Research Themes

• Research on the stabilization of financial systems
  Grants-in-Aid for Scientific Research
  01 Apr. 2023 - 31 Mar. 2028
  鈴木 輝好, 石井 利昌, 宮田 亮, 西出 勝正, 施 建明, 八木 恭子
  2024年2月，東京都立大学，日本オペレーションズリサーチ学会北海道支部と共同で，国際ワークショップ，Winter Workshop on Operations Research, Finance and Mathematics, 2024 を開催した．研究協力者のKonstantin Borovkov氏（メルボルン大学），Alexander Novikov（シドニー工科大学）の他，Sebastian Jaimungal氏（トロント大学）, Juri Hinz氏（ナショナルオーストラリア銀行）, Yuri Kabanov氏（モスクワ Vega Institute Foundation）, Nino Kordzakhia氏（Macquarie University）, Yue Kuen Kwok（香港科技大学）, Vincent Liang氏（メルボルン大学）, Mikhail Zhitlukhin氏（Steklov Mathematical Institute, Moscow）を招き，国内研究者と併せて20件の発表があった．また，期間中に，国内ワークショップを同時開催し，6件の発表があった．研究協力者も含めた有意義な議論を行った．
  研究課題については，ネットワークモデルに関する既存研究における未解決の問題について，研究の拡張を行った．概要を述べると，クレジットデフォルトスワップ（CDS）と呼ばれる金融商品が銀行ネットワークの一部にある場合に，どの銀行が生き残るかが，一意に決まらない問題について，縮小写像の原理を用いた収束条件を得ることができた．経済的な解釈について納得感のある条件である点が優れている．また，本モデルでは，COCO債・劣後債を考慮することができ，優先債についてはPari-pass 条項に応じた返済を行う．これは既存モデルの中では最も現実的である．現在，投稿の準備中である．
  Japan Society for the Promotion of Science, Grant-in-Aid for Scientific Research (B), Hokkaido University, 23K26326
• 金融システムの安定化に関する研究
  科学研究費助成事業
  01 Apr. 2023 - 31 Mar. 2028
  鈴木 輝好
  日本学術振興会, 基盤研究(B), 北海道大学, 23H01632
• 再保険ネットワークのリスク管理と保険システムの救済問題に関する研究
  科学研究費助成事業
  01 Apr. 2018 - 31 Mar. 2021
  鈴木 輝好, 石井 利昌, 宮田 亮, 西出 勝正, 施 建明, 八木 恭子
  主研究テーマについて，大きく分けて２件の研究論文を完成させた．どちらも，2020年4月現在，トップジャーナルにおいて審査中である．第一は，"Default Contagion and Systemic Risk with Cross-Ownership of Equities, Debts, and Financial Derivatives"． 研究メンバーである，一橋大学・西出，東京都立大学・八木，および代表者・北海道大学・鈴木の共著で，保険契約のネットワーク問題における最大の障害について，一つの解答を与えた．保険契約は，金融オプションでいうところのプットオプションであり，いわば売り契約ある．この場合，システミックリスクに関する従来の研究成果は，簡単には保険契約に応用できない．我々はこの点について重要な成果を得た．第二は，"The Mechanism of Endogenous Clearing and Simultaneous Defaults in Two Interconnected Firms".研究メンバーである，八木，東京理科大学・施，および研究代表者による共同研究で，2社間に債務や株式の持ち合いがある場合に，企業のデフォルトがどのようなメカニズムで発生するのかを明らかにした．問題は連立型の線形相補性問題に帰着することが示され，有用なアルゴリズムを提案し，それが収束することを示した．
  日本学術振興会, 基盤研究(B), 北海道大学, 18H01652
• Research on the financial risk management by taking account of remarkable properties of assets and liabilities in financial institutions and long-term behaviors of financial environment in Japan
  Grants-in-Aid for Scientific Research
  01 Apr. 2014 - 31 Mar. 2019
  Kijima Masaaki, UCHIDA yoshihiko, TAMBA yasuhiro, NISHIDE katsumasa
  In order to conduct basic researches which can contribute directly to financial risk management for Japanese financial institutions, we selected many important classes and some characteristic classes in asset and liability portfolios of the institutions, analyzed the properties of their risks, and proposed stochastic models which can express their risks appropriately. Specifically, we discussed modeling underlying asset price processes, especially, volatility processes in the market and pricing derivatives under the models, empirical analysis of yield fluctuations in the bond market, modeling liquidities of non-maturity deposits, risk management of mortgage portfolios, some investing and funding behaviors of corporates, and so on. And we proposed some interest-rate risk evaluation models which are suitable and expressive in the extremely low interest-rate environment.
