Development of financial risk management and supervision as an application of dynamic optimization theory

首先，对于银行的风险管理，我们解决了资产证券化的最佳时机和规模。该模型的含义与资产价格泡沫和金融危机期间的证券化趋势是一致的。此外，我们还构建了一个模型，以获得启动信用增强计划的最佳时机。这很有用，尤其是当银行的贷款组合正在迅速恶化的时候。其次，对于银行监管，我们构建了一个及时纠正措施的理论模型，并证明了当监管机构考虑银行倒闭的社会成本时，最优干预取决于银行的初始资本水平，而社会福利成本取决于政府补贴和干预。

First, as for the risk management by banks, we have solved for an optimal timing and scale of asset securitization. The model’s implication turns out to be consistent with the trends of securitization during asset price bubbles and financial crises. Moreover, we have constructed a model to obtain the best timing to initiate credit enhancement program. It is useful especially when the bank is experiencing rapid deterioration of their loan portfolio. Next, as for the bank supervision, we have constructed a theoretical model of prompt corrective actions and shown when the regulator takes into consideration the social costs of bank failures, the optimal intervention depends on the bank’s initial capital level, and that the social welfare costs depends on government subsidies as well as the intervention.