An unified evaluation model for the financial systemic risk under financial crisis

金融危机下金融系统性风险统一评价模型

• 批准号: 23310098
• 负责人: SUZUKI Teruyoshi
• 金额: $ 12.65万
• 依托单位: Hokkaido University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (B)
• 财政年份: 2011
• 资助国家: 日本
• 起止时间: 2011-04-01 至 2014-03-31
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-23310098/
• 关键词: ファイナンス; 金融リスク管理; リスク管理; ファイナンス理論; マーケットマイクロス; リアルオプション

First, we presented the pricing model of the corporate securities with cross-holdings, default costs and bond seniorities. We propose an early clearing payment vector to capture the financial crisis. We showed the existence of them and the method to derive them. Second, we introduced an optimal capital injection problem and proposed an algorithm to solve it. The problem can be represented by a linear programming formulation under Eisenberg and Noe's model. We presented a sequential method to solve both the firm's payoff to debt holders and the government's capital injection to the firms. We can show that the priority rule of capital injection does not depend on the amount of the budget by the government.

首先，我们提出了考虑交叉持股、违约成本和债券优先级的公司证券定价模型。我们提出了一个早期清算支付向量来捕捉金融危机。我们证明了它们的存在性和推导它们的方法。其次，引入了最优注资问题，并提出了求解该问题的算法。该问题可以用Eisenberg和Noe模型下的线性规划公式来表示。我们提出了一个序贯方法来解决企业对债权人的偿付和政府对企业的注资问题。我们可以证明，注资优先规则不依赖于政府预算的多少。

项目成果

Augmenting edge-connectivity between vertex subsets

增强顶点子集之间的边连接

• 发表时间: 2009
• 期刊: Proceedings of the 15^th Computing Theory : The Australian Theory Symposium
• 作者: Toshimasa Ishii;Kazuhisa Makino
• 通讯作者: Kazuhisa Makino

Augmenting outerplanar graphs to meet diameter requirements

增强外平面图以满足直径要求

• 发表时间: 2012
• 期刊: Proceedings of the 18^th Computing Theory : The Australian Theory Symposium
• 作者: Kazuo Iwama;Kazuhisa Seto;Suguru Tamaki.;Takuro Fukunaga;Toshimasa Ishii
• 通讯作者: Toshimasa Ishii

Concentrated Equilibrium and Intraday Patterns in Financial Markets

金融市场的集中均衡和盘中模式

• DOI: 10.1080/1350486x.2012.656996
• 发表时间: 2013
• 期刊: Applied Mathematical Finance
• 作者: Ishii;R. and K. Nishide
• 通讯作者: R. and K. Nishide

A tight upper bound on the (2, 1)-total labeling number of outerplanar graphs

• DOI: 10.1016/j.jda.2011.12.020
• 发表时间: 2009-11
• 期刊: J. Discrete Algorithms
• 作者: Toru Hasunuma;Toshimasa Ishii;H. Ono;Yushi Uno

Life Insurance and Annuities with Positive Premium Loading: A Life Cycle Model with Borrowing

具有正保费负担的人寿保险和年金：带有借款的生命周期模型

• 发表时间: 2012
• 作者: Suzuki;T.
• 通讯作者: T.