Record Details

IMPACT OF SWAPPING RISKS FOR FACILITATING

International Journal of Electronic Commerce Studies

View Archive Info
 
 
Field Value
 
Title IMPACT OF SWAPPING RISKS FOR FACILITATING
 
Creator Takada, Hideyuki; Mizuho-DL Financial Technology.
Sumita, Ushio; University of Tsukuba.
 
Subject Uniformization procedure; Laplace transform; Convolution
 
Description A swapping scheme is proposed so as to facilitate the capital flow into e-commerce by controlling credit risks associated with e-commerce corporations. More specifically, we develop and analyze a mathematical model for swapping credit risks across two industrial sectors A without involving e-commerce and another industrial sector B which relies upon e-commerce. When two Banks X and Y provide loans to corporations in A and B, a swapping scheme can be devised between Bank X and Y so as to improve the Value-at-Risk for both of them. Exploiting the dynamic stochastic model based on a Markov Modulated Poisson Process (MMPP) developed by Takada, Sumita and Takahashi (2010) and Takada and Sumita (2010), the efficient computational procedures are established for solving the Value-at-Risk problems.
 
Publisher Academy of Taiwan Information Systems Research
 
Date 2011-12-12
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://academic-pub.org/ojs/index.php/ijecs/article/view/888
10.7903/ijecs.888
 
Source "International Journal of Electronic Commerce Studies"; Vol 2, No 2 (2011); 87-102
2073-9729
 
Language eng
 
Relation http://academic-pub.org/ojs/index.php/ijecs/article/view/888/121
 
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