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

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/90790

Title:	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
Authors:	茱麗;Julia, Rahma
Contributors:	統計研究所
Keywords:	系性;同拆借系;因子模型;纳納許均衡;Hamilton-Jacobi Bellman(HJB)方程;Factor model;systemic risk;Nash equilibrium;interbank lending and borrowing;Hamilton-Jacobi Bellman(HJB) equation
Date:	2023-02-01
Issue Date:	2023-05-09 18:03:13 (UTC+8)
Publisher:	國立中央大學
Abstract:	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。;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.
Appears in Collections:	[Graduate Institute of Statistics] Electronic Thesis & Dissertation

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