???? (financial tsunami) ??

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??????????

• ???
• ?????????????

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????, ????
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OUTLINES

1. ?????
2. ???? (financial tsunami) ??
3. ??????????

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1. ?????

• 1.1 ??? structured notes
• 1.2 ?????? collateralized debt obligation (CDO)
• 1.3 ?????? credit default swap (CDS)
• 1.4 ???????? synthetic CDO

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1.1 ??? structured notes

• ???????????? (synthetic securities)
• ??????????????

?? A r
?? A
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1.1 ??? structured notes

• ?????? (convertible bonds), ?????? (gold-linked
  bonds), ?????? (cotton-linked bonds)
• ?? ????????, ??????

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1.2 ?????? collateralized debt obligation (CDO)
Tranche 1 yield35 1st 5 of loss
Bond 1 Bond 2 . . Bond n Average yield8.5
Tranche 2 yield15 2nd 10 of loss
Trust
Tranche 3 yield7.5 3rd 10 of loss
Tranche 4 yield6 Residual loss
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1.3 ?????? credit default swap (CDS)
90 basis points per year
Default protection buyer
Default protection seller
Payment if default by reference entity
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1.4 ???????? synthetic CDO
Tranche 1 yield35 1st 5 of loss
CDS 1 CDS 2 . . CDS n Average yield8.5
Tranche 2 yield15 2nd 10 of loss
Trust
Tranche 3 yield7.5 3rd 10 of loss
Tranche 4 yield6 Residual loss
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2. ??????

• 2.1 Lehman Brothers
• 2.2 AIG
• 2.3 Others (Goldman Sachs, Morgan Stanley,
  Merrill Lynch)

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2.1 Lehman Brothers

• 15 Sep, 2008 ?? chapter 11
• ????
• Collateralized Debt Obligation (CDO)
• Hedge Fund ????
• ???

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Bankruptcy Process
Financialdistress
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2.2 AIG

• ??????
• Credit Default Swap (CDS)
• Synthetic CDO

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2.3 Others

• Goldman Sachs ? Morgan Stanley ??investment bank
  ??? commercial bank,
• Merrill Lynch ? Bank of America ??
• ??????
• ???? Fortis ?????????

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3. ??????????

• 3.1 ????
• 3.2 ?????

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3.1 ????

• ?? (??, ??)
• ???? (??, ??)
• ?? (??, ??, ??, )
• ???? (??, ??, ???),
• ???? (CDO, ???, ??)
• 34 ??????

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The Capital Structure Question

• Balance Sheet
• Asset Liability
  (debtholder,
• 
  bondholder)
• Equity
  (shareholder,
• 
  equityholder)

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3.2 ?????

• ??
• ??
• ??
• ??
• ???
• ????

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QA