Features

2008

19302008

(Fannie

Mae)(Freddie

(The 2008 Financial

Mac) (915)

Tsunami)

(Lehman Brothers)

(Merrill

(subprime mortgage)

Lynch)

500(916)

2007

( A m e r i c a n

International Group, AIG)

200898

95%850

921(Goldman Sachs)

Fed(Alan Greenspan)2008914ABC
(Once in a half century, probably once in a century type of eventThis is the worst economy I've
ever seen.

2008200742
(New Century Financial Corp.)3200(54)
86(American Home Mortgage Investment Corp.AHM)
89
(Fannie Mae)(Federal National Mortgage Association)19301938
1968
(Freddie Mac)(Federal Home Loan Mortgage Cooperation)1970

(mortgages)
(mortgage-backed securities)
40%
(http://chua3439.pixnet.net/blog/
post/21747897(Fannie Mae)(Freddie Mac))

No. 144

87

Features

(Morgan Stanley)

926

2695(27

(savings and

)1151.16

loan)(Washington Mutual

Inc.WaMu)

(FDIC)

81%20091

23

(Reykjavk)

(Merrill Lynch)

(Geir Haarde)

(The Wall

Street Journal)(The

Financial Times)

(Washington Mutual Savings Bank)

(savings and loan association)2008925
19926

321931383(Kaupthing, LandsbankinnGlitnir)
610Fortune(Peter Gumbel)

20088

(GDP)60%http://udn.com/NEWS/WORLD/

2009119(RBS)280RBS67%

WORS3/4553629.shtml
35001211.3619859 http://tw.news. yahoo.
com/article/url/d/a/090123/4/1dgg7.html

88

10

(securitization)

2008

()

20077

10

(Subprime
Mortgage)

2008

11

1980

12

2000~20062,500312

2004200520066,0002003(200610.2
)20018.5%200611%2007101.210%

10

(2009.1.20)Our economy is badly weakened, a consequence of greed and irresponsibility on the

part of some, but also our collective failure to make hard choices and prepare the nation for a new age.

11

(Prime mortgage)(Alt-A mortgage)(Subprime

mortgage) (prime mortgage)350
(3.5%) (FICO score)620

12

1933(Glass-Steagall Act, G-S)

1980

(The Depository
Institutions Deregulation and Monetary Control Act of 1980)Garn-St Germain Depository
Institutions Act of 1982

89

Features

()

2004(Fed)

171%

5.25%

UBS

(interest

(Union Bank of Switzerland)

o n l y ) 14 ( p a y m e n t

10

option) 15

65%69%

(hybrid ARMs) 16

((Prime

(piggyback)17

mortgage)2 ~ 3)

(FICO score)13

()

2000520036
(Fed)

13

6.5%1%

20021020057

290%

13

Fair Isaac Corporation

14

5-10

15

16

(adjustable-rate mortgage, ARM)(Treasure rate)

2-283-275-253023 5 2827 25

17

(second-lien)
80-10-1080-20-0 80-15-5

90

20002005

2006

2007

(2008)2007

(Fannie Mae)(Freddie Mac)

25

42

18

(New

Century Financial Corp.)

3200(

54)620

(Bear Sterns)

89
(BNP

2000520036

Paribas)

20

200420071%

5.25%80%

(American Home Mortgage Investment

Corp.)

2008

18

200712(5~6)80%RMBS
(residential mortgage-backed securities, )CDO (collateralized debt obligations, )CDS (credit
default swaps)

91

Features

19

20

2008

(Blinder, 2007)21

(Stiglitz, 2007)

2008

97
915
6130

(originators)

500917

850AIG926

(FDIC)

1037000

109Geir

Haarde

1010

19

200881TUNINDEX10.55%80
42.6%70%OMXI 1594.43%Sofix79.71%PFTS
74.33%PFTS72.42%/TSX71.44%BET70.47%60%19
RTSI66.86%65.39%AIM62.41% (: , www.
stnn.cc, 200918) (-48.3%), (-46%), (-41.5%), (Sensex, -52.32%), (S&P 500,
-41%), (, -42%), (-41%), (-41%)(:20081231)

