2022 Fiscal Year Final Research Report
A study on credit contagion risk considering network structures of financial markets
Project/Area Number |
20K01754
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Research Category |
Grant-in-Aid for Scientific Research (C)
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Allocation Type | Multi-year Fund |
Section | 一般 |
Review Section |
Basic Section 07060:Money and finance-related
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Research Institution | Nihon University |
Principal Investigator |
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Project Period (FY) |
2020-04-01 – 2023-03-31
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Keywords | 信用リスク / 複雑ネットワーク / 金融証券市場 / シンジケートローン / 新型コロナウイルス感染症(COVID-19) / SIRDモデル / 多変量DCC-GARCHモデル / ESG |
Outline of Final Research Achievements |
We explored the network structures of financial markets and developed credit contagion risk analysis methodologies. First, in the analysis of the J-REIT syndicated loan market, we developed a network model and a stress test methodology and showed the importance of appropriate risk management against shocks. Next, we analyzed the contagion risk pertaining to markets, firms, and sovereigns, caused by the infection spread with the novel coronavirus disease, and by developing a mathematical model of the infection, showed that the infection spread and the Tokyo Stock Price Index are inversely correlated. Finally, we analyzed the impact on firm credit risk of ESG risk factors classified into ten categories and found that some risk factors do not necessarily contribute to firm credit risk reduction. Four papers have been published in peer-reviewed international journals.
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Free Research Field |
ファイナンス
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Academic Significance and Societal Importance of the Research Achievements |
金融証券市場は、世界金融危機の経験を踏まえ、相互連関性によりもたらされるリスクの管理を強化してきたが、今次新型コロナウィルス感染症危機により、感染症という外的要因により、市場・企業は金融ネットワークを介したリスクの増嵩に見舞われた。本研究は、株式市場・シンジケートローン市場等における相互連関性がもたらす信用連鎖リスクを、複雑ネットワーク理論を使い計量分析し、借入れ企業の財務的困難が貸し手金融機関の財務健全性に及ぼす影響、およびネットワークを介した他の金融機関・投資家に及ぼす影響を解明した点で学術的貢献をした。
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