Extreme value models for multi-variate data and its application to risk management

• Project/Area Number: 23510157
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: University of Tsukuba
• Principal Investigator: MAKIMOTO Naoki 筑波大学, ビジネスサイエンス系, 教授 (90242263)
• Project Period (FY): 2011 – 2013
• Project Status: Completed (Fiscal Year 2013)
• Budget Amount: ¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000); Fiscal Year 2013: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000); Fiscal Year 2012: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000); Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
• Keywords: 極値理論 / 多変量時系列 / レジームスイッチ / 金融市場 / 不動産競売 / 極値モデル / 相関 / 多変量分布 / 金融データ / 時系列モデル

Research Abstract

We investigated statistical methods for modeling and analyzing extremal co-movements of multivariate data and their applications to the measurement of the imapact of extremal events and risk management in fiance and related fields. The results indicate that the regime switching model is very useful both from theoretical and practical view points for it flexibly represents such structural changes of multivariate data as error covariances according to state changes of a latent variable. In some applications to financial markets, regime switching models identify high risk and low risk regimes and suggest appropriate investment opportunities and risk management depending on the current regime as well as future regime forecast.

Research Products

• [Journal Article] Instability of wealth effect on consumption and investment under regime switches (2014)
  • Author(s): Toshio Kimura and Naoki Makimoto
  • Journal Title: Proceedings of Symposium on Stochastic Models 2014 Pages: 204-213
• [Journal Article] Instability of wealth