| Project/Area Number |
11630026
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Faculty of Economics, University of Tokyo |
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Principal Investigator |
KUNITOMO Naoto Faculty of Economics, University of Tokyo, Professor., 大学院・経済学研究科, 教授 (10153313)
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| Co-Investigator(Kenkyū-buntansha) |
KAMIYA Tazuya Faculty of Economics, University of Tokyo, Professor, 大学院・経済学研究科, 教授 (50201439)
YAJIMA Yoshihiro Faculty of Economics, University of Tokyo, Professor, 大学院・経済学研究科, 教授 (70134814)
YAMAMOTO Taku Faculty of Economics, Hitotsubashi University, Professor, 経済学部, 教授 (50104716)
SATO Seisho Institute of Statistical Mathematics, Research Associate., 助手 (60280525)
TSUKAHARA Hideatsu Faculty of Economics, Seijyo University, Lecturer, 経済学部, 講師 (10282550)
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| Project Period (FY) |
1999 – 2000
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| Project Status |
Completed (Fiscal Year 2000)
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| Budget Amount *help |
¥3,200,000 (Direct Cost: ¥3,200,000)
Fiscal Year 2000: ¥1,400,000 (Direct Cost: ¥1,400,000)
Fiscal Year 1999: ¥1,800,000 (Direct Cost: ¥1,800,000)
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| Keywords | Financial Risks / Interest Risks / Credit Risks / Continuous Diffusion Processes / Semi-Martingale Processes / Statistical Time Series Analysis / Contingent Claims |
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| Research Abstract |
The main purpose of this project was to re-examine the existing statistical methods often used in measuring financial risks in econometric analysis and financial engineering literatures.
First we have inverstigated the major probabilistic methods for analyzing financial risks and evaluation of contingent claim prices. They are based on the theory of stochastic processes, the continuous diffusion processes and the semi-martingale processes in particular, and we have investigated their applications including contingent claim valuation methods. In particular we have developed the new asymptotic expansion approach for evaluating complicated contingent claims when the interest rates are stochastic, which is a promising new approach to the contingent claims evaluations in mathematical finance. Also we have investigated the semi-martingale approach to financial problems and examined the existing pricing methods of credit risks. When there are some default risks in the financial market, it coul
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d be incomplete and we have examined the mathematical finance theories of related problems in the incomplete financial market.
Second, we have investigated the statistical methods for measuring financial risks including the statistical time series analysis and statistical survival analysis (statistical reliability theory). In particular we have investigated the copulas which is an extension of the correlation coefficient in stattistical analysis and the state space modeling for investigating the financial risks including the interest rates risks.
Third, there have been many new results we have obtained under the research efforts of this project on the financial risk measurements. The details of the results under our research project have been reported in domestic as well as international academic meetings and have been (or will be) reported in academic papers listed in this report.
In conclusion, we have acomplished the most important objectives of this project. Six members participated in this projectofficially have written many papers and also stimulated a large number of researchers in the related fields and some statisticians in the academic international perspectives We thank The Ministry of Education, Science, Sports and Culture and Japan Society for the Promotion of Science for giving the generous support to our research project. Less
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