| Project/Area Number |
15H02965
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Hokkaido University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
石井 利昌 北海道大学, 経済学研究院, 教授 (30324487)
西出 勝正 一橋大学, 大学院経済学研究科, 教授 (40410683)
施 建明 東京理科大学, 経営学部ビジネスエコノミクス学科, 教授 (70287465)
八木 恭子 首都大学東京, 社会科学研究科, 准教授 (80451847)
宮田 亮 琉球大学, 法文学部, 准教授 (30336383)
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥17,940,000 (Direct Cost: ¥13,800,000、Indirect Cost: ¥4,140,000)
Fiscal Year 2017: ¥5,850,000 (Direct Cost: ¥4,500,000、Indirect Cost: ¥1,350,000)
Fiscal Year 2016: ¥5,720,000 (Direct Cost: ¥4,400,000、Indirect Cost: ¥1,320,000)
Fiscal Year 2015: ¥6,370,000 (Direct Cost: ¥4,900,000、Indirect Cost: ¥1,470,000)
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| Keywords | システミックリスク / 金融リスク / 企業合併 / オペレーションズ・リサーチ / ファイナンス / 金融リスク管理 / リスク管理 |
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| Outline of Final Research Achievements |
We consider a clearing system of an interbank market in the case in which cross-trading of credit default swaps among banks is present, and we investigate the effect of credit default swaps on market stability. Furthermore, a study of default decision when two firms cross-hold their issuing debts and equities are presented. We first show that the problem to evaluate the securities values issued by the two firms can be formulated by a system of partial differential equations. Then we propose a simple numerical method which is an extension of the projected successive over-relaxation method. Finally, numerical analyses are presented to investigate effects on endogenous default boundaries and default probabilities from financial and firm specific parameters
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