FinTech

* suguru.yamanaka@boj.or.jp

No.16-J-10 2016 9

103-8660 30

*

∗

— FinTech —

†

2016 9

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: EDI FinTech

∗

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3 2016 3 11

2016

† suguru.yamanaka@boj.or.jp

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Goldstein, Ju, and Leland (2001) Genser

(2006) (2013)

17

15

B.1

1

1.

2.

3.

4.

5.

6.

7.

8.

1.

(Ω,F , {Ft}t∈T ,P)

T = {0, 1, 2, · · · ,∞} {Ft}t∈T P

I = {1, 2, 3 · · · , I} {Oit}{t∈T }

i ∈ I {Ft}-

2.

16

St =

I∑i=1

(Oi

t−h1{t≤Ti} + (1− LGDi)Oit−h1{t>Ti}

)(1)

Ti i

{Ft}- h ≥ 018 LGDi

3.

Ct = f({Oi

t−g}i∈I

). (2)

f f : RI → R g19

4.

Pt =

t∑s=0

(Ss − Cs)

5.

It = min(Vt − V0, 0)

18

19 Ct

Ct

17

Vt Pt

Vt =∞∑s=t

EP

[Ps

(1 + r)s−t

∣∣∣Ft

]

r EP [·|Ft] Ft-

Ct = f({Oi

t−g}i∈I

)

Pt = St − Ct

Vt − V0 > 0

It = 0

6.

EBTt

EBTt = Pt + It

Et

Et = EBTt1{EBTt<0} + (1−G)EBTt1{EBTt≥0} (3)

G

7.

t Vt

V0 V0 Et

Vt = V0 + Et.

8. St Dt

St = Vt −Dt

τ = inf{t ∈ T \{0}|St < 0}

18

B.2

B.2.1

{Oit}

1

Rit = log(Oi

t)− log(Oit−12)

Rit = αi + βiR

it−1 + σi

(ρiWt +

√1− ρ2i εi,t

). (4)

N(m, v) m v Wt ∼ N(0, 1), εi,t ∼ N(0, 1)

t αi βi σi ρi

Wt ρi

{αi, βi, σi}AR

Rit = αi + βiR

it−1 + εi,t, εi,t ∼ N(0, σ2

i )

19

{αi, βi, σi}ρi {ρij} 2∑I

i=1

∑i−1j=1(ρiρj − ρij)

2

9 i = 1, 2, · · · 910 i = 10 I = 10 20

R arima

B-1 {β}Ljung–Box

ρi

0.421

{Rit}

Oit =

{Oi

t−12 × exp(Rit)}1{t≤Ti}

Ti i

(1) LGDi =

1 2

h = 2

i Merton 1

t i

t+ 1 i

Xi Qi

20 2011 1 2013 12 9

96.6%21

Kolmogorov–Smirnov

p 1% 100%

83.4%

2012 1 2013 12 2014 1 12

20

B-1 : (4)

i 1 2 3 4 5

αi −0.039 −0.047 0.006 0.159 −0.013

βi 0.594 0.881 0.006 0.366 0.342

σ2i 0.005 0.013 0.006 0.018 0.008

ρi 0.970 0.883 0.733 0.349 0.338

p 0.694 0.796 0.999 0.732 0.999

i 6 7 8 9 10

αi 0.131 0.041 0.087 −0.116 −0.436

βi 0.257 −0.243 0.756 0.073 0.624

σ2i 0.013 0.065 0.019 0.011 0.090

ρi 0.677 0.537 0.754 0.260 0.267

p 0.793 0.754 0.341 0.961 0.583

p Ljung–Box

Xi = ρiW +√1− ρ2i εi, (5)

W ∼ N(0, 1), εi ∼ N(0, 1) (6)

W εi

i

P(Xi < Qi) = Φ(Qi) (7)

Φ(·)Wt

ρi

Qi R&I JCR

(7)

BBB

21

ρi

TOPIX

2

ρi22 B-2

B-2 : (5)

i 1 2 3 4 5

ρi 0.849 0.877 0.877 0.825 0.836

i 6 7 8 9 10

ρi 0.711 0.715 0.902 0.827 0.877

f

f({Oi

t−g}i∈I

):= a

I∑i=1

Oit−g1{t<Ti} + b.

