Stochastic dynamic programming for modelling and solving extended multivariate structural models

用于建模和求解扩展多​​元结构模型的随机动态规划

• 批准号: RGPIN-2018-04432
• 负责人: BenAmeur, Hatem
• 金额: $ 1.89万
• 依托单位: HEC Montréal
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2022
• 资助国家: 加拿大
• 起止时间: 2022-01-01 至 2023-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=765250
• 关键词: Stochastic; dynamic; programming; modelling; solving

The aim of this research program is threefold. First, we propose to design a set of stochastic dynamic programs for modelling structural settings with multiple public companies. Each firm assumes an extended balance-sheet structure with 1- an arbitrary corporate-debt portfolio, 2- multiple seniority classes, 3- options embedded in corporate bonds, 4- tax benefits, 5- bankruptcy costs, and 6- a reorganization process. Next, we propose to solve and implement our stochastic dynamic programs in the most efficient way. This step results in the valuation of the above-mentioned corporate securities. The model-estimation step, based on approximate- and pseudo-maximum likelihood, is subject to the success of an IVADO grant application (University of Montreal). The funding decision is in November 2017. The modelling, valuation, and estimation steps result in operational and realistic structural models. The last part of this research program consists of a numerical and empirical investigation of North American public companies. Given the finding of Leboeuf and Pinnington (2017) (Bank of Canada) that Canadian firms are becoming riskier, a comparative credit-risk study of Canadian firms and their associated American firms is planned in the presence of contagion effects.A corporate default results in a loss of value for the firm's claimholders and a loss of positions for the firm's workers. Corporate credit-risk models are thus useful for market participants in that they help preclude financial distress and its adverse events.This research program is innovative for it considers 1- an extended balance-sheet structure with multiple tangible/intangible corporate securities and a reorganisation process, 2- efficient stochastic dynamic programs under various multivariate Markov-Lévy processes, and 3- an empirical and numerical credit-risk investigation on Canadian public companies. Designing, solving, and implementing our efficient stochastic dynamic programs is discussed depending on the number of public companies underlying the structural framework with a special focus on intermediate-dimensional state spaces. Approximate- and neuro-dynamic programming are used.The expected benefits consist essentially of a set of publications in solid academic journals of the JCR database. The credit-risk investigation of Canadian public companies will be the subject of a scientific meeting that will bring together scholars, academics, and professionals to discuss this issue.

这项研究计划的目的有三个。首先，我们建议设计一套随机动态方案，用于模拟多个上市公司的结构设置。每个公司都假设一个扩展的资产负债表结构，其中包括1-任意的公司债务组合，2-多个优先级类别，3-嵌入公司债券的期权，4-税收优惠，5-破产成本，6-重组过程。接下来，我们建议以最有效的方式解决和实现我们的随机动态规划。这一步骤导致对上述公司证券进行估值。基于近似和伪最大似然的模型估计步骤取决于IVADO赠款申请的成功与否（蒙特利尔大学）。融资决定于2017年11月做出。建模、估值和估计步骤产生可操作的和现实的结构模型。本研究计划的最后一部分包括北美上市公司的数值和实证调查。鉴于Leboeuf和Pinnington（2017）（加拿大银行）的发现，即加拿大企业的风险正在增加，因此计划在存在传染效应的情况下，对加拿大企业及其关联的美国企业进行信用风险比较研究。企业违约会导致企业债权人的价值损失和企业员工的职位损失。因此，公司信用风险模型对于市场参与者是有用的，因为它们有助于预防财务困境及其不利事件。本研究计划的创新之处在于它考虑了1-具有多种有形/无形公司证券和重组过程的扩展资产负债表结构，2-各种多变量Markov-Lévy过程下的有效随机动态规划，对加拿大上市公司的信用风险进行实证和数值研究。设计，求解和实施我们的有效的随机动态程序进行了讨论，这取决于一些上市公司的基础结构框架，特别侧重于中维状态空间。使用近似和神经动态规划。预期的好处基本上包括一套出版物在坚实的学术期刊的JCR数据库。加拿大上市公司的信用风险调查将成为一个科学会议的主题，该会议将汇集学者，学术界和专业人士来讨论这个问题。