Credit Default Swap Data, Contagion and Financial Resilience
信用违约掉期数据、蔓延和金融弹性
基本信息
- 批准号:ES/K005561/1
- 负责人:
- 金额:$ 15.15万
- 依托单位:
- 依托单位国家:英国
- 项目类别:Research Grant
- 财政年份:2012
- 资助国家:英国
- 起止时间:2012 至 无数据
- 项目状态:已结题
- 来源:
- 关键词:
项目摘要
The resilience of the UK financial system is of vital importance to UK society, and more specifically, to the corporations and fund managers that invest on behalf of our pension funds. It is apparent that our understanding of these systems leaves many questions unanswered and that there are fundamental issues that need to be addressed. If the research base is to inform policy decisions in any sort of adequate way there needs to be a strong development of insights from many disciplinary directions, which then need to be drawn together to be effective. This application is a part of the Oxford-Man ambition to develop tools and high quality insights that can collectively assist the wider project of enhancing the resilience of the UK financial system. This application brings together two interrelated projects "Containing Financial Crises" and "CDS Markets and Financial Contagion", and will allow us to put together the talents of some outstanding researchers at different points in their careers. This application is very timely because, at a wider level, the Oxford-Man Institute is engaging with the Bank of England and other academic partners, in a collaborative study to develop understanding of the effects of macro-prudential capital tools on financial stability. As such, it will provide an excellent environment to nurture this research and ensure strong impact.Morrison and Wilson's project will look at understanding interbank connectedness and its relation to financial stability and financial contagion.Schweikhard and Tsesmelidakis propose to develop their novel structural model that is capable of estimating the standalone credit quality of a firm, and use it to look at designing a market-based systemic risk tax, bank capital regulation, what policy actions or announcements are most useful in arresting the financial crises, and the side effects associated with the "too big to fail" policy.
英国金融体系的弹性对英国社会至关重要,更具体地说,对代表我们养老基金投资的公司和基金经理至关重要。很明显,我们对这些系统的理解留下了许多问题没有答案,还有一些基本问题需要解决。如果研究基础要以任何适当的方式为政策决策提供信息,就需要从许多学科方向大力发展见解,然后需要将其汇集在一起才能有效。这个应用程序是牛津人的雄心的一部分,开发工具和高质量的见解,可以共同帮助提高英国金融体系的弹性更广泛的项目。这个应用程序汇集了两个相互关联的项目“遏制金融危机”和“CDS市场和金融传染病”,并将使我们能够把一些优秀的研究人员在他们的职业生涯的不同点的人才。这一申请非常及时,因为在更广泛的层面上,牛津曼研究所正在与英格兰银行和其他学术合作伙伴进行合作研究,以了解宏观审慎资本工具对金融稳定的影响。因此,它将为培育这一研究提供一个良好的环境,并确保产生强大的影响。莫里森和威尔逊的项目将着眼于理解银行间的联系及其与金融稳定和金融传染的关系。Schweikhard和Tsesmelidakis建议开发他们的新结构模型,该模型能够估计一家公司的独立信用质量,并利用它来设计一个基于市场的系统性风险税,银行资本监管,什么样的政策行动或公告在遏制金融危机方面最有用,以及与“太大而不能倒”政策相关的副作用。
项目成果
期刊论文数量(5)
专著数量(0)
科研奖励数量(0)
会议论文数量(0)
专利数量(0)
The Internalization of Systemic Risk: An Analysis of Bank Levy Schemes
系统性风险的内部化:银行征费方案分析
- DOI:
- 发表时间:2013
- 期刊:
- 影响因子:0
- 作者:Schweikhard F
- 通讯作者:Schweikhard F
Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets
- DOI:10.1017/s0022109015000228
- 发表时间:2015-06-01
- 期刊:
- 影响因子:3.9
- 作者:Hilscher, Jens;Pollet, Joshua M.;Wilson, Mungo
- 通讯作者:Wilson, Mungo
The Value of Implicit Guarantees
隐性担保的价值
- DOI:10.2139/ssrn.2312157
- 发表时间:2012
- 期刊:
- 影响因子:0
- 作者:Tsesmelidakis Z
- 通讯作者:Tsesmelidakis Z
Identifying Contagion in a Banking Network
识别银行网络中的传染
- DOI:
- 发表时间:2017
- 期刊:
- 影响因子:0
- 作者:Morrison A
- 通讯作者:Morrison A
Beyond Capital Regulation: An Underestimated Risk Source
超越资本监管:被低估的风险源
- DOI:
- 发表时间:2014
- 期刊:
- 影响因子:0
- 作者:Schweikhard F
- 通讯作者:Schweikhard F
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Terry Lyons其他文献
Corrigendum to “Super-multiplicativity and a lower bound for the decay of the signature of a path of finite length” [C. R. Acad. Sci. Paris, Ser. I 356 (7) (2018) 720–724]
“超多重性和有限长度路径的衰减下界”[C. R. Acad. Paris,Ser. I 356 (7) (2018) 720-724]
- DOI:
- 发表时间:
2018 - 期刊:
- 影响因子:0
- 作者:
Jiawei Chang;Terry Lyons;Hao Ni - 通讯作者:
Hao Ni
Inverting the signature of a path
反转路径的签名
- DOI:
10.4171/jems/796 - 发表时间:
2014 - 期刊:
- 影响因子:0
- 作者:
Terry Lyons;Weijun Xu - 通讯作者:
Weijun Xu
Falling out of bed: a relatively benign occurrence.
从床上摔下来:相对良性的现象。
- DOI:
- 发表时间:
1993 - 期刊:
- 影响因子:8
- 作者:
Terry Lyons;R. Oates - 通讯作者:
R. Oates
The Signature Kernel Is the Solution of a Goursat PDE
签名内核是 Goursat PDE 的解
- DOI:
- 发表时间:
2020 - 期刊:
- 影响因子:3.6
- 作者:
C. Salvi;Thomas Cass;J. Foster;Terry Lyons;Weixin Yang - 通讯作者:
Weixin Yang
New directions in the applications of rough path theory
粗糙路径理论应用新方向
- DOI:
10.1109/mbits.2023.3243885 - 发表时间:
2023 - 期刊:
- 影响因子:0
- 作者:
Adeline Fermanian;Terry Lyons;James Morrill;C. Salvi - 通讯作者:
C. Salvi
Terry Lyons的其他文献
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{{ truncateString('Terry Lyons', 18)}}的其他基金
Unparameterised multi-modal data, high order signatures, and the mathematics of data science
非参数化多模态数据、高阶签名和数据科学数学
- 批准号:
EP/S026347/1 - 财政年份:2019
- 资助金额:
$ 15.15万 - 项目类别:
Research Grant
Increasing the efficiency of numerical methods for estimating the state of a partially observed system. High order methods for solving parabolic PDEs
提高估计部分观测系统状态的数值方法的效率。
- 批准号:
EP/H000100/1 - 财政年份:2009
- 资助金额:
$ 15.15万 - 项目类别:
Research Grant
Rough path analysis and non-linear stochastic systems
粗糙路径分析和非线性随机系统
- 批准号:
EP/F029578/1 - 财政年份:2008
- 资助金额:
$ 15.15万 - 项目类别:
Research Grant
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