥훆횻쫇튻룶랢쿖컊쳢뗄랽램ꎬ뛸웤헦헽맦뇜탅폃럧쿕뗄랽램퓲뻸듳늿럖틀삵폚릺싲탅폃놣쿕ꆣ놾컄죏캪룃릫쮾맦뇜탅폃럧쿕뗄쫖뛎훷튪듦퓚틔쿂컊쳢ꎺ 뗚튻ꎬ맦뇜탅폃럧쿕뗄쫖뛎맽폚떥튻ꆣ놴뛻쮹뗇릫쮾훷튪틀뾿릺싲탅폃놣쿕뗄랽램맦뇜탅폃럧쿕ꎬ뺡맜탅폃놣쿕퓚뷰죚쫐뎡쟩뿶뷏뫃뗄쟩뿶쿂쫇쓜릻뷏캪폐킧뗘뿘훆럧쿕뗄ꎬ떫튻룶닺캪짏틚쏀풪뗄춶탐뷶뾿튻훖랽램살맦뇜럧쿕쫇럇뎣캣쿕뫍늻샭훇뗄ꎬ틲캪놣쿕릫쮾헢퇹뗄뷰죚믺릹춬퇹튲뿉쓜퓚뷰죚쫐뎡쟩뿶뇤뗃뛱쇓뗄쟩뿶쿂돶쿖컞램싄탐놣쿕죋틥컱뗄쟩뿶ꎬ쓇쎴듋쪱춶놣죋뗄좨샻뻍뫜쓑뗃떽싺ퟣꎬ벴쪹쓜릻뗃떽늹뎥튲쫇쪮럖폐쿞뗄ꆣ 뗚뛾ꎬ쫂쪵횤쏷릺싲탅폃놣쿕뗄랽쪽살맦뇜탅폃럧쿕뗄랽램늢럇튻횱폐킧ꆣ쏀맺듎듻캣믺놬랢뫳ꎬ늻뷶폐듳솿뗄짌튵틸탐ꆢ춶틸탐뫍뛔돥믹뷰쿠볌놩돶뻞뛮쯰쪧ꎬ뛸쟒듎듻캣믺뗄펰쿬뫜뿬듓틸탐튵삩즢떽쇋놣쿕튵ꆣ평폚퓚쫐뎡ힴ뿶뫃쪱ꎬ놣쿕릫쮾뛔웤뿍뮧쯹쫕뗄놣럑뷏뗍ꎬ떫쫐뎡ힴ뿶춻좻쿲늻샻랽쿲얤쪱ꎬ뿍뮧쿲놣쿕릫쮾쯷엢ꎬ떫평폚횮잰쫕좡뗄놣럑맽뗍떼훂놣쿕릫쮾컞램뷸탐헽뎣뗄엣뢶ꎬ틲듋탭뛠놣쿕릫쮾쏦쇙떹뇕뗄뺳뗘ꆣ쏀맺맺볊벯췅ꎨGIAꎩ뇣쫇튻룶뗤탍뗄샽ퟓꆣ GIAퟷ캪좫쟲쫐횵ퟮ듳뗄놣쿕릫쮾ꎬ쫇좫쟲쟼횸뿉쫽뗄맺볊탔놣쿕럾컱믺릹ꎬ튵컱뇩벰좫쟲130뛠룶맺볒벰뗘쟸ꎬGIA막욱퓚얦풼횤좯붻틗쯹ꆢ쏀맺뗧ퟓ횤좯붻틗쫐뎡ꆢ싗뛘ꆢ냍샨ꆢ죰쪿벰뚫뺩뗄막욱쫐뎡짏쫐ꆣ2008쓪2퓂11죕ꎬ룃릫쮾탻늼11퓂럝뗄닺돥복뛮퓶볓쇋36틚쏀풪ꎬ폃폚쏖늹탅폃캥풼뗴웚붻틗뗄뿷쯰ꎬ헢튻쿻쾢쪹막볛뗸훁5쓪틔살뗄ퟮ뗍뗣ꆣ룟쪢릫쮾듎죕랢뇭뗄튻럝퇐뺿놨룦훐맀볆ꎬGIA뗚쯄닆헾벾뛈뿉쓜놻웈돥복룟듯100틚쏀풪뗄듎벶햮쿠맘닺ꆣ2퓂12죕쓂뗏뫍뇪ힼ웕뛻릫쮾뚼뇭쪾ꎬ쯼쏇틑뺭붫GIA뗄움벶잰뺰듓ꆰ컈뚨ꆱ쿂뗷훁ꆰ뢺쏦ꆱꆣ뇪ힼ웕뛻릫쮾뷸튻늽뇭쪾ꎬ죧맻믡볆쯰쪧듳떽ퟣ틔룸GIA듸살쫐뎡컊쳢ꎬ퓲폐뿉쓜떼훂웤탅듻움벶놻쿂뗷ꆣ죧맻GIA퓚놾싖럧놩훐쿝죫캣믺ꎬ퓲웤쯻쏀맺놣쿕샠뷰죚믺릹뚼뿉쓜쫜떽솬듸췏샛ꎬ쪹뗃듎듻캣믺뷸튻늽삩듳ꆣ 