| Project/Area Number |
16201033
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| Research Category |
Grant-in-Aid for Scientific Research (A)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Tokyo Institute of Technology |
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Principal Investigator |
MIZUNO Shinji Tokyo Institute of Technology, Graduate School of Decision Science and Technology, Professor (90174036)
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| Co-Investigator(Kenkyū-buntansha) |
NINOMIYA Shoichi Tokyo Institute of Technology, Graduate School of Innovation Management, Professor (70313377)
NAKAGAWA Hidetoshi Tokyo Institute of Technology, Graduate School of Innovation Management, Associate professor (30361760)
HIGA Kunihiko Tokyo Institute of Technology, Graduate School of Innovation Management, Professor (50282877)
OGATA Wakaha Tokyo Institute of Technology, Graduate School of Innovation Management, Associate professor (90275313)
HACHIYA Toyohiko Tokyo Institute of Technology, Graduate School of Decision Science and Technology, Associate Professor (00251645)
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| Project Period (FY) |
2004 – 2007
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| Project Status |
Completed (Fiscal Year 2007)
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| Budget Amount *help |
¥48,490,000 (Direct Cost: ¥37,300,000、Indirect Cost: ¥11,190,000)
Fiscal Year 2007: ¥9,880,000 (Direct Cost: ¥7,600,000、Indirect Cost: ¥2,280,000)
Fiscal Year 2006: ¥9,880,000 (Direct Cost: ¥7,600,000、Indirect Cost: ¥2,280,000)
Fiscal Year 2005: ¥9,230,000 (Direct Cost: ¥7,100,000、Indirect Cost: ¥2,130,000)
Fiscal Year 2004: ¥19,500,000 (Direct Cost: ¥15,000,000、Indirect Cost: ¥4,500,000)
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| Keywords | Information system / Optimization / Secure network / Business administration / Probability theory / ファイナンス / 金融リスク / 信用リスク / IT / ネットワーク / セキュリティ / 信用情報共有基盤 / XBRL |
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| Research Abstract |
We investigated and developed new IT models for financial risk management in three directions of financial risk, optimization technology, and IT environment.
・Refinement of Financial risk measurement
We constructed a financial database of small-to-medium sized enterprises for quantitative analyses on credit risk at first.
We used the database to develop a new-type relevant loan pricing model. The main characteristics of our model is a hybrid of the methodology for pricing credit derivatives with stochastic calculus and the traditional statistical approach based on the financial database. We also studied an application of multi-objective genetic algorithms to tuning of a credit scoring model.
・Optimization technology
We constructed a model which minimizes a tracking error of a portfolio under uncertainty and developed an algorithm for computing the optimal solution of the model efficiently. We conducted basic researches into minimax classification problem for avoiding financial risk. We also succeeded in developing algorithms of Kusuoka-approximation which are capable of high order approximation and can be applied to stochastic differentiable equations without any limitation. It is demonstrated that the algorithm is very effective for mathematical financial problems.
・IT environment
We developed a method called structured aggregate signature with respect to digital signature, which is important in digital business transaction. We got a correction method for error of safety proof of Rabin signature. We also conducted researches into XBRL and a cyber financial system as a fundamental technology for sharing basic credit information.
As results of the research, we published 19 research papers and a book. We organized 6 symposiums or workshops for collecting the information of financial risk management and for announcing our results to inside and outside researchers.
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