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A Study on Valuation Models and Management of Credit Risk

Research Project

Project/Area Number 08453011
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionUniversity of Tsukuba

Principal Investigator

SUZUKI Hisatoshi (1997)  Univ.of Tsukuba, Inst.of Policy and Planning Science, Professor, 社会工学系, 教授 (10108219)

吉田 俊弘 (1996)  筑波大学, 社会工学系, 講師 (60251013)

Co-Investigator(Kenkyū-buntansha) YOSHIDA Toshihiro  Univ.of Tsukuba.Inst.of Policy and Planning Science, Assistant Professor (until, 社会工学系, 講師 (60251013)
木島 正明  筑波大学, 社会工学系, 助教授 (00186222)
鈴木 久敏  筑波大学, 社会工学系, 教授 (10108219)
Project Period (FY) 1996 – 1997
Project Status Completed (Fiscal Year 1997)
Budget Amount *help
¥3,900,000 (Direct Cost: ¥3,900,000)
Fiscal Year 1997: ¥1,300,000 (Direct Cost: ¥1,300,000)
Fiscal Year 1996: ¥2,600,000 (Direct Cost: ¥2,600,000)
Keywordsmathematical finance / valuation of risk / credit risk / default of firms / market risk / contingent claims / portfolio / no-arbitrage condition / 派生証券の価格理論 / リスク管理 / 格付け推移
Research Abstract

In this research credit risk is defined as the damage on present value of future cash flows due to the probability of not calling in loans, principals of corporate bonds, or payoffs of OTC derivatives contracts, etc. The analyzes are mainly done from mathematical finance aspects, especially in the case with correlation between default structures of firms, while the studies without them have been main streams, not sufficiently capturing the situation of chain reactions of defaults, valuing of debts with collateral or debts with securities.
On the other hand, it requires for firms, which holds portfolios consisting of various kinds of assets as increasing the level and the variety of investment technology, not only management of market risk but also management of credit risk, furthermore management of market and credit risk as whole.
In this paper, (1) valuation models of credit risk including correlation structures of defaults and (2) the possibility of unifying measures of market risk and credit risk are studied.
The following results can be obtained.
(l) A structural model based on the Merton model and a reduced model with no-arbitrage conditions based on the Jarrow and Turnbull model, both with defaults correlation structures can be derived.
(2) Reduced models based on the Jarrow and Turnbull model and the Jarrow, Lando and Turnbull model can be extended to have correlation structures between defaults processes and interest rate movements. Furthermore, the no-arbitrage conditions for the latter can be obtained.
(3) A valuation model of credit risk belonging to the class of the Duffie and Singleton models are proposed, which is appropriate for the total management of market risk and credit risk.
(4) Problems and a direction of unifying measures of market risk and credit risk are discussed.

Report

(3 results)
  • 1997 Annual Research Report   Final Research Report Summary
  • 1996 Annual Research Report
  • Research Products

    (16 results)

All Other

All Publications (16 results)

  • [Publications] 木山・山下・吉田・吉羽: "「銀行勘定における金利リスク-VaRのフレームを用いた定量化-」" 金融研究. 11巻. 23-59 (1996)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] 鈴木 久敏: "「知」の創成技術モデル・ベース・プランニング」" ENGINERRES. 584号. 1-4 (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] Yoshida, T.and Tanimura, H.: ""Valuation Model of Credit Spreads"" Technical Papar,UBS Securities. (1998)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] Kiyama, Yamashita, Yoshida, and Yoshiba: ""Interest Rate Risk of Banking Accounts-Measurement using VaR framework-"" Kin-yu Ken-kyu. Vol.11. 23-59 (1996)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] Suzuki, H.: "Creation Technology for Knowledge-Model Based Planning" ENGINEERS. No.584. 1-4 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] Yoshida, T.and Tanimura, H.: ""Valuation Model of Credit Spreads"" Technical Paper, UBS Securities. (1998)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] 木山、山下、吉田、吉羽: "銀行勘定における金利リスク-VaRのフレームを用いた定量化-" 金融研究. 11巻. 23-59 (1996)

    • Related Report
      1997 Annual Research Report
  • [Publications] 鈴木久敏: "「知」の創成技術 モデル・ベース・プランニング" ENGINERRES. 584号. 1-4 (1997)

    • Related Report
      1997 Annual Research Report
  • [Publications] Yoshida,T. and Tanimura,H.: "Valuation Model of Credit Spreads" Technical Paper,UBS Securities. (1998)

    • Related Report
      1997 Annual Research Report
  • [Publications] 木山善直,山下司,吉田敏弘,吉羽要直: "銀行勘定における金利リスク-VaRのフレームワークを用いた定量化-" 金融研究. 15・4. 23-59 (1996)

    • Related Report
      1996 Annual Research Report
  • [Publications] Iida,T.,Komoribayashi,K.and Yoshida.T.: "A Bond Pricing Model with Stochasticdly Vavying Market Price of Risk" Stochastic Models in Engineering.Tachndogy and Management. 236-244 (1996)

    • Related Report
      1996 Annual Research Report
  • [Publications] Satoh,S.and Yoshida,T.: "A valuation Model of Forward Forex Positions with Underlying Asset Correlatior" Proceedings of Tsukuda-washington Internatioual Sympasium. 161-169 (1996)

    • Related Report
      1996 Annual Research Report
  • [Publications] Kijima,M.and ohnishi,M.: "Stochastic dominance by functional characterization approach : Fundamental results and applications" Mathematical Finance. 6・3. 237-277 (1996)

    • Related Report
      1996 Annual Research Report
  • [Publications] Kijima,M.and Nagayama,I.: "Anumerical proceduve for the gonerd one-factor interest rate model" Journol of Financial Engineering. 5・4. 317-337 (1996)

    • Related Report
      1996 Annual Research Report
  • [Publications] 羽田隆男、鈴木久敏: "資源制約付グル-ピング問題" 日本経営工学会誌. 47(6). 373-383 (1997)

    • Related Report
      1996 Annual Research Report
  • [Publications] 木島正明,長山いづみ,近江義行: "ファイナンス工学入門III 数値計算法" 日科技連出版社, 248 (1996)

    • Related Report
      1996 Annual Research Report

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Published: 1996-04-01   Modified: 2016-04-21  

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