놾컄쿞폚쇏폐쿞ꎬ컞램뗃횪놴뛻쮹뗇릫쮾릺싲쇋쓄튻볒믲쓄벸볒놣쿕릫쮾뗄놣쿕ꎬ떫놾컄뇊헟죔폐샭평죏캪뷶뾿릺싲탅폃놣쿕살맦뇜탅폃럧쿕랽쪽뗄폐킧탔횵뗃룷듳춶틸탐뗄럧쿕뿘훆늿쏅짮쮼ꎬ샭싛뷧뗄볒쏇튲뿉틔뾼싇쫇럱쓜쳡돶뇈놣쿕룼캪폐킧뗄랽램ꆣ 12
뗚죽ꎬ놴뛻쮹뗇뷸탐춶뻶닟쪱뫜듳돌뛈짏틀삵룷듳움벶믺릹뛔룷훖춶닺욷뗄움벶쮮욽ꆣ떫쫂쪵쮵쏷ꎬ룷듳움벶믺릹죧뇪ힼ웕뛻ꆢ쓂뗏뗈평폚뛔쏀맺듎햮쫐뎡쯹헆컕뗄샺쪷쫽뻝맽짙ꎬ캴쓜뛔쫐뎡닺욷뷸탐좫쏦뗘럖컶ꎬ훂쪹뛔쒳킩춶닺욷쯹쫴릫쮾움벶맽룟뗄쟩뿶ꆣ뺡맜횮뫳ꎬ헢킩움벶믺릹뛔헢킩춶닺욷뷸탐쇋훘탂움맀ꎬ붵뗍쇋움벶쮮욽ꎬ떫틑컞램췬뻈쫐뎡춶헟쯹퓢쫜뗄쯰쪧ꆣ 4ꆢ3쇷뚯탔럧쿕 듓놴뛻쮹뗇맦뇜쇷뚯탔럧쿕뗄랽램살뾴ꎬ웤훷튪틀뾿뛌웚떣놣죚뫍뎤웚죚낲업ퟷ캪맦뇜쇷뚯탔럧쿕뗄쫖뛎ꆣ뛔폚뛌웚떣놣죚살쮵ꎬ떣놣욷뗄쫐뎡죏뿉뛈뻶뚨쇋룃죚랽쪽쫇럱폐킧ꎬ떱놴뛻쮹뗇돶쿖쇷뚯탔캣믺쪱ꎬ떣놣욷뗄쫐뎡죏뿉뛈붫톸쯙붵뗍ꎬ죚랽쪽늻퓙폐킧ꎬ뗖폹쇷뚯탔럧쿕뗄쓜솦튲믡듳듲헛뿛ꆣ펢맺훸쏻뗄탂컅볇헟놴룱뫆쳘ꎨalter WBagehotꎩ퓚튻룶냫쫀볍잰뻍튻헫볻톪뗘횸돶ꎺꆰ죎뫎튻룶틸탐볒뚼횪뗀ꎬ떱쯻뇘탫쿲뇰죋횤쏷쯻폐탅폃쪱ꎬ컞싛쯻뗄싛뻝뛠쎴돶즫ꎬ쯻뗄탅폃쫂쪵짏틑뺭쿻쪧ꆣꆱ 뛸헫뛔뎤웚죚낲업살쮵ꎬ퓚뷰죚쫐뎡랢탐횤좯돯뷰살싺ퟣ쇷뚯탔탨쟳춬퇹튲탨튪폐ퟅ뫜뫃뗄탅폾ꎬ튻떩춶헟믱쾤룃릫쮾돶쿖쇷뚯탔뷴좱ꎬ웤춶뗄틢풸튲믡듳듳붵뗍ꆣ뛸뎤웚죚훐뗄뎤웚뷨뿮튲탭뛔쫐뎡랴펦늻쫇쳘뇰쏴룐ꎬ떫쿠뛔웤쯼뛌웚죚쫖뛎살쮵웤돉놾붫뷏룟ꎬ룸놴뛻쮹뗇뗄뢺떣뷏듳ꎬ뛔폚쇷뚯탔뷴좱쪱웚헢컞틉쫇톩짏볓쮪ꆣ 