  Japan Society for the Promotion of Science, Grant-in-Aid for Scientific Research (A), 26242028
• Studies on the financial risk management and the public fund distribution under systemic risks
  Grants-in-Aid for Scientific Research
  01 Apr. 2015 - 31 Mar. 2018
  SUZUKI Teruyoshi
  We consider a clearing system of an interbank market in the case in which cross-trading of credit default swaps among banks is present, and we investigate the effect of credit default swaps on market stability. Furthermore, a study of default decision when two firms cross-hold their issuing debts and equities are presented. We first show that the problem to evaluate the securities values issued by the two firms can be formulated by a system of partial differential equations. Then we propose a simple numerical method which is an extension of the projected successive over-relaxation method. Finally, numerical analyses are presented to investigate effects on endogenous default boundaries and default probabilities from financial and firm specific parameters
  Japan Society for the Promotion of Science, Grant-in-Aid for Scientific Research (B), Hokkaido University, 15H02965
• An unified evaluation model for the financial systemic risk under financial crisis
  Grants-in-Aid for Scientific Research
  01 Apr. 2011 - 31 Mar. 2014
  SUZUKI Teruyoshi, KIJIMA Masaaki, ISHII Toshimasa, GOTO Makoto, NISHIDE Katsumasa
  First, we presented the pricing model of the corporate securities with cross-holdings, default costs and bond seniorities. We propose an early clearing payment vector to capture the financial crisis. We showed the existence of them and the method to derive them. Second, we introduced an optimal capital injection problem and proposed an algorithm to solve it. The problem can be represented by a linear programming formulation under Eisenberg and Noe's model. We presented a sequential method to solve both the firm's payoff to debt holders and the government's capital injection to the firms. We can show that the priority rule of capital injection does not depend on the amount of the budget by the government.
  Japan Society for the Promotion of Science, Grant-in-Aid for Scientific Research (B), Hokkaido University, 23310098
• Exploring Decision Support Models in OR-oriented Finance
  Grants-in-Aid for Scientific Research
  2008 - 2012
  KIMURA Toshikazu, SAWAKI Katsushige, INOUE Akihiko, SUZUKI Teruyoshi, TSUJIMURA Motoo, SUZUKI Atsuo, TAKASHIMA Ryuta, YAGI Kyoko, GOTO Makoto, NAKANO Yumiharu
  The basic concept of this research is called “OR-oriented finance,” which reconstructs financial modeling from the view point of decision making in Operations Research. Under this concept, we have developed various mathematical models on (1) valuing options; (2) valuing structured bonds; (3) pure mathematical finance; (4) valuation in corporate finance; and (5) real options.
  Japan Society for the Promotion of Science, Grant-in-Aid for Scientific Research (A), 20241037
• The integrated model for pricing corporate bonds and stocks ; Development and its application to corporate finance
  Grants-in-Aid for Scientific Research
  2008 - 2010
  SUZUKI Teruyoshi
  We present a model for pricing corporate bonds and stocks in a unified framework. By using our model, we can integrate the information of bond and stock market in the unified pricing model and we can then present finer prices of bonds and stocks compared to the ones by using separated models. For the simplicity, many papers assume that the bonds don't have maturity, however it is not unusual in the market, and we then analyzed its limitations to the application for finance problems. We also present the pricing model for the corporate securities considering the debt renegotiation between the stock holders and bond holders.
