w ¤pzY`M w ¬|s^M{ · t ÖU oM PPt b Ý b \q §}P ... z px pKlh{ t Ö `oM ...
û b w @ b2 » l b q#Ý + ö b è0¦...Ý 6 ¯ b i $ s Ø C p ` T s M \ q T z f w w ' À w Ý 6 t !...
Transcript of û b w @ b2 » l b q#Ý + ö b è0¦...Ý 6 ¯ b i $ s Ø C p ` T s M \ q T z f w w ' À w Ý 6 t !...
FinTech
No.16-J-10 2016 9
103-8660 30
*
∗
— FinTech —
†
2016 9
1 PO
PO
PO
2
: EDI FinTech
∗
IT
3 2016 3 11
2016
1
1
“ ” 1
IT FinTech
EDI Electronic Data Interchange2
1
2
3
“ ”3 1
1 “ ”
“ ”
2 A3 (2014) (2014)
ABL ABL
(2011) (2011)
1 ABL
(2014) (2014)
2
“ ”
1
1:
PO
2 1
Purchase Order PO
PO
2
3
FinTech4
2 PO 3
4
A EDI
B
2 Purchase Order
PO
PO
PO 2-(a)
PO 1© 2©3© 4© 5©
4 EDI
(2013) (2015)
2013 7 12 IT
2014 10 2015 7 IT
2015 12 2016 7
4
2:
(a) PO
(b)
PO5
2-(b)
4.5 15
EV6 2011 1 2013 12
AA 9 7
5 (2014) PO
PO
6 2016 8 29 http://www.kojima-tns.
co.jp/7 R&I JCR 2014 1
5
PO 9
AA
PO
8
3
3
BBB
25
0.4%8 PO (2012)
CEFACT (2013, 2014)
PO
CEFACT (2013) PO
6
B
3:
2013
01
2013
04
2013
07
2013
10
2014
01
2014
04
2014
07
2014
10
2015
01
0
2013
01
2013
04
2013
07
2013
10
2014
01
2014
04
2014
07
2014
10
2015
01
0
2013
01
2013
04
2013
07
2013
10
2014
01
2014
04
2014
07
2014
10
2015
01
<0
0
2013
01
2013
04
2013
07
2013
10
2014
01
2014
04
2014
07
2014
10
2015
01
0
2013
01
2013
04
2013
07
2013
10
2014
01
2014
04
2014
07
2014
10
2015
01
0
2013
01
2013
04
2013
07
2013
10
2014
01
2014
04
2014
07
2014
10
2015
01
2011 1 2014 12
7
4
4 8 12
4:
0
20
40
60
80
100
120
140
201101
2011
05
201109
201201
2012
05
201209
201301
201305
2013
09
201401
201405
2014
09
2011 1
100
2011 2013
12
2014 1 12 1
5
5
8
5:
1
98
98.5
99
99.5
100
100.5
101
101.5
102
0.000%
0.010%
0.020%
0.030%
0.040%
0.050%
0.060%20
1401
2014
02
2014
03
2014
04
2014
05
2014
06
2014
07
2014
08
2014
09
2014
10
2014
11
2014
12
12 1 2014 1 2013 1
1 2013 12 31 1 2011
1 100
6 6
9
6:
0.000%
0.100%
0.200%
0.300%
0.400%
0.500%
0.600%
2014
01
2014
02
2014
03
2014
04
2014
05
2014
06
2014
07
1
2
2014 5
1. “1 ” 2. “2 ” 2
3 R&I
AA 1 ∼ 0.058% A 1
0.058 ∼ 0.161% BBB 1 0.161% ∼
4
PO
10
PO
9
EDI10 EDI
IT
EC
EDI11 IoT Internet
of Things
IoT
9 EDI
10
11 IT (2000)
(2000) BtoB
11
12 FinTech
IT
1
A EDI
EDI
IT API Application
Programming Interface API
EDI
EDI EDI
EDI
EDI
2013
EDI
API 14
A-1
EDI EDI IT
12
13 EDI (1995, 2015)
(2015a)14 EDI
(2015) Cloud Payment (2016)
(2015b,c)
12
A-1 : API EDI
EDI
API
EDI
201515
XML
EDI XML EDI
EDI16 A-2 2016 6 EDI
A-2
IT 1© IT
XML 2© IT
3©IT 4©
XML
15 (2015) (2016)16 (2016)
13
A-2 : EDI
EDI
(2016)
2
EDI
14
EDI
17
B
3
3
Merton (1974)
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.
Cloud Payment 2016 FinTech RPA
IT
6 FinTech
(https://www.boj.or.jp/announcements/release_2016/data/rel160905b2.
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