|
IMPACT OF SWAPPING RISKS FOR FACILITATINGKeywords: Uniformization Procedure , Laplace Transform , Convolution Abstract: 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.
|