More precise estimation methods for the risk and the risk contribution of a portfolio consisting of financial instruments

• Project/Area Number: 20810024
• Research Category: Grant-in-Aid for Young Scientists (Start-up)
• Allocation Type: Single-year Grants
• Research Field: Social systems engineering/Safety system
• Research Institution: Tokyo Metropolitan University
• Principal Investigator: MUROMACHI Yukio Tokyo Metropolitan University, 大学院・社会科学研究科, 教授 (70514719)
• Project Period (FY): 2008 – 2009
• Project Status: Completed (Fiscal Year 2009)
• Budget Amount: ¥3,341,000 (Direct Cost: ¥2,570,000、Indirect Cost: ¥771,000); Fiscal Year 2009: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000); Fiscal Year 2008: ¥1,781,000 (Direct Cost: ¥1,370,000、Indirect Cost: ¥411,000)
• Keywords: システム工学 / リスク管理 / 金融工学

Research Abstract

I propose a much more precise estimation method for the risk and the risk contribution (the contribution of each asset for the risk of the portfolio) than the Monte Carlo method often used in the risk evaluation models. By using "hybrid method" in which the Monte Carlo simulation and the analytical approximate formula (the saddlepoint approximation) are combined, we can estimate precisely not only the famous risk measure "VaR" (Value at Risk) but also"ES" (Expected Shortfall) which has theoretically excellent properties as a risk measure.

Research Products

• [Journal Article] Black-Scholes Formula and Applications in Finance (2010)
  • Author(s): Kijima, M., Muromachi, Y.
  • Journal Title: Methods and Applications of Statistics in Business, Finance, and Management Science (forthcoming)(未定)
• [Journal Article] 証券化商品とサブプライムローン問題 (2009)
  • Author(s): 室町幸雄
  • Journal Title: オペレーションズ・リサーチ Vol.54,No.10 Pages: 619-624
  • NAID: 110007358696
• [Journal Article] Decomposing total risk of a portfolio into the c ontributions of individual asset s (2009)
  • Author(s): Muromachi, Y.
  • Journal Title: 39th ASTIN Colloquium: Accep etd Papers Pages: 1-18
  • URL: http://www.actuaries.org/ASTIN/Colloquia/Helsinki/Papers_EN.cfm
• [Journal Article] Decomposing total risk of a portfolio into the contributions of individual assets (2009)
  • Author(s): Muromachi, Y.
  • Journal Title: 39th ASTIN Colloquium : Accepetd Papers (http://www.actuaries.org/ASTIN/Colloquia/Helsinki/Papers_EN.cfm) Pages: 1-18
• [Journal Article] 証券化商品とサブプライムローン問題 (2009)
  • Author(s): 室町幸雄
  • Journal Title: オペレーションズ・リサーチ 54 Pages: 619-624
  • NAID: 110007358696
• [Journal Article] Black-Scholes Formula and Applications in Finance
  • Author(s): Kijima, M., Muromachi, Y.
  • Journal Title: Methods and Applications of Statistics in Business, Finance, an d Management Science (forthc oming)
• [Presentation] 金融危機概説 (2010)
  • Author(s): 室町幸雄
  • Organizer: 日本オペレーションズ・リサーチ学会第63回シンポジウム
  • Place of Presentation: 東京, 秋葉原
  • Year and Date: 2010-03-03
• [Presentation] 金融危機概説 (2010)
  • Author(s): 室町幸雄
  • Organizer: 日本オペレーションズ・リサーチ学会第63回シンポジウム
  • Place of Presentation: 東京,秋葉原
  • Year and Date: 2010-03-03
• [Presentation] Decomposing total risk of a portfolio into the contributions of individual assets (2009)
  • Author(s): Muromachi, Y.
  • Organizer: 39th ASTIN Colloquium
  • Place of Presentation: Helsinki, Finland
  • Year and Date: 2009-06-02
• [Presentation] Decomposing Expected Shortfall of a Portfolio into the Contributions of Individual Assets and its Robust Estimation Method (2009)
  • Author(s): Muromachi, Y.
  • Organizer: The 2009 Applied Business Research Conference
  • Place of Presentation: Oahu, Hawaii, USA
  • Year and Date: 2009-01-05
• [Presentation] Decomposing Expected Shortfall of a Portfolio into the Contrib utions of Individual Assets and its Robust Estimation Method (2009)
  • Author(s): Muromachi, Y.
  • Organizer: The 2009 Applied Business Research Conference
  • Place of Presentation: Oahu, Hawaii, USA
  • Year and Date: 2009-01-05
• [Book] 金融工学ハンドブック(第1章金融資産価格付けの基礎) (2009)
  • Author(s): 芝田隆志,室町幸雄訳(木島正明監訳)
  • Publisher: 朝倉書店
• [Book] 金融工学ハンドブック(第10章ポートフォリオの信用リスク計測) (2009)
  • Author(s): 室町幸雄訳(木島正明監訳)
• [Book] 金融工学ハンドブック(翻訳)(分担:第1章 金融資産価格付けの基礎) (2009)
  • Author(s): 芝田隆志, 室町幸雄訳(木島正明監訳)
  • Total Pages: 1028
  • Publisher: 朝倉書店
• [Book] 金融工学ハンドブック(翻訳)(分担:第10章 ポートフォリオの信用リスク計測) (2009)
  • Author(s): 室町幸雄訳(木島正明監訳)
  • Total Pages: 1028
  • Publisher: 朝倉書店