쇭췢ꎬ뺡맜룹뻝잰튻늿럖뗃횪놴뛻쮹뗇쯤좻쪹폃쇋벸훖횸뇪살뫢솿웤쇷뚯탔럧쿕ꎬ떫쓜럱뫜뫃뗘웰떽뢨훺맦뇜쇷뚯탔럧쿕뗄맘볼퓚폚룃릫쮾뗄맜샭헟쫇럱뛔헢킩횸뇪ퟣ틔훘쫓ꎬ쫇럱퓚릫쮾쓚늿붨솢쇋솼뫃뗄쳥훆살뻟쳥닙ퟷꎬ쪵볊짏ꎬ헢튲쫇탭뛠웤쯼춶틸탐쏦쇙뗄컊쳢ꎬ벴뺡맜퓚엻슶뗄닆컱놨뇭훐뇪냱ퟔ벺폐뛠쎴췪짆뗄맦뇜쇷뚯탔럧쿕쫖뛎ꎬ떫퓚뻟쳥뗄죕뎣닙ퟷ훐쫇럱헦헽폐ퟅ쏷좷뗄닙ퟷ맦퓲ꎬ떱쫐뎡랢짺늻샻뇤뮯쪱쫇럱폐톸쯙뛸폐킧뗄펦벱듫쪩ꎬ헢킩닅쫇맦뇜쇷뚯탔럧쿕뗄ꆰ뮤짭럻ꆱꆣ 뗚5헂 ퟜ뷡놴뛻쮹뗇놻쫕릺뗄풭틲 놾컄듓탅폃럧쿕ꆢ쫐뎡럧쿕뫍쇷뚯탔럧쿕죽룶랽쏦ퟅ쫖ꎬ듓럧쿕뛈솿ꆢ맦뇜럧쿕뗄랽램벰랽램움볛뛔놴뛻쮹뗇릫쮾뷸탐쇋좫쏦뗄럧쿕럖컶ꆣ듓훐컒쏇뿉틔쟥돾뗘뾴떽ퟷ캪쫀뷧훸쏻뗄춶틸탐ꎬ평폚웤뺭펪튵컱뫍춶랽쏦뗄쳘뗣ꎬ퓚뺭펪맽돌훐쯹쏦쇙ퟅ뷏듳뗄탅폃럧쿕뫍쫐뎡럧쿕ꎬ뛸맦뇜헢솽훖럧쿕랽램뗄폐킧탔횵뗃톧쫵뷧뷸튻늽첽쳖ꆣ떫놾컄죏캪쇷뚯탔늻ퟣ믲헟뷸튻늽쮵뷰쇷뚯탔늻ퟣ쫇놴뛻쮹뗇ퟟ떽놻쫕릺뺳뗘뗄횱뷓풭틲ꎬ뛸탅폃럧쿕뫍쫐뎡럧쿕쫇웤놻쫕릺뗄짮닣듎 13
풭틲ꆣ 믘맋틔쿂샺쪷뇣횪ꎬ튻횱틔살놴뛻쮹뗇릫쮾뚼쫇쏀맺만뚨쫕틦횤좯쫐뎡짏뗄쇬춷퇲ꆣ2007쓪캪쏀맺뗚뛾듳뗖톺횤좯돐쿺짌ꎬ쫇맺햮ꆢ쫐헾햮좯뫍릫쮾햮좯ퟮ듳뗄붻틗짌횮튻ꎬ춬쪱뮹쫇듳탍뛔돥믹뷰맜샭죋ꆣ좻뛸ꎬ쯼튲쫇퓚듎듻캣믺훐싊쿈떹쿂뗄듳탍춶틸탐ꆣ2007쓪뗗ꎬ뮪뛻뷖틑폐뒫컅짹돆웤놾뷰늻ퟣꎬ쇷뚯탔쿂붵ꎬ폚쫇붻틗짌붥붥늻풸폫웤뫏ퟷꎬ훷튪틸탐튲훰붥뻜뻸웤닺뗖톺ꎬ훂쪹쇷뚯탔럧쿕벱뻧짏짽ꎬퟮ훕웈쪹놴뛻쮹뗇쫺웰냗웬쿲쿖쪵춶붵ꆣ 뷰죚믺릹뗄듦췶퓚뫜듳돌뛈짏퓚폚쫐뎡뗄탅탄ꆣ죧맻쫐뎡뛔쒳룶뷰죚믺릹쪧좥쇋탅탄ꎬ쓇쎴헢룶뷰죚믺릹샫쿻췶뗄쪱볤튲늻풶쇋ꆣ틲캪퓚쫐뎡뿖믅웚ꎬퟜ쫇쓾뿉탅웤폐ꎬ늻뿉탅웤컞ꎬ헢뻍쫇랢짺퓚놴뛻쮹뗇짭짏뗄쫂쟩ꆣ뷰죚믺릹뺭뎣샻폃믘릺쫐뎡살싺ퟣퟔ짭뗄뛌웚뷰탨쟳ꆣ믘릺뻍쫇뛌웚뗖톺듻뿮ꎨ듳뛠캪1쳬ꆪꆪ30쳬ꎩꎬ듻뿮랽틔폐볛횤좯캪뗖톺컯쿲럅듻죋뷨뿮ꎬ퓚믘릺웚뷡쫸쪱ꎬ듻뿮랽붫놾뷰폫쿠펦샻쾢뮹뢶룸럅듻죋ꎬ춬쪱좡믘뗖톺컯ꆣ놴뛻쮹뗇쫇퓚쯹폐춶틸탐훐ퟮ틀삵믘릺쫐뎡뗄ꆣ떱뮪뛻뷖폐맘놴뛻쮹뗇쇷뚯탔컊쳢뗄튥퇔쯄웰쪱ꎬ벴2008쓪3퓂13죕ퟳ폒뗄벸쳬ꎬ뻸듳뛠쫽틸탐뾪쪼뻜뻸놴뛻쮹뗇뗄뗖톺컯ꎬ짵훁냼삨튻킩럧쿕뷏뗍뗄폅훊뗖톺듻뿮횤좯ꆣ뛸뷰죚믺릹튻떩컞램뛌웚죚룹놾컞램듦믮ꆣ 뗚6헂 뛔컒맺뷰죚믺릹럧쿕맜샭뗄웴쪾 ퟔ쏀맺놬랢듎듻캣믺틔살ꎬ쫀뷧탭뛠훸쏻춶탐죧죰쪿탅듻ꆢ쒦룹쪿떤샻ꆢ뮨웬틸탐뚼퓢쫜쇋돁훘듲믷ꎬ폐킩춶탐룼쫇ퟟ쿲쇋놻쫕릺뗄뺳뗘ꎬ죧놴뛻쮹뗇릫쮾ꆣ쯼쏇뚼퓸뺭틔춶믲뺭펪샻죳룟ꆢ럧쿕맜샭벼쫵쿈뷸뛸퓚춬탐튵훐뒦폚쇬쿈뗘캻ꆣ떫쫂쪵횤쏷ꎬ헢킩훸쏻춶탐퓚쫐뎡쳵볾뇤뗄늻샻쟩뿶쿂웤럧쿕맜샭랽램죔좻뷻늻힡뾼퇩ꎬ헢횵뗃훐맺톧쫵뷧뛔뷰죚믺릹럧쿕맜샭랽램뷸탐퇐뺿ꎬ늢붫뺭퇩뷨본룸컒맺뗄뷰죚믺릹ꆣ 폫쏀맺쟩뿶쿠뇈ꎬ컒맺틸탐튵쫜듎듻캣믺뗄펰쿬뷏짙ꎬ풭틲듳늿럖퓚폚컒맺뗄뷰죚믺릹퓚몣췢춶뗄닺맦쒣럇뎣킡ꎬ뛸쟒훐맺뗄QDII웰늽뇈뷏췭ꆣ뺡맜죧듋ꎬ컒맺틸탐튵퓢쫜뗄쯰쪧튲늻죝뫶쫓ꎬ죧ퟷ캪훐맺쯄듳짌튵틸탐횮튻뗄훐맺붨짨틸탐퓚2008쓪4퓂12죕릫늼2007쓪뛈놨룦쪱엻슶ꎬ쏀맺듎듻캣믺뗄펰쿬떼훂룃탐샻죳ퟜ뛮쿂붵%ꆣ 틲듋ꎬ놾컄죏캪놴뛻쮹뗇쫂볾룸컒맺뗄뷰죚믺릹듸살쇋틔쿂웴쪾ꎺ 뗚튻ꎬ컒맺뗄뷰죚믺릹탨튪잿뮯럧쿕맜샭뗄벼쫵뫍쓜솦ꎬ탎돉튻훖뛔럧쿕쏴룐뗄쓚늿컄뮯ꆣ럧쿕맜샭펦룃쫇틸탐탐뎤믲헟ECO펦룃맘힢뗄릤ퟷ쓚죝ꆣ뛸늻 14
펦붫럧쿕맜샭떱돉쫇튻룶뿉폐뿉컞뗄샽탐릫쫂ꎬ펦룃헦헽실쪵떽죕뎣뗄닙ퟷ훐ꆣ 뗚뛾ꎬ룟뛈훘쫓ퟔ짭뗄쇷뚯탔럧쿕ꆣ쇷뚯탔럧쿕뛔폚죎뫎튻룶웳튵뛸퇔뚼쫇훁맘훘튪뗄ꎬ폈웤뛔폚뷰죚믺릹뛸퇔ꎬ죴랢짺쇷뚯탔캣믺ꎬ붫룸뷰죚믺릹듸살튻쾵쇐뗄뛱맻ꎬ죧탅폃캣믺ꆢ벷뛒ꆢ쪧좥춶헟뗄탅탄뗈ꆣ뷰죚뷧틑폐컞쫽뗄쫂쪵횤쏷쇷뚯탔럧쿕ퟣ틔붫죎뫎듳뗄뷰죚뻞죋떹쯺ꆣ 