Ʒ Դϴ. ؼ δ Ѳ ÷ µ ڿ ̳ ǽ Ȩ ּ Ѳ. ؼ ƴմϴ. ̵ ⺻ ڰ Ǿ ϴ ܵӴϴ. www.fcyang.com ε ּŵ ϴ.
: Ѽ ...ʵ (U.S vs World market )
¥ | | | 2008 1 22 ȭ, 20 21 10 +0900 |
ȳϼ Դϴ. ְ ƴ ؼ Դϴ. Ƿ ȣ Ͻð õõ о ñ ٶϴ. IMF 9.11 ϳ ū ȸ Դϴ.
Where are we ? : ߵ ܱ ŵ
2002 D.C Salt lake city θ 뵵ø ʵη ̿ л ѱ ۱ݰ ̿ , ɷ¾ ־. ϰ Ŀ µ ڻȭȸ(SPC) ѱ ο SPC Ŵ ȯ ļ ο 帧 (Pass through) ̷ 帧 ȭ ⺰ © (CDO) ȭ(Securitized)ؼ ٽ Ȱ Ǵµ ,,ļ ݸ ö ϰ ļ ڰ ظ ( ) ļ شǴ (Mezzane) ڵ ظ Ǿ , ̱ ο ڵ ݸ ƴ Ѵٰ ϴ ̻ ڵ ذ Ȯ( ̱ ڱ )ǰ ִ. ̰ ̴.
ǥ ¡ 1. ư Ƶ ̱ ä ̻ ս Ծٴ .... ļ ̻ ظ Ծ. 2. νð ݸ ϱ ǥ...äݸ(ARM) ڿ ս Ը Ȯϰ 3. ܱ ް (Steepened) ܰ Ÿ
Stop when ? : ܱ ŵ ΰ ?
Ŵ ̰ Ȳ ̷ ٸ ŵ ΰ ٽ̸ ǻ糪 TV Ƴ 츮 ֽ Chart ̵ռ ǹ̰ . ŵ ܼϰ ؼ ̱ Risk ڻ ȾƼ(ַ ̸¡ ֽ) ڻ ؾϴ ϴ ̱ Ÿ ߿ϴ. ٸ Ÿ ߿伺 ξ ϰ ȣ ұ ̴.
߿ Market data List
1. LIBOR 2. ̱ ä ȸä Spread (CDS Index ſε Ȯ) 3. / ȯ /ȭ ȯ 4. CRS IRS Spread 5. 6. ֽ ŷ ܱ ŵ
ǹ̸ ϱ ռ 츮 KOREA 4õ ִ ڱ Brand ǹ̰ . ϸ κ Lease Һθ ؼ ְ ijŻ ̷ ʿ ڱ 츮 ؼ ְ ̱ Ȥ ؼ ִ. ä ֽ ε ̶ Ҹ ڻ ڻ ִ ȯ Źó ִ ȴ. ǥ ǹ̸ ϰڴ.
1 LIBOR --- ȭ ܱ ڱ ݸ Ǵ° ? ǥ ڵ ̸ LIBOR ݸ Ǿ ū dz غ϶ ްϰ ܰ( ־ٴ ǹ) ̰ ִ. 1 ̱ ݸ Ѵٰ Ͽ ݸ ܰ ȣ ְ Ʒ ̽ð LIBOR rate ̸ ֽ϶.
http://ifc.yahoo.co.kr/html/RATE03.html (LIBOR rate)
Ʒ ̵ LIBOR 1 3.902 6 3.674 12 3.268 1 6 230 BP 1 12 650 BP û ް (ܰ) Ǿ ְ Ⱑ Flat ų ° ̱ ȭ Ǿٰ ȴ.
2. ̱ ä ȸä ſ Spread ǹ: Ӿ ڻ ȣ ä ȸä Spread ε ̰ پٴ ǹ̴ ȭȴٴ ǹ.
̱ ݸ 1 Ѵٰ Ͽ 츮 ġ ѱ call ݸ Ͽ ̰ ѱ ݸ ŷ̰ ̰ ߿ ״ ʰ , ݸ ִ. 1 ʿ ̱ Spread ô Ұ Ϲ 6.5% ݸ ̰ ־. ̱ ݸ Ͽ 忡 Ȯ Ǿ ȭǰ ִ 캼 ִ ι° ǥ ٷ ̱ ä Ϲ ȸä о Spread پ ִ° Ȯϴ ̸ ̰ Ʒ Ʈ ؼ ִ.
http://www.bloomberg.com/markets/rates/index.html ---> ̱ ä,ARM,Prime rate,
http://finance.yahoo.com/bonds/composite_bond_rates --> ̱ ä ȸä YTM Spread
ȸ Ͽ ϳ iTraxx or CDX (ä ſ κи ŷǴ ̱ ) 3. / /ȯ
/ ǹ
̱ ݸ ϰ ȭ Ǿ Ϻ ݸ Ͽ Ϻ ̱ ݸ̴ ְ ̿ Ϻ ȭ 0.5% ۿ ִ ȭ ȭν ij û ȣ ȭġ Ҽ ڻ ȣ Ÿٰ ְ Ʒ ũ / ϶ ϰ ݵ 9 115 2008 1 22 106.07 ȭ ġ Ͽµ 帧 ٲ ڻ ̱ ȣ ȣ Ƶ .
