A dynamic model of debt maturity and its applications to risk management
| Project/Area Number |
16K17151
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Money/ Finance
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| Research Institution | Ryukoku University |
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Principal Investigator |
Tian Yuan 龍谷大学, 経済学部, 准教授 (10609895)
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| Project Period (FY) |
2016-04-01 – 2020-03-31
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| Project Status |
Completed (Fiscal Year 2019)
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| Budget Amount *help |
¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Fiscal Year 2018: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2017: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2016: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
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| Keywords | 負債 / 倒産 / 投資 / 流動性 / ロールオーバー / 負債の満期 / ファイナンス |
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| Outline of Final Research Achievements |
This research provides a tractable framework to jointly examine debt holders' rollover strategy and equity holders' bankruptcy strategy. We clarify that agency conflicts between equity holders and debt holders bring a trade-off for debt maturity choice: inefficiency from premature bankruptcy vs. inefficiency from rollover freeze. Moreover, we demonstrate that our theoretical model can generate pro-cyclical maturity dynamics by jointly consider the rollover and bankruptcy decisions.
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| Academic Significance and Societal Importance of the Research Achievements |
本研究課題の学術的意義は、不確実性と最適停止問題に適したオプション理論と経済主体の相互依存関係に適したゲーム理論を融合する分析手法を用いて、債権者のロールオーバーの意思決定と株主の倒産の意思決定に関する閾値の均衡戦略を導出したことである。社会的意義は、それらの分析から得られた実務的・政策的含意を、研究発表や論文刊行等を通じて広く知らせたことである。
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Report
(5 results)
Research Products
(22 results)