2008 2013

{a, b} 23

a = 0.905 b = 7.83× 108 24

22

23

12

b 6

24 b

22

(2)

1 g = 1

It = min(Vt − V0, 0),

Vt =∞∑s=t

EP[Ps|Ft]

(1 + r)s−t.

Pt r

Ct = f({Oi

t−g}i∈I

)

Pt = St − Ct

f

f({Oi

t−g}i∈I

)= a

I∑i=1

(Oit−g1{t<Ti}) + b

a b

{a, b} 2008 2013

{a, b} 25

a = 0.904 b = 8.08× 108 26

M27

Vt =

M−1∑s=t

EP[Ps|Ft]

(1 + r)s−t+

EP[PM |Ft]

r(1 + r)M−t−1.

25 23

26 24 b27

23

5 M = 60

It = It ×V0

V0

28 V0 0

CAPM

rs

rs = rf + β(rm − rf )

rf rm β29 10

rm − rf 4%

β rD

r =E

E +Drs + (1−G)

D

E +DrD

E D G = 0.4

3.52 3.84%

EBTt EBTt = Pt+ It

(3) G = 0.4

28 V0

29

24

B.2.2

2014 1 12

V0 2014 1

2013 12 2014

2014 1

V0 V0

2014 130 1

10

3 5

B.3

30

25

2012 23

(http://www.caos-a.co.jp/SIPS/bizinfra/report.html)

1995 1995 6 2 13

(http://www.imes.boj.or.jp/research/papers/japanese/ki9506.pdf)

2015 EDI EC IT

3

(https://www.boj.or.jp/announcements/release_2015/data/rel150227a2.

pdf)

2015 BtoB ID

IT 6 ID

(https://www.boj.or.jp/announcements/release_2015/data/rel150612a5.

pdf

Cloud Payment 2016 FinTech RPA

IT

6 FinTech

(https://www.boj.or.jp/announcements/release_2016/data/rel160905b2.

pdf

2015

(http://www.fsa.go.jp/singi/singi_kinyu/tosin/20151222-2/01.pdf)

2015 IT EDI

EDI IT

3

(https://www.boj.or.jp/announcements/release_2015/data/rel150227a3.

pdf)

2013

EDI EDI

1

(https://www.boj.or.jp/announcements/release_2013/data/rel130805a3.

26

pdf)

CEFACT 2013 24

P.O.

(http://www.caos-a.co.jp/SIPS/documents/kinryushoryu_report2013may.

pdf)

CEFACT 2014 SCM

2014

(http://www.caos-a.co.jp/SIPS/documents/kinryushoryu_report2014.pdf)

2011

2011-J-6

(https://www.boj.or.jp/research/wps_rev/rev_2011/data/rev11j06.pdf)

2016

(http://www.fsa.go.jp/singi/kessai_kanmin/siryou/20160608/04.pdf)

2013 Monte

Carlo-optimal quantization

(http://ethic.econ.osaka-u.ac.jp/workshop/13Dec/AbstNakagawa.pdf)

2011

2011-J-9

(https://www.boj.or.jp/research/wps_rev/rev_2011/data/rev11j09.pdf)

2011 ABL

2011-J-4

(https://www.boj.or.jp/research/wps_rev/rev_2011/data/rev11j04.pdf)

2014

(https://www.boj.or.jp/announcements/release_2014/data/rel140224a.

pdf)

2015a IT

3

(https://www.boj.or.jp/announcements/release_2015/data/rel150227a1.

pdf)

2015b IT

6 ID

27

(https://www.boj.or.jp/announcements/release_2015/data/rel150612a1.

pdf)

2015c IT

(https://www.boj.or.jp/announcements/release_2015/data/rel151021a.

pdf)

2016 IT

3 4 1© · 2©

(http://www.boj.or.jp/announcements/release_2016/data/rel160609b8.

pdf)

2000

2000 8 7 24 27

2014 ABL 2014

12 72 75

(http://www.boj.or.jp/announcements/release_2015/rel150216f.pdf)

2016 IT

3

(https://www.boj.or.jp/announcements/release_2016/data/rel160609b4.

pdf)

Genser, Michael (2006) A structural framework for the pricing of corporate securities,

Springer, 2006.

Goldstein, Robert, Nengjiu Ju, and Hayne Leland (2001) “An EBIT-Based Model of

Dynamic Capital Structure,” Journal of Business 74(4), pp.483–512.

Merton, Robert (1974) “On the pricing of corporate debt”, Journal of Finance 29(2),

pp.449–470.

28