http://finance.yahoo.com/q/bc?s=USDJPY=X&t=1y ---> /
/ȭ ǹ
̱ ݸ ϴ ȭ Ǿְ ݸ 5 % ̻ ϰ ȯ ϰ ְ ̴ ŭ ܱ ֽ Ⱦ ȭ ȭ ٲٷ ܱ 䰡 ϰ ְ Ʒ ڷ ̱ ̹Ƿ ȯ 953.90 ݿ ϰ ֽĽ ӵǴ ŵ ȯ Ұ Ѵ 900 950 Ͽ ȯ ̱ Ѵٴ ǹ̴(ȯ϶ ȭġ ) ܱ ŵ پ ִٰ ִ ǥ.
http://finance.yahoo.com/currency/convert?amt=1&from=USD&to=KRW&submit=Convert ---> /ȭ
4. CRS IRS Spread
CRS (currescy rate swap ) IRS( Interest rate swap) ǹ̸ Ϸ Swap ǹ̸ ؾ ϹǷ ٽɸ ϸ ȭ 츮 ȭ CRS ǹ̴ ؼ ް Ǵ ڿ IRS ݸ ݸ ٲ ʿ ݸ ϰ CRS IRS ȭ ̶ ϸ . ֱ ȭ ȭ 䰡 þ ̿ (CRS)-ȭ(IRS) ̸ ֽ ʿ䰡 ְ Spread о 츮 ä ڱ 귯 ȭ پ ֽ Ǿ ִٸ ֽ ڱ Ű Spread о Ȯ ü 븱 ִ 츮 ä ڰ Ǿ .
ܱݸ ȮϷ.. "ϳ" Ӹ ---> CRS IRS ǹ̸ ˱ ٶ.
CRS-IRS Spread
http://www.bondweb.co.kr/menu05/sub03/swap.asp?menu_num=530 --> ȸؾ
5. ܱ ڱ 3 5
11 12 ް ܱ ڱ CD ݸ Ͽ ̴ ֽ ŷ ܱ ä ŷµ ǹϰ ܱ Ͽ ֽ VS ä ǴϿ . Ʒ 츮 ܱ ְ ȭ ð ϸ .
6. ֽ Ȳ
Chart ̵ռ(Moving average) ũν Ͼٴ ǹ ٴ ŷ ϰ پ ְ( ȰȲ ϰŷ 10 1800 8 6 ϶ϰ ) ŷ 5 پ 뷮 Ȳ Ǿ ڳ Ȥ ݵ ϴ Ϲ ڵ Ƽ ִٰ . ŷ پ ° ? ϶ ϳ Ÿ Ǿ
ܱ ŵ.
ܱ ŵ Sell Korea ƴ ̸¡ Ͽ + dz( ,ɼǵ ŷ ) + ̸¡̶ 츮 ̰ 3ڰ ¾ ŵ ϴ ѱ ٰ . ܱ ŵ ż 3 ӵ ǹ ´ٸ ŵ پٰ .
: Invest now and use leverage ? ؾϳ ? ϳ ?
ٽ ϴ 6 ǥ ֽؾ Ѵ. ̱ ڱ (LIBOR ݸ , ä ȸä Spread ) ݸ Ͽ ij û (/ ) ڱ ް ȭ ڱ ο ǰ(CRS-IRS) ȭ ڻ ް ŵ ȯ (/ȭ ) ֽ ä ǰ ִ ä ֽ ŵ θ ǰ ִ ϰ Ÿ ŷ Ž 鼭 Դٰ Ǹ...
Ȱ ֽ ż,ȭ ŵ, ݸ ο ä ż û ȸ ɴϴ.
IMF, 9.11 ¿ ٸ û ȸ IMFÿ Finance 9.11 ÿ ϰ ־, ǿ û ȸ ִµ װ ô ̳ Ÿ..... ѹ ñ ȸ ̶ Դϴ.
ƴٴϴ ڻ ڻ ϴ غصΰ ̸ Ǹ ص帮, ŷڰ ٸ غ ִ ڱ ġ ʾ ѵ.... ŷڿ ε尡 ö ̷ ٽ ̷ ȸ ġ ʰ ϴ ٷ ϴ.ֽ μ̴ٰ..... ƴ ϼ ϳ..
ó մϴ.
1 ̱ ̱ ȭǰ ǹ ʰ ̸¡ ̵ ......뷮
2. ̱ ̱ ħü ǹ ̵Ǿ ....
3. ̱ ǹ ̵ǰ ڵ дп Բ Ű ̾ .... Ʈ ߰ ϰ ִ Ȯ
3 ó ū 帧̶ ø ˴ϴ. ش ȭǰ,̱ ǹ Ÿ Ÿ ũ ʰ ߱ ε ɸ ϸ ȸ Դϴ.
Financial Actuary 帲
P.S ϸ鼭 ڴ ϰ ڴ ڰ ۿ ں Ӽ ϴ. ƹ ȸ ̶ к û Ϲ ڵ ڱ ٸ ְ ȯϱ Դϴ. ȸ ´ٸ װ ȸ ִ ŰǷ ̹ Shock ݸ ȯ ֽ ä ȯ ̴° غñ մϴ. |
" Get Rich Slowly " - Merrill Lynch
"I have miles to go,Promise to keep,before I sleep"
ϴ ۿ - Robert Frost
40Ʈ ̻ ϳ. ^^;;