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Quantitative analysis of systemic risk considering interconnectedness between real economy and financial markets

Research Project

Project/Area Number 26380408
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Money/ Finance
Research InstitutionNihon University (2016)
Kanagawa University (2014-2015)

Principal Investigator

KANNO Masayasu  日本大学, 商学部, 教授 (00551061)

Project Period (FY) 2014-04-01 – 2017-03-31
Project Status Completed (Fiscal Year 2016)
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)
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
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.

Report

(4 results)
  • 2016 Annual Research Report   Final Research Report ( PDF )
  • 2015 Research-status Report
  • 2014 Research-status Report
  • Research Products

    (20 results)

All 2017 2016 2015 2014

All Journal Article (8 results) (of which Acknowledgement Compliant: 7 results,  Peer Reviewed: 4 results) Presentation (9 results) (of which Int'l Joint Research: 4 results,  Invited: 1 results) Book (3 results)

  • [Journal Article] Bank-Insurer-Firm Tripartite Interconnectedness of Credit Risk Exposures in a Cross-Shareholding Network2017

    • Author(s)
      Masayasu Kanno
    • Journal Title

      SSRN

      Volume: 2943367 Pages: 1-34

    • Related Report
      2016 Annual Research Report
    • Acknowledgement Compliant
  • [Journal Article] 損害再保険ネットワークを介した保険会社間の相互連関性のリスク分析2017

    • Author(s)
      菅野正泰
    • Journal Title

      損害保険研究

      Volume: 79

    • NAID

      130007630415

    • Related Report
      2016 Annual Research Report
  • [Journal Article] Network structures and credit risk in the cross-shareholdings among listed Japanese companies2016

    • Author(s)
      Masayasu Kanno
    • Journal Title

      SSRN

      Volume: 2842688 Pages: 1-27

    • Related Report
      2016 Annual Research Report
    • Acknowledgement Compliant
  • [Journal Article] The network structure and systemic risk in the global non-life2016

    • Author(s)
      Masayasu Kanno
    • Journal Title

      Insurance: Mathematics and Economics

      Volume: 67 Pages: 38-53

    • DOI

      10.1016/j.insmatheco.2015.12.004

    • Related Report
      2015 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Interconnectedness and systemic risk in the US CDS market2016

    • Author(s)
      Masayasu Kanno
    • Journal Title

      SSRN

      Volume: ー Pages: 1-41

    • Related Report
      2015 Research-status Report
    • Acknowledgement Compliant
  • [Journal Article] Assesing systemic risk using bilateral exposures in the global banking system2015

    • Author(s)
      Masayasu Kanno
    • Journal Title

      Journal of Financial Stability

      Volume: 20 Pages: 105-130

    • DOI

      10.1016/j.jfs.2015.08.006

    • Related Report
      2015 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] The network structure and systemic risk in the Japanese interbank market2015

    • Author(s)
      Masayasu Kanno
    • Journal Title

      Japan and the World Economy

      Volume: 36 Pages: 102-112

    • DOI

      10.1016/j.japwor.2015.10.001

    • Related Report
      2015 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] An Assessment of Systemic Risk in the Japanese Banking Sector2014

    • Author(s)
      Masayasu Kanno
    • Journal Title

      Global Credit Review

      Volume: 4 Issue: 01 Pages: 1-15

    • DOI

      10.1142/s2010493614500019

    • Related Report
      2014 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Presentation] Interconnectedness and systemic risk in the US CDS market2016

    • Author(s)
      Masayasu Kanno
    • Organizer
      The Second Shanghai Risk Forum
    • Place of Presentation
      Shanghai (China)
    • Year and Date
      2016-12-18
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Interconnectedness and systemic risk in the US CDS market2016

    • Author(s)
      Masayasu Kanno
    • Organizer
      American Risk and Insurance Association 2016 Annual Meeting
    • Place of Presentation
      Boston (USA)
    • Year and Date
      2016-08-09
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Interconnectedness and systemic risk in the US CDS market2016

    • Author(s)
      Masayasu Kanno
    • Organizer
      European Financial Management Association 2016 Annual Conference
    • Place of Presentation
      Basel (Switzerland)
    • Year and Date
      2016-07-01
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Interconnectedness and systemic risk in the US CDS market2016

    • Author(s)
      Masayasu Kanno
    • Organizer
      日本ファイナンス学会 第24回大会
    • Place of Presentation
      横浜国立大学(神奈川県横浜市)
    • Year and Date
      2016-05-21
    • Related Report
      2016 Annual Research Report
  • [Presentation] Assesing systemic risk using bilateral exposures in the global banking system2015

    • Author(s)
      Masayasu Kanno
    • Organizer
      28th Australasian Finance and Banking Conference 2015
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2015-12-16
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Presentation] The network structure and systemic risk in the global non-life market2015

    • Author(s)
      菅野正泰
    • Organizer
      日本保険・年金リスク学会 第13回研究発表大会
    • Place of Presentation
      東京、日本
    • Year and Date
      2015-10-31
    • Related Report
      2015 Research-status Report
  • [Presentation] Assessing Systemic Risk using Interbank Exposures in the Global Banking System2015

    • Author(s)
      Masayasu Kanno
    • Organizer
      the 8th Financial Risks INTERNATIONAL FORUM
    • Place of Presentation
      Paris, France
    • Year and Date
      2015-03-30 – 2015-03-31
    • Related Report
      2014 Research-status Report
  • [Presentation] Assessing Systemic Risk Based on Interbank Exposures in the Japanese Banking System2014

    • Author(s)
      Masayasu Kanno
    • Organizer
      2014 Auckland Finance Meeting
    • Place of Presentation
      Auckland, New Zealand
    • Year and Date
      2014-12-18 – 2014-12-20
    • Related Report
      2014 Research-status Report
  • [Presentation] Assessing Systemic Risk using Interbank Exposures in the Global Banking System2014

    • Author(s)
      菅野正泰
    • Organizer
      大阪大学金融・保険教育研究センター 2014年度中之島ワークショップ
    • Place of Presentation
      大阪、日本
    • Year and Date
      2014-12-04 – 2014-12-05
    • Related Report
      2014 Research-status Report
    • Invited
  • [Book] 実践コーポレート・ファイナンス2017

    • Author(s)
      菅野正泰
    • Total Pages
      144
    • Publisher
      創成社
    • Related Report
      2016 Annual Research Report
  • [Book] 『経済価値ベースのERM』 第11章「損害保険会社はシステミックな存在になり得るか?―損害再保険ネットワークの分析」2015

    • Author(s)
      菅野正泰
    • Total Pages
      288
    • Publisher
      中央経済社
    • Related Report
      2015 Research-status Report
  • [Book] 経済価値ベースのERM(担当部分第11章 損害保険会社はシステミックな存在になり得るか?)2015

    • Author(s)
      菅野正泰
    • Total Pages
      23
    • Publisher
      中央経済社
    • Related Report
      2014 Research-status Report

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Published: 2014-04-04   Modified: 2018-03-22  

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