Studies in Simulation, Optimal Control, Risk Management and Contingent Capital

这项研究计划集中在两套相互关联和互补的量化金融研究项目上：1)金融学中的模拟、最优控制和数值方法；2)或有资本证券研究。第一个项目侧重于具有早期行使特征的衍生证券的有效定价和风险管理方法。这些技术对于金融机构和投资者在交易和内部风险管理过程中以及在确定满足内部和外部(监管)需求所需的资本水平方面非常重要。蒙特卡罗方法将被广泛研究，以及一些其他适合于这类问题的数值方法。这项工作的结果在金融投资组合管理、发电站的运营以及大型系统(如一系列水库)的维护优化调度等方面具有更广泛的应用。 自2008年金融危机以来，各国政府和监管机构重新燃起了兴趣，希望找到避免纳税人出资救助金融机构(FIS)的方法，其中或有资本(COCO)获得了很大一部分兴趣。CoCos是一种在发行时属于债务(或优先股)的工具，当发行的FI陷入财务困境时，它会转换为普通股。转换的效果是在它们最难通过发行新证券在资本市场筹集资金的时候，将FI重新资本化。此外，转换会稀释转换前股东的所有权股份，并可能抑制金融业的过度冒险行为，因为损失将由公司的投资者而不是纳税人承担。CoCos没有标准的术语集，CoCos的属性取决于触发转换的条件和Coco持有者在转换时获得的普通股数量(例如，转换价格)。 这项提案的结果将加深我们对CoCos属性的理解，使监管机构能够使用适当的工具来评估各种CoCo设计，并为发行人和投资者提供更清晰的CoCo价值。此外，研究还将探讨与CoCos相关的定价和风险管理问题，例如发行人如何管理CoCoo负债的利率风险，以及将这种负债转换为非付息股权的可能性。彻底了解CoCos，包括设计规范、定价和对冲模型，以及相关的财务和风险目标，将具有重要的社会效益。设计良好的CoCos将加强个人金融机构，从而加强金融体系，降低纳税人出资纾困的可能性。此外，这一谅解将有助于促进发行和二级市场交易，潜在地降低资金成本。

This research plan centres on two sets of linked and complementary quantitative finance research programs: 1) simulation, optimal control, and numerical methods in finance; and 2) studies in contingent capital securities. The first project focusses on efficient methods for pricing and risk management of derivative securities with early exercise features. These techniques are important to financial institutions and investors for trading and internal risk management processes and also for determining required capital levels to satisfy both internal and external (regulatory) demands. Monte Carlo methods will be extensively studied, along with some other numerical methods suited for such problems. Results from this work have broader applications such as financial portfolio management, the operation of power generating stations, and the optimal scheduling of maintenance in large systems such as a series of reservoirs. Since the 2008 financial crisis there has been renewed interest by governments and regulators to find ways to avoid taxpayer-funded bailouts of financial institutions (FIs), with contingent capital (CoCo) garnering much of this interest. CoCos are instruments that are debt (or preferred shares) when issued and that convert to common equity when the issuing FI is in financial distress. Conversion has the effect of re-capitalizing the FI exactly when it would be most difficult for them to raise funds in capital markets through the issuance of new securities. Additionally, conversion dilutes the ownership stake of the pre-conversion shareholders and may potentially curb excessive risk taking in the financial industry as losses will be imposed on the firm's investors, rather than taxpayers. There is no standard set of terms for CoCos and the properties of CoCos vary depending on the conditions that trigger conversion and the number of common shares that CoCo holders receive upon conversion (e.g., the conversion price). Results from this proposal will deepen our understanding of the properties of CoCos, allow regulators the proper tools to assess various CoCo designs, and provide issuers and investors more clarity on CoCo value. Additionally, the research will explore related pricing and risk-management issues associated with CoCos, such as how an issuer can manage interest-rate risk on CoCo liabilities, with the possibility of conversion changing this liability to non-interest-paying equity. A thorough understanding of CoCos, including design specifications, pricing and hedging models, and the associated financial and risk objectives will have important societal benefits. Well-designed CoCos will strengthen both individual FIs and, as a result, the financial system, making taxpayer-funded bailouts less likely. Furthermore, this understanding will help facilitate issuance and secondary market trading, potentially lowering the cost of capital.