A Study of Mathematical Models for Risk Measurement
Project/Area Number |
21500282
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Research Category |
Grant-in-Aid for Scientific Research (C)
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Allocation Type | Single-year Grants |
Section | 一般 |
Research Field |
Statistical science
|
Research Institution | Seijo University |
Principal Investigator |
|
Project Period (FY) |
2009 – 2011
|
Project Status |
Completed (Fiscal Year 2011)
|
Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2011: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2010: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2009: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
|
Keywords | 定量的リスク管理 / 計量ファイナンス / リスク管理 / 金融工学 / 統計数学 / ファイナンス / 数理ファイナンス / リスク計測 |
Research Abstract |
We take the class of distortion risk measures as the object of our study because it satisfies many desirable properties as a measure of financial risk. We first consider estimation problem ; when data can be considered as realizations of weakly dependent stationary time series, we show that our estimator, which is of the L-statistics form, has strong consistency and asymptotic normality. We also propose an estimator for the asymptotic variance using spectral analysis, and investigate a bootstrap procedure for bias correction including its validity. Using Monte Carlo simulation, we examine the performance of the estimator, comparing with some distortion risk measures and the value-at-risk(VaR). Furthermore, we propose some backtesting methods with distortion risk measures and compute risk allocation contributions. We then perform a comparative analysis of distortion risk measures under various distributional scenarios.
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Report
(4 results)
Research Products
(19 results)