Development of financial risk management and supervision as an application of dynamic optimization theory
| Project/Area Number |
22330098
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (B)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
Public finance/Monetary economics
|
|---|
| Research Institution | Gakushuin University |
|---|
Principal Investigator |
HOSONO Kaoru 学習院大学, 経済学部, 講師 (80282945)
|
|---|
| Co-Investigator(Kenkyū-buntansha) |
EGAMI Masahiko 京都大学, 経済学研究科(研究院), 教授 (40467395)
|
|---|
| Project Period (FY) |
2010 – 2012
|
| Project Status |
Completed (Fiscal Year 2012)
|
| Budget Amount *help |
¥9,750,000 (Direct Cost: ¥7,500,000、Indirect Cost: ¥2,250,000)
Fiscal Year 2012: ¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000)
Fiscal Year 2011: ¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000)
Fiscal Year 2010: ¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000)
|
|---|
| Keywords | リスク管理 / 早期是正措置 / 最適停止問題 / 社会的厚生 / 二重債務問題 / 外部資金制約 / 金融破綻 / 東日本大震災 / 金融契約理論 / 証券化 / イベントスタディー / ソルベンシーリスク / リクス管理 / 動学的最適化問題 / 金融危機 / 銀行監督 / イヴェント・スタディー / レビーモデル |
|---|
| Research Abstract |
First, as for the risk management by banks, we have solved for an optimal timing and scale of asset securitization. The model’s implication turns out to be consistent with the trends of securitization during asset price bubbles and financial crises. Moreover, we have constructed a model to obtain the best timing to initiate credit enhancement program. It is useful especially when the bank is experiencing rapid deterioration of their loan portfolio. Next, as for the bank supervision, we have constructed a theoretical model of prompt corrective actions and shown when the regulator takes into consideration the social costs of bank failures, the optimal intervention depends on the bank’s initial capital level, and that the social welfare costs depends on government subsidies as well as the intervention.
|
Report
(4 results)
Research Products
(28 results)
