Simulation analysis on financial markets using network theory
Project/Area Number |
25780203
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Research Category |
Grant-in-Aid for Young Scientists (B)
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Allocation Type | Multi-year Fund |
Research Field |
Money/ Finance
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Research Institution | Kobe University |
Principal Investigator |
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Project Period (FY) |
2013-04-01 – 2016-03-31
|
Project Status |
Completed (Fiscal Year 2015)
|
Budget Amount *help |
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2015: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2014: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2013: ¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
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Keywords | システミックリスク / 複雑ネットワーク / 金融危機 / ネットワーク / 金融ネットワーク / システミック・リスク |
Outline of Final Research Achievements |
I introduce a model of banks that have debts of different levels of seniority between one another, such as loans and other exposure to default risk. Seniority determines the order in which debts are repaid in the event of bankruptcy. It can be so important during crises, in fact, that institutions sometimes dispute which debts are more senior than others. However, the effect of seniority structure on the risk of systemic crises is inadequately understood. By unraveling this dimension of the financial system, I and my collaborator not only generalize prominent cascade models in the physics and economics literature, but we also find new ways in which regulators might tame systemic risk.
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Report
(4 results)
Research Products
(8 results)