| Project/Area Number |
19310095
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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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 | The University of Tokyo |
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Principal Investigator |
FUJII Mariko The University of Tokyo, 先端科学技術研究センター, 教授 (90323550)
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| Co-Investigator(Kenkyū-buntansha) |
杉原 正顯 東京大学, 情報理工学系研究科, 教授 (80154483)
室田 一雄 東京大学, 情報理工学系研究科, 教授 (50134466)
高岡 慎 東京大学, 大学院・公共政策学連携研究部, 寄附講座教員 (60376663)
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| Co-Investigator(Renkei-kenkyūsha) |
SUGIHARA Masaaki 東京大学, 情報理工学系研究科, 教授 (80154483)
MUROTA Kazuo 東京大学, 情報理工学系研究科, 教授 (50134466)
TAKAOKA Makoto 琉球大学, 法文学部, 講師 (60376663)
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| Project Period (FY) |
2007 – 2009
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| Project Status |
Completed (Fiscal Year 2009)
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| Budget Amount *help |
¥13,520,000 (Direct Cost: ¥10,400,000、Indirect Cost: ¥3,120,000)
Fiscal Year 2009: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
Fiscal Year 2008: ¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
Fiscal Year 2007: ¥8,450,000 (Direct Cost: ¥6,500,000、Indirect Cost: ¥1,950,000)
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| Keywords | ファイナンス / リスク管理 / 最適化 / シミュレーション |
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| Research Abstract |
We obtained the following major results through this project ; most of them have been published in academic journals, and some of them, in book chapters. First, we empirically investigated the relationship between the term structure of interest rates and macroeconomic variables. Second, the default risk of Japanese SMEs has been estimated, using the large-scale financial data. Third, we used a simulation technique to analyze default correlation embedded in securitization and its dependency on systematic risk. Fourth, we developed numerical solvers and function approximation methods for numerical simulation techniques.
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