The Impact of Financial Securitization on the Lending Behaviour and the Risk Management in the Financial Industries

• Project/Area Number: 19530287
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Chuo University
• Principal Investigator: TAKAHASHI Toyoharu Chuo University, 商学部, 教授 (10211343)
• Project Period (FY): 2007 – 2010
• Project Status: Completed (Fiscal Year 2010)
• Budget Amount: ¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000); Fiscal Year 2010: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2009: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2008: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2007: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
• Keywords: 証券化 / 金融機関 / 融資 / リスク管理 / イールド・カーブ / スプレッド / 信用リスク / 金利リスク / 格付け / 主成分分析 / 格付

Research Abstract

Based on the survey of the research on the risk management and lending behaviour in the financial institution, the impacts of financial securitization were analysed in the two aspects at the final stage. One is how the risk that has increased by the “subprime loan" problem in the US affected the Japanese economy comparing to the economic shock which is not much related to the securitization. The increased risk had an effect that increases the risk in both financial and non-financial industries in Japan. And another is how the securitized assets are becoming more "popular" for the investment tool. The securitized asset such as structured bonds became "popular" not because by their well understanding the products characteristics. This may be in the similar situation to the period of subprime loan problem in the US.

Research Products

• [Journal Article] 金利リスクの測定方法の展開 -イールド・カーブ変動パターンの測定- (2008)
  • Author(s): 高橋豊治
  • Journal Title: 企業研究 第13号 Pages: 81-103
  • NAID: 40016239117
• [Journal Article] 金利リスクの測定方法の展開-イールド・カーブ変動パターンの測定- (2008)
  • Author(s): 高橋豊治
  • Journal Title: 企業研究 第13号 Pages: 81-103
  • NAID: 40016239117
• [Journal Article] 公社債流通市場におけるLIBORスプレッドの最近の動向 (2007)
  • Author(s): 高橋豊治
  • Journal Title: 企業研究 第11号 Pages: 65-89
  • NAID: 110006140844
• [Presentation] Two Financial Tsunamis hitting in Japan (2010)
  • Author(s): 高橋豊治
  • Organizer: The Australian Conference of Economists 2010
  • Place of Presentation: Dockside (Sydney, Australia)
  • Year and Date: 2010-09-28
• [Presentation] Two Financial Tsunamis hitting in Japan (2010)
  • Author(s): 高橋豊治
  • Organizer: The Australian Conference of Economists 2010
  • Place of Presentation: Dockside(オーストラリア・シドニー)
  • Year and Date: 2010-09-28
• [Presentation] Two Financial Tsunamis hitting in Japan (2010)
  • Author(s): 高橋豊治
  • Organizer: The 18th annual Conference on Pacific Basin Finance, Economics, Accounting and Management
  • Place of Presentation: Graduate University of Chinese Academy of Sciences (Beijing, China)
  • Year and Date: 2010-07-25
• [Presentation] Two Financial Tsunamis hitting in Japan (2010)
  • Author(s): 高橋豊治
  • Organizer: The 18th annual Conference on Pacific Basin Finance, Economics, Accounting and Management
  • Place of Presentation: Graduate University of Chinese Academy of Sciences(中国・北京)
  • Year and Date: 2010-07-25
• [Presentation] Japanese Interest Rate Swap Pricing. (2009)
  • Author(s): Junji Shimada, Toyoharu Takahashi, Tatsuyoshi Miyakoshi, Yoshihiko Tsukuda
  • Organizer: The All China Economics (ACE) International Conference
  • Place of Presentation: City University of Hong Kong
  • Year and Date: 2009-12-16
• [Presentation] Japanese Interest Rate Swap Pricing (2009)
  • Author(s): Junji Shimada, Toyoharu Takahashi, Tatsuyoshi Miyakoshi, Yoshihiko Tsukuda
  • Organizer: The All China Economics(ACE)International Conference
  • Place of Presentation: City University of Hong Kong
  • Year and Date: 2009-12-16
• [Presentation] 金利リスクの測定方法の展開-イールド・カーブ変動パターンの測定- (2008)
  • Author(s): 高橋豊治
  • Organizer: 日本金融学会
  • Place of Presentation: 広島大学
  • Year and Date: 2008-10-12
• [Presentation] 金利リスクの測定方法の展開 -イールド・カーブ変動パターンの測定- (2008)
  • Author(s): 高橋 豊治
  • Organizer: 日本金融学会
  • Place of Presentation: 広島大学
  • Year and Date: 2008-10-12
• [Book] 金融危機とマクロ経済(岩井克人・翁百合・瀬古美喜編)(第2章 サブプライムローン問題の日本経済への影響:日本を襲った2 つの金融危機) (2011)
  • Author(s): 宮越龍義・高橋豊治・島田淳二・佃義彦
  • Publisher: 東京大学出版会
• [Book] 金融危機とマクロ経済第2章(岩井克人・翁百合・瀬古美喜編)(サブプライムローン問題の日本経済への影響:日本を襲った2つの金融危機) (2011)
  • Author(s): 宮越龍義・高橋豊治・島田淳二・佃義彦
  • Publisher: 東京大学出版会(掲載決定(印刷中))
• [Remarks] ディスカッション・ペーパー Junji Shimada, Toyoharu Takahashi, Tatsuyoshi Miyakoshi, and Yoshihiko Tsukuda "Japanese Interest Rate Swap Pricing" Discussion Paper No.253 Tohoku Economic Research Group, 2010年2月
• [Remarks] ホームページ
  • URL: http://c-faculty.chuo-u.ac.jp/~toyohal/Research/papers.htm
• [Remarks]
  • URL: http://c-faculty.chuo-u.ac.jp/~toyohal/Research/papers.htm
• [Remarks]
  • URL: http://c-faculty.chuo-u.ac.jp/~toyohal/Research/papers.htm
• [Remarks]
  • URL: http://c-faculty.chuo-u.ac.jp/~toyohal/Research/papers.htm
• [Remarks]
  • URL: http://c-faculty.chuo-u.ac.jp/~toyohal/Research/papers.htm
• [Remarks]
  • URL: http://c-faculty.chuo-u.ac.jp/~toyohal/Research/papers.htm