뗚죽ꎬ뷰죚퇜짺욷뗄늻뛏뢴퓓뮯쪹뗃뷰죚쫐뎡훐뗄룷룶훷쳥탎돉쇋잧쮿췲싆뗄솪쾵ꆣ죎뫎튻룶뮷뷚뗄뛏쇑뚼폐뿉쓜떼훂웤쯻훷쳥뗄뇀삣ꆣ틲듋ꎬ뷰죚믺릹뗄맜샭헟퓚톡퓱춶뷰죚퇜짺욷횮잰펦뛔웤룸믺릹듸살뗄룷훖럧쿕폐ퟅ좫쏦뛸돤럖뗄죏쪶ꎬ늻펦뷶틲캪떱잰쫕틦싊룟뛸럤펵릺싲ꎬ튻뚨튪폐짳짷뗄첬뛈뛔듽춶ꆣ 15
닎뾼컄쿗 [1] 횣솼랼ꎬ쏀맺듎듻캣믺뗄펰쿬ꆢ돉틲웊컶뫍쪮뗣뺯쪾ꎬ뺭볃퇐뺿닎뾼ꎬ2007쓪뗚66웚ꆣ [2] 튶럆ꎬ췵쪤ꎬ듓쏀맺듎내럧놩뾴뷡릹뷰죚퓚탅폃럧쿕뒫뗝훐뗄ퟷ폃ꎬ짌튵쿖듺뮯ꎬ2008쓪1퓂ꎨ쿂톮뾯ꎩꆣ [3] 훜뇳ꆢ컢쮼뷝ꎬ쏀맺듎벶햮럧늨ꎬ짏몣뺭볃ꎬ2007쓪ꆣ [4] 췵뒺럥ꎬ뷰죚쫐뎡럧쿕맜샭[M]ꎬ쳬뷲듳톧돶냦짧,2001ꆣ [5] 닜톩욽ꆢ싞폀뫣ꆢ틼뮳뛷ꎬ믹폚퓚쿕볛횵뗄쾵춳럧쿕뛈솿횸뇪ꎬ웳튵볒쳬뗘ꎬ2006쓪4퓂ꆣ [6] 뫘퓆ꎬ탍맽돌훐춶틸탐뗄캣믺맜샭ꎬ쳘쟸뺭볃ꎬ2003쓪3퓂25죕ꆣ [7] 쓂뮳엳ꎬ ꆶ훐맺닺횤좯뮯ꆪꆪ듓샭싛ퟟ쿲쪵볹ꆷ[M]ꎬ훐맺뷰죚돶냦짧ꎬ2006쓪ꆣ [8] BIS:2005,ꆰThe role of rating in structured finance: issues and implicationsꆱ. [9] Fitch:2006,ꆰ. Subprime RMBS in structured finance CDOsꆱ. [10] Philippe Jorion, Value at Risk: the new benchmark for controlling derivatives risk [M], The McGraw - Hill Companies, inc., 1997. [11] Philippe