隨機環境下借貸系統與金融系統風險

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姓名

茱麗(Rahma Julia) 查詢紙本館藏

畢業系所

統計研究所

論文名稱

隨機環境下借貸系統與金融系統風險
(Systemic Risk and Interbank System under the Stochastic Environment)

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至系統瀏覽論文 (2028-2-1以後開放)

摘要(中)

對於金融系統風險的研究，我們提出對於銀行借貸系統建構的模型。並且考慮隨機因子在提出的模型中，用來表述外界環境對此模型的影響。在模擬研究中，我們可看出對於相對穩定的隨機因子，銀行傾向利用積極但具高風險的借貸行為來提升自己的資產表現，相反的，隨機因子不穩定的時候，銀行會利用相對平滑的借貸來取代，此一結果可以用為之後對於銀行借貸的法規的參考。

摘要(英)

Systemic risk has become a prominent focus of numerous studies as a result of the current economic downturn and financial crisis. Throughout this study, we offer an efficient factor model for inter-bank borrowing and lending in which the volatility for individual banks is affected by economic factors, modeled as diffusion processes.
Moreover, we use a coupled diffusion through drift system to represent how the log capitalization of N banks has changed over time, in which the system′s stability then depends on how interbank borrowing and lending have evolved. A significant amount of banks simultaneously achieving insolvency thresholds at a particular planning horizon poses a systemic risk. According to the optimal strategy in terms of the objective function, each bank wishes to borrow cash from a monetary authority when its balances fall below a certain level. However, when banks reach a significant threshold, central banks loan money to them. We then show the existence of a Nash equilibrium in a closed loop with finitely many players is verified by the solvability of the Riccati partial differential equations. We also demonstrate that a key role of the central bank is that of a clearinghouse, whose purpose is to provide the security and efficiency that is integral to the stability of a financial market.

關鍵字(中)

★ 系性
★ 同拆借系
★ 因子模型
★ 纳納許均衡
★ Hamilton-Jacobi Bellman(HJB)方程

關鍵字(英)

★ Factor model
★ systemic risk
★ Nash equilibrium
★ interbank lending and borrowing
★ Hamilton-Jacobi Bellman(HJB) equation

論文目次

Chinese Abstract
Abstract
Acknowledgements
List of Figures
1 Introduction 1
1.1 Background and Motivation 2
2 The Problem Formulation 7
2.1 Model Description 7
3 Successive Approximation Approach 11
3.1 Construction of Closed-Loop Equilibria via HJB 11
3.2 Riccati Partial Differential Equation 16
4 Numerical Results 42
4.1 General Case 42
4.2 Special Case 53
5 Conclusions 57
References 59
Appendices 63
A. Inequalities and Scalar Riccati Equation 64
A.1 Inequality 64
A.2 Scalar Riccati Equations 66
B. Closed-loop Nash equilibria 68
C. Verification Theorem 70

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指導教授

孫立憲(Li-Hsien Sun)

審核日期

2023-2-1

推文