著者

Masanori HIRANO Hiroto YONENOH Kiyoshi IZUMI

出版者

一般社団法人 人工知能学会

雑誌

人工知能学会全国大会論文集 第32回全国大会(2018)

巻号頁・発行日

pp.2P205, 2018 (Released:2018-07-30)

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Basel regulatory framework, one of CAR (capital adequacy ratio) regulations, is said to make markets destabilized in a previous study. But the previous study included some inappropriate assumptions. So, this study assessed this destabilizing effects with a new model. In my model, FCN agents and 2 kinds of portfolio agents, CAR regulated ones and not regulated ones, were included. Using this model, some simulations were run. As results, the simulations revealed some facts: 1. Asset management using portfolio stabilizes markets and the stabilizing effect are significant if there are a lot of markets included in the portfolio; 2. CAR regulation destabilizes markets and vanish the stabilizing effects of portfolio. In addition, the results of my simulations suggest that CAR regulation does not only raise the chance of price crashes but also depress whole price.

著者

Masanori HIRANO Hiroto YONENOH Kiyoshi IZUMI

出版者

人工知能学会

雑誌

2018年度人工知能学会全国大会(第32回)

巻号頁・発行日

2018-04-12

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Basel regulatory framework, one of CAR (capital adequacy ratio) regulations, is said to make markets destabilized in a previous study. But the previous study included some inappropriate assumptions. So, this study assessed this destabilizing effects with a new model. In my model, FCN agents and 2 kinds of portfolio agents, CAR regulated ones and not regulated ones, were included. Using this model, some simulations were run. As results, the simulations revealed some facts: 1. Asset management using portfolio stabilizes markets and the stabilizing effect are significant if there are a lot of markets included in the portfolio; 2. CAR regulation destabilizes markets and vanish the stabilizing effects of portfolio. In addition, the results of my simulations suggest that CAR regulation does not only raise the chance of price crashes but also depress whole price.