米国大手銀行と世界金融危機

Abstract

During the global financial crisis caused by the subprime mortgage problems, the financial performance of US major banks generally worsened but there were substantial differences among them. In this paper, these differences were analyzed in terms of risk management comparing Citigroup whose performance was one of the worst and JP Morgan Chase whose performance weakened but remained in surplus. It was made clear that the factors which deteriorated their financial performance were losses related to subprime mortgage securities of investment banking business and loss provisions for mortgages of consumer banking business at both groups. Citigroup invested in subprime CDOs more than JP Morgan Chase. Citigroup concentrated mortgages in states where housing prices dropped sharply and kept lending them even after the housing price hit the peak, whereas JP Morgan Chase had sold subprime mortgages before they became problems. For these securities and mortgages, JP Morgan Chase had reduced subprime exposures before they became problems by their qualitative risk judgement and policy towards clients but not by quantitative risk indices.