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近年地方銀行の融資残高が増加した背景について—企業金融および強化学習に基づいて合理的な解釈を試みる—
https://doi.org/10.34577/00005075
https://doi.org/10.34577/00005075cec9cc19-88e3-49a9-a67f-09e52a9213c7
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
近年地方銀行の融資残高が増加した背景について—企業金融および強化学習に基づいて合理的な解釈を試みる— (1.6 MB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2022-04-01 | |||||
| タイトル | ||||||
| タイトル | 近年地方銀行の融資残高が増加した背景について—企業金融および強化学習に基づいて合理的な解釈を試みる— | |||||
| 言語 | ja | |||||
| タイトル | ||||||
| タイトル | Analyzing the Reason Local Japanese Banks are Increasing their Lending Amount These Days | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | jpn | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | departmental bulletin paper | |||||
| ID登録 | ||||||
| ID登録 | 10.34577/00005075 | |||||
| ID登録タイプ | JaLC | |||||
| アクセス権 | ||||||
| アクセス権 | open access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||
| 著者 |
金子, 拓也
× 金子, 拓也 |
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| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 8069 | |||||
| 姓名 | Kaneko, Takuya | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Local Japanese banks are strongly increasing their lending amount these days. However, lending interest rates are said to be extremely low and not profitable. This research analyzes this reason by utilizing reinforcement learning algorism. Stock prices can be regarded as a sum of discounted dividends theoretically. The author proposes a dividend amount model including a bank’s risk asset and calculates its derivative coefficient. It tells us that banks are maximizing their profits (dividends) by adjusting their risk asset to their default probabilities (PD). In other words, a bank takes a risk by increasing risk asset when its PD is smaller than the target level (the risk appetite is strong) and reduces risk by decreasing risk asset when its PD is greater than the target level (the risk appetite is weak). The author uses the Merton model, the standard default calculating model, and finds out that local Japanese banks increased their lending amount because of their strong risk appetite. Contributing to the research, the author improves the model using the interest rate term structure and analyzes other countries’ cases. | |||||
| 言語 | en | |||||
| 書誌情報 |
ja : 社会科学ジャーナル 号 89, p. 85-114, 発行日 2022-03-31 |
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| 出版者 | ||||||
| 出版者 | 国際基督教大学 | |||||
| 言語 | ja | |||||
| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 04542134 | |||||
