Quantitative analysis of systemic risk considering interconnectedness between real economy and financial markets
| Project/Area Number |
26380408
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Nihon University (2016)
Kanagawa University (2014-2015) |
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Principal Investigator |
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2016: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2015: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2014: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
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| Keywords | システミック・リスク / 相互連関性 / デフォルト連鎖 / ネットワーク理論 / グローバル金融システム / グローバル再保険市場 / 銀行間取引市場 / CDS市場 / 中心性指標 / CDS / 株式持合い / グローバルなシステム上重要な銀行 |
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| Outline of Final Research Achievements |
This study analyzes systemic risk in financial markets such as the global banking system (the global interbank market), the Japanese banking system (the Japanese interbank market), the global non-life insurance market, and the Japanese stock market, in terms of interconnectedness. The network analyses theoretically show the interconnectedness among financial institutions using various network measures such as centralities and network density. The default analyses theoretically identify stand-alone defaults and contagious defaults. In addition, stress tests on systemic risk examine a few occurrences of contagious defaults in the future. Study results are published in six international peer-reviewed journals.
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Report
(4 results)
Research Products
(20 results)