  Japan Society for the Promotion of Science, Grant-in-Aid for Scientific Research (C), Hokkaido University, 20510123
• 金融工学の生命保険問題への応用
  科学研究費助成事業
  2005 - 2007
  鈴木 輝好
  本研究の目的は，個人消費者の視点から，(i)生命保険の価格付け問題および(ii)保険加入計画問題を解くことである．まず，生命保険会社のデフォルトリスクを考慮し，生命保険会社の負債である企業年金保険の価格付けを行った論文「保険会社のデフォルトを考慮した企業年金保険の価格付け」を公刊した．生命保険会社が取り扱っている企業年金には額面保証や利率保証さらには特別配当，成果配当といった仕組みがある．本論文は，これらの仕組みをどちらか-方が行使可能な無期限アメリカン・プットオプションと無期限アメリカン・コールオプションの組み合わせとして定式化し，企業年金保険の価格を解析的に導出した．また，個人の生命保険への加入問題を消費と資産運用のバランスから扱った論文「共働き世帯の投資と消費および生命保険加入に関する最適計画」を発表した．本論文では，世帯主に加えて収入のある配偶者についても考慮し，世帯の投資と消費および生命保険加入に関する最適計画を解析的に導出した．簡単な数値例から，いくつか常識と異なる結果を得た．例えば，リスク回避度に依存するとはいえ，収入のある二人が世帯を形成する場合，相対的に将来収入の小さい個人は，たとえ十分な収入を得ていても生命保険ではなく年金(生存保険)に加入する戦略が最適であることが示された．さらに，家屋を保有する家計の資産運用問題を地震危険の下で扱った論文「地震による家屋の損壊と家計の最適消費投資計画」を発表した．保険加入問題と資産運用問題を同時に解き，保険コストの存在が家計に与える影響を分析した．
  日本学術振興会, 若手研究(B), 北海道大学, 17710123
• Studies on Modeling of Stock Processes and Its Applications
  Grants-in-Aid for Scientific Research
  2004 - 2007
  KIMURA Toshikazu, INOUE Akihiko, KOZUMI Hideo, SUZUKI Teruyoshi
  This paper deals with stochastic and statistical models for stock price processes in financial markets. The purposes are to construct new models in place of the well-known Black-Scholes-Merton model and to apply them to financial problems. During the research period, we obtain the following result:
  1. American-style Path-dependent Options: For various path-dependent American options with no explicit solutions, Kimura developed a unifying numerical scheme via the Laplace-Carlson transform, obtaining their values as well as their optimal stopping boundaries. Also, he derived closed-form expressions for the early exercise premiums in the Laplace domain, which have been previously given in complicated integral forms.
  2. Financial Markets with Memory: Inoue developed a new model for stock price processes in markets with memory by combining a forecast technique called the past-future method and an innovation process appeared in filtering theory. In his model, we can deal with both short and long memory by adjusting its parameters. In addition, for models with exponential-type memory, he analyzed optimal portfolio selection problems of maximizing a certain utility function.
  3. Quantitative Models of Data Observed in Markets: Kozumi developed a multinomial probit model from a Bayesian point of view. Using a prior distribution, he proposed efficient Markov chain Monte Carlo methods, which are examined by both simulated and meal data.
  4. Corporate Financial Models: For portfolios including pension, life insurance and property casualty insurance, Suzuki formulated them as optimization problems in the framework of stochastic control theory, and he analyzed them as optimal investment problems in business and household consumption. Through theoretical and numerical examinations, he obtained some properties and economical implications of optimal policies
  Japan Society for the Promotion of Science, Grant-in-Aid for Scientific Research (B), Hokkaido University, 16310104