| Budget Amount *help |
¥9,425,000 (Direct Cost: ¥7,250,000、Indirect Cost: ¥2,175,000)
Fiscal Year 2017: ¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2016: ¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000)
Fiscal Year 2015: ¥3,445,000 (Direct Cost: ¥2,650,000、Indirect Cost: ¥795,000)
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| Outline of Final Research Achievements |
Financial institutions are faced with various kinds of financial risk by holding their positions. Quantitative risk management deals with how to identify, evaluate, measure and manage those risks. We discussed the statistical properties that desirable risk measures should possess, and studied a broad class of risk measures called distortion risk measures focusing on their statistical estimation and backtesting. Copulas are an important tool for modeling dependence between several financial risks, and we introduced and analyzed new smoothed estimates of copulas. Resampling methods based on them are also investigated.
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