Dynamic Model of Credit Risk in Relationship Lending: A Game- theoretic Real Options Approach

We develop a dynamic credit risk model for the case that banks compete to collect their loans from a firm falling in danger of bankruptcy. We apply a game-theoretic real options approach to investigate bankfs optimal strategies. Our model reveals that the bank with the larger loan amount, namely the main bank, provides an additional loan to support the deteriorating firm when the other bank collects its loan. This suggests that there exists rational forbearance lending by the main bank. Comparative statics show that as the liquidation value is lower, the optimal exit timing for the non-main bank comes at an earlier stage of business downturn and the optimal liquidation timing by the main bank is delayed further. As the interest rate of the loan is lower, the optimal exit timing for the non-main bank comes earlier. These analyses are consistent with the forbearance lending and exposure concentration of main banks observed in Japan.Credit risk, Relationship lending, Real option, Game theory, Concentration risk

Dynamic Model of Credit Risk in Relationship Lending: A Game- Theoretic Real Options Approach

We develop a dynamic credit risk model for the case in which banks compete to collect their loans from a firm in danger of bankruptcy. We apply a game-theoretic real options approach to investigate banksf optimal strategies. Our model reveals that the bank with the larger loan amount, namely, the main bank, provides an additional loan to support the deteriorating firm when the other bank collects its loan. This suggests that there exists rational forbearance lending by the main bank. Comparative statics show that as the liquidation value is lower, the optimal exit timing for the nonmain bank comes at an earlier stage in the business downturn and the optimal liquidation timing by the main bank is delayed further. As the interest rate of the loan is lower, the optimal exit timing for the non-main bank comes earlier. These analyses are consistent with the forbearance lending and exposure concentration of main banks observed in Japan.Credit risk; Relationship lending; Real option; Game theory; Concentration risk

Global-in-time behavior of the solution to a Gierer-Meinhardt system

Gierer-Meinhardt system is a mathematical model to describe biological pattern formation due to activator and inhibitor. Turing pattern is expected in the presence of local self-enhancement and long-range inhibition. The long-time behavior of the solution, however, has not yet been clarified mathematically. In this paper, we study the case when its ODE part takes periodic-in-time solutions, that is, $\tau=s+1$. Under some additional assumptions on parameters, we show that the solution exists global-in-time and absorbed into one of these ODE orbits. Thus spatial patterns eventually dis- appear if those parameters are in a region without local self-enhancement or long-range inhibition

Filamentous phages of Ralstonia solanacearum: double-edged swords for pathogenic bacteria

Some phages from genus Inovirus use host or bacteriophage-encoded site-specific integrases or recombinases establish a prophage state. During integration or excision, a superinfective form can be produced. The three states (free, prophage, and superinfective) of such phages exert different effects on host bacterial phenotypes. In Ralstonia solanacearum, the causative agent of bacterial wilt disease of crops, the bacterial virulence can be positively or negatively affected by filamentous phages, depending on their state. The presence or absence of a repressor gene in the phage genome may be responsible for the host phenotypic differences (virulent or avirulent) caused by phage infection. This strategy of virulence control may be widespread among filamentous phages that infect pathogenic bacteria of plants

"A Semi-group Expansion for Pricing Barrier Options"

This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-Dirichlet problem in the second-order parabolic partial differential equations (PDEs) arising in barrier option pricing. As an application, we propose a concrete approximation formula under a stochastic volatility model and demonstrate its validity by some numerical experiments.

Two different evolutionary lines of filamentous phages in Ralstonia solanacearum: their effects on bacterial virulence

The integration and excision of various filamentous phage genomes into and out of their host chromosomes occurs by site-specific recombination. The mechanisms proposed for these events include reactions mediated by phage-encoded recombinases and host recombination systems. Site-specific integration of filamentous phages plays a vital role in a variety of biological functions of the host, such as phase variation of certain pathogenic bacterial virulence factors. The importance of these filamentous phages in bacterial evolution is rapidly increasing with the discovery of new phages that are involved in pathogenicity. Studies of the diversity of two different filamentous phages infecting the phytopathogen Ralstonia solanacearum provide us with novel insights into the dynamics of phage genomes, biological roles of prophages, and the regulation and importance of phage–host interactions

ビッグネスの資金能力論 : アメリカにおける戦後10年の会社資本の使途と源泉

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