20

20061,0003,750CDO (Collateral Debt Obligations)CDS

(Credit Default Swaps)CDS9,000200762.173 (ISDA
RMBSCDS)GDP

21

(Alan Blinder)(2007.9.30): Securitization is a marvelous thing... But

securitization sharply reduces the originators incentive to scrutinize the creditworthiness of borrowers. Keys et al.
(2008)10~25%Blinder (2007)

92


2008

90

22

2008-2009

M-

23

PIGS(

GDP

22

23

M-M-

93

Features

(
20%)
M-

()

(Bill Gatz)(Warren Buffett)

()

GDP

2008

80%

(greed and excess)

(mortgage-origination industry)

24

? Becker (2008)

1990

20078689(BNP Paribas)

20

94

(fund liquidity risk)

(market liquidity risk)

A+(SEC)

Bear Stearns, Lehman Brothers

/30:1

Chong (2008)

()

(early

warning system)2007

(i)

8 24()

(PriceIntrinsic Value)

(no one is sure of its full

25(ii)

extent yet)

(iii)

26(iv)

(v)

(i) (lack of
equity at stake)(ii)
(lack

of

identifiable

risks)(iii)
(lack of long-term orientation)

Golub and Crum (2010)

25

Golub and Crum (2010), p.23.

26

95

Features

27

A+

2007/4 ~ 2009/10

(financial
certification)

(0% 90%)

20%

(certifiers)

20077820088-12

60%

90%

Golub and Crum (2010, p.35)

20069
(<1%)(AAA)37,000
(structured finance) (

(2010)2008

()

(policy risk)

60%)22,324(insured

municipal bonds) (47%)

(AAA)(

(volatility)

Golub and

Crum (2010, p.36)

(risk appetite index)

Fannie Mae

27

(1)(market volatility)(G3 VIX)(2) (EM Risk)

(EM CDSEM)(3)(risk appetite ratios) (S&P 500 (Equity Bond
Ratio)(Gold Price to Global Gold)(4) (market Liquidity)(TED Spread)

96

(MBS)
(conditional prepayment rate, CRP)

(qualitative
analysts)

2008

2008

PIGS

2008

Brown et al. (2009)

29

(neoclassical economic theory)

2008

()

28

28

14

29

Avgoules (2009), pp.45-50.

97

Features

Screening? Evidence from Subprime Loans, EFA 2008

1. (2010)2008

Athens Meetings Paper. http://ssrn.com/abstract=1093137

Working Paper
2. (2008)

12. Stiglitz, Joseph (2007), Houses of Cards, The Guardian,

October 9, 2007.

1087
3. (2008)-
/(SEACEN-CeMCoA/BOJ)

4. Avgoules, Emilios (2009), The Global Financial Crisis,

Behavioral Finance and Financial Regulation: In Search of
a New Orthodoxy, Journal of Corporate Law Studies, 9(1),
23-59.
5. Becker, W. Marston (2008), A Contemporary Lesson: Our
Financial Tsunami, Posted Thursday, October 16, 2008;
06:00 AM, http://www.statejournal.com/story.cfm? func=vie
wstory&storyid=45534&catid=159
6. Blinder, Alan (2007), Six Fingers of Blame in the Mortgage
Mess, New York Times, September 30, 2007.
7. Brown, Mike, Stuart Kauffman, Zoe-Vonna Palmrose and
Lee Smolin (2009), Can Science Help Solve the Economic
Crisis? Edge Foundation, Inc,http://www.edge.org.
8. Chong, Tay Han (2008), Lesson From Financial Tsunami,
Posted Sunday September 28, 2008, http://thestar.com.my/
news/story.asp?file=/2008/9/28/focus/ 2133859&sec=focus
9. Ellis, David (2008), Wall Street Firm Reveals Major
Restructuring: Spin-off of Commercial Real Estate Assets
and Plan to Sell Stake in Investment Management Division.
CNNMoney.com, http://money.cnn.com/2008/09/10/news/
companies/ lehman/index.htm?postversion=2008091007
10. Golub, Bennett W. and Conan C. Crum (2010), Risk
Management Lessons Worth Remembering from the Global
Crisis of 2007-2009, Journal of Portfolio Management,
36(3), 21-44.
11. Keys, Benjamin J., Tanmoy K. Mukherjee, Amit Seru,
and Vikrant Vig (2008), Did Securitiztion Lead to Lax

98