2015 Fiscal Year Final Research Report
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 |
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| Research Field |
Money/ Finance
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| Research Institution | Kobe University |
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Principal Investigator |
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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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 |
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| 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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| Free Research Field |
マクロ経済学
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