An unified evaluation model for the financial systemic risk under financial crisis
| Project/Area Number |
23310098
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (B)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
Social systems engineering/Safety system
|
|---|
| Research Institution | Hokkaido University |
|---|
Principal Investigator |
SUZUKI Teruyoshi 北海道大学, 経済学研究科(研究院), 教授 (90360891)
|
|---|
| Co-Investigator(Kenkyū-buntansha) |
KIJIMA Masaaki 首都大学東京, 社会科学研究科, 教授 (00186222)
ISHII Toshimasa 北海道大学, 大学院経済学研究科, 准教授 (30324487)
GOTO Makoto 北海道大学, 大学院経済学研究科, 准教授 (30434286)
NISHIDE Katsumasa 横浜国立大学, 国際社会科学研究科, 准教授 (40410683)
|
|---|
| Project Period (FY) |
2011-04-01 – 2014-03-31
|
| Project Status |
Completed (Fiscal Year 2013)
|
| Budget Amount *help |
¥19,760,000 (Direct Cost: ¥15,200,000、Indirect Cost: ¥4,560,000)
Fiscal Year 2013: ¥6,500,000 (Direct Cost: ¥5,000,000、Indirect Cost: ¥1,500,000)
Fiscal Year 2012: ¥5,980,000 (Direct Cost: ¥4,600,000、Indirect Cost: ¥1,380,000)
Fiscal Year 2011: ¥7,280,000 (Direct Cost: ¥5,600,000、Indirect Cost: ¥1,680,000)
|
|---|
| Keywords | ファイナンス / 金融リスク管理 / リスク管理 / ファイナンス理論 / マーケットマイクロス / リアルオプション |
|---|
| Research Abstract |
First, we presented the pricing model of the corporate securities with cross-holdings, default costs and bond seniorities. We propose an early clearing payment vector to capture the financial crisis. We showed the existence of them and the method to derive them. Second, we introduced an optimal capital injection problem and proposed an algorithm to solve it. The problem can be represented by a linear programming formulation under Eisenberg and Noe's model. We presented a sequential method to solve both the firm's payoff to debt holders and the government's capital injection to the firms. We can show that the priority rule of capital injection does not depend on the amount of the budget by the government.
|
Report
(4 results)
Research Products
(63 results)
