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.

该研究计划的目的是三倍。首先，我们建议设计一组随机动态程序，以与多家公开公司建模结构设置。每个固件都假定一个扩展的资产负债表结构，其中1-任意公司-DEBT投资组合，2-多个资历类别，3-嵌入公司债券中的3个期权，4-税收优惠，5-破产费用以及6-重组过程。接下来，我们建议以最有效的方式解决和实施我们的随机动态程序。此步骤导致上述公司证券的价值。基于近似和伪最大的可能性的模型估计步骤，受Ivado Grant应用程序（蒙特利尔大学）的成功。资金决定是在2017年11月。建模，价值和估计步骤导致运营和现实的结构模型。该研究计划的最后一部分包括北美上市公司的数值和经验投资。鉴于Leboeuf and Pinnington（2017）（加拿大银行）的发现，加拿大公司正在变得更加风险，因此计划对加拿大公司及其相关的美国公司进行比较的信用风险研究。 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.讨论了设计，解决和实施我们有效的随机动态程序，具体取决于结构框架的上市公司的数量，特别关注中级维状态空间。使用近似和神经动态的编程。 JCR数据库扎实的学术期刊中一组出版物的预期收益始终如一。对加拿大上市公司的信贷风险调查将是一场科学会议的主题，该会议将召集学者，学者和专业人员讨论此问题。