On optimal security design and financial contract

最优安全设计与金融契约

• 批准号: 17330041
• 负责人: OHASHI Kazuhiko
• 金额: $ 7.17万
• 依托单位: Hitotsubashi University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (B)
• 财政年份: 2005
• 资助国家: 日本
• 起止时间: 2005 至 2006
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-17330041/
• 关键词: Security Design; Optimal contract; Stochastic Differential Utility; Forward-Backward SDE; Asymmetric Information; Weather Derivative; Benchmark; 前向き-後向き確率微分方; プリンシパル・エージェント; インセンティブ; ファンド運用

In this research project, we investigate several aspects of optimal security design and financial contract empirically and theoretically. First, using the data of publicly placed Japanese ABSs (asset backed securities), we analyze the effect of adverse selection (i.e., sellers/issuers of ABSs have more precise information than buyers/investors) on swap spreads of the ABSs, and find significantly negative relationship between excess subordination by issuers and swap spreads at the issuance. We also investigate the effect of asymmetric information and design of trading system on stock prices by using the data of stock lending fees in Tokyo Stock Exchange, and show that short-sales constraints reduce the adjustment speed of stock prices to negative information.Second, we theoretically analyze several problems in risk sharing through security design (optimal risk transfer, optimal consumption, optimal investment policy, and so on) in the setting where agents have stochastic differential utilities (SDU). We show that the optimal policies are characterized as solutions of forward-backward stochastic differential equations (FBSDE) and obtain the necessary and sufficient conditions for optimal policies. We also analyze the case where timing of risk-transfer is uncertain, and investigate risk transfer in the Knightian economy by using the robust utility maximization method proposed by Hansen and Sargent.In addition, we develop a model to describe stochastic movements of electricity prices and demands, and investigate desirable design of weather derivatives for electricity companies to hedge the risks of uncertain electricity prices and demands. Moreover, as an issue of financial contracting, we survey the relation between fund managers' fee schedule and their incentives, and investigate the relation between capital structures and stock returns to evaluate the benchmark for fund managers' performance measure.

在这个研究项目中，我们从实证和理论上研究了最优安全设计和金融合约的几个方面。首先，利用公开发行的日本 ABS（资产支持证券）的数据，我们分析了逆向选择（即 ABS 的卖方/发行人比买方/投资者拥有更准确的信息）对 ABS 掉期利差的影响，发现显着发行人的过度从属关系与发行时的掉期利差之间存在负相关关系。我们还利用东京证券交易所的借股费用数据考察了信息不对称和交易制度设计对股价的影响，结果表明卖空约束降低了股价对负面信息的调整速度。从理论上分析了在代理具有随机微分效用（SDU）的情况下，通过安全设计（最优风险转移、最优消费、最优投资策略等）来分担风险的几个问题。我们证明了最优策略的特征是前向-后向随机微分方程（FBSDE）的解，并获得了最优策略的充分必要条件。我们还分析了风险转移时间不确定的情况，并利用汉森和萨金特提出的鲁棒效用最大化方法研究了奈特经济中的风险转移。此外，我们开发了一个模型来描述电价的随机变动和需求，并研究电力公司理想的天气衍生品设计，以对冲不确定的电价和需求的风险。此外，作为一个金融契约问题，我们考察了基金经理的收费表与其激励之间的关系，并研究了资本结构与股票回报之间的关系，以评估基金经理业绩衡量的基准。

项目成果

On the information effect of short-sales constraints : Evidence from the Tokyo Stock Exchange

关于卖空限制的信息效应：来自东京证券交易所的证据

• 发表时间: 2007
• 作者: Naoto Isaka

天候デリバティブによる電力会社のリスク管理

利用天气衍生品对电力公司进行风险管理

• 发表时间: 2006
• 作者: 大橋 和彦; 金村 宗
• 通讯作者: 金村 宗

Optimal Consumption and Investment Strategies Based upon Stochastic Differential Utilities with Uncertain Time-Horizon

基于随机微分效用的不确定时间范围的最优消费和投资策略

• 发表时间: 2006
• 作者: Nobuhiro Nakamura

Originators'Subordination as Instruments to Mitigate Adverse Selection : Evidence from Asset-backed Securities Issued in Japan

发起人的从属地位作为减轻逆向选择的工具：来自日本发行的资产支持证券的证据

• 发表时间: 2005
• 作者: Naoto Isaka; Kazuhiko Ohashi; Makoto Saito
• 通讯作者: Makoto Saito

経済制度の実証分析と設計 第2巻『金融の機能不全』(第7章)(林文夫 編)(勁草書房)

经济系统的实证分析与设计第2卷“金融失调”（第7章）（林文雄主编）（庆曹书房）

• 发表时间: 2007
• 作者: 井坂 直人; 大橋 和彦; 斎藤 誠
• 通讯作者: 斎藤 誠