2022 Fiscal Year Final Research Report
Optimal collateralization on the derivatives transaction
| Project/Area Number |
17K18219
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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 |
Economic theory
Social systems engineering/Safety system
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| Research Institution | Nagoya University of Commerce & Business |
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Principal Investigator |
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| Project Period (FY) |
2017-04-01 – 2023-03-31
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| Keywords | 担保つき派生証券取引 / 均衡分析 / 市場流動性 |
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| Outline of Final Research Achievements |
In this research project, we propose an optimal collateral system for derivative securities transactions. We mathematically express the price and volume at which derivative securities are traded, and observe how the trading volume of derivative securities changes when the trading form and the values representing the state of the financial market are varied.
First, we consider the case in which investors are limited in the amount of risk they can take, and find that the trading volume of derivative securities increases as the amount of collateral increases due to the increase in investors' capital and creditworthiness. Next, numerical experiments and empirical analysis show that when non-cash assets are also acceptable as collateral, there exists a combination of cash and non-cash assets that maximizes trading volume.
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| Free Research Field |
金融経済学
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| Academic Significance and Societal Importance of the Research Achievements |
本研究事業では，まず投資家の自己資本の増強および信用力の向上により担保量の増加によって派生証券の取引量が増大することが明らかになった．それまで担保量の増加により取引量が低下する関係が理論的に明らかになっていたが，この結果はそれを覆すだけでなく，金融市場発展のためには投資家自身のリスクマネジメントの重要性を示すものである．この結果は，取引量を最大にする担保量の存在を明らかにしたものとなるが，本研究事業ではさらに，担保資産の組み合わせによって取引量を最大にできることを明らかにしている．またこの結果は，金融市場発展のためには受け入れ担保の種類を広げている取引所の存在の重要性を示している．
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