Studies on the financial risk management and the public fund distribution under systemic risks

2017 Fiscal Year Final Research Report

• Project/Area Number: 15H02965
• 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, 経済学研究院, 教授 (90360891)
• 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)
• Project Period (FY): 2015-04-01 – 2018-03-31
• Keywords: システミックリスク / 金融リスク

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

Free Research Field

オペレーションズリサーチ