Measuring downside risk using high-frequency data and its application to risk management
| Project/Area Number |
15K03397
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Kushiro Public University of Economics |
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Principal Investigator |
Ubukata Masato 釧路公立大学, 経済学部, 准教授 (00467507)
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2017: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2016: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2015: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Keywords | 下方リスク / ヘッジ比率 / ジャンプリスク / クレジットスプレッド / 高頻度データ / オプションデータ / オプション取引 / リスクマネジメント / ヘッジ / 分散リスクプレミアム |
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| Outline of Final Research Achievements |
First, we propose dynamic futures hedging models in minimizing downside risks. The results show the possibility that our models perform well and the use of high-frequency measures improves the hedging performance. Second, we investigate a role of time-varying option-implied jump tail risk for predicting credit spreads. We find that the implied jump tail risk could strongly predict lower-rated credit spreads and default spreads in Japan. Third, we calculate realized downside jump variation using high-frequency data. We find that a nontrivial portion of the overall variation would be attributed to the jump variation in periods of very high fluctuation of stock index.
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Report
(4 results)
Research Products
(12 results)