Jorion, Credit Risk Management, Financial Risk Manager Handbook Second Edition, John Wiey &Sons, Inc., Hoboken, New Jersey, 2003. [12] Gianluca Oderda, Michel M. Dacorogna, Tobias Jung, Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment, Economic Notes by Banca Monte dei Paschi di Siena SpA, vol .32, no. 2 - 2003, pp. 177 – 195. [13]Peter Crosbie ,Jeff Bohn ,MODEL IN G DEFAUL T RISK, December 18 ,2003 ,Moody’s KMV. [14] Das, S. R., Tufano ,P. . Pricing credit sensitive debt when interest rates, credit ratings and credit spreads are stochastic [J]. Journal of Financial Engineering, 1996, 5 (2), 161 – 198. [15] 놾컄쫽뻝살풴ꎺ 16
훂킻 듋싛컄뗄쮳샻췪돉뗃틦폚컒뗄횸떼뷌쪦塘뷌쫚퓚톡쳢뫍쿠맘싛쫶랽쏦룸컒뗄쾤탄횸떼ꆣ춬쪱ꎬ튲튪룐킻퓚싛컄뗄킴ퟷ맽돌훐ꎬ볒죋룸폨뗄듳솦횧돖ꆣퟮ뫳ꎬ춬톧퓚싛컄닄쇏뫍쫽뻝뗄쯑벯뫍헻샭랽쏦튲룸폨쇋뫜듳뗄냯훺ꎬ놾죋퓚듋튻늢훂킻ꆣ 2008쓪5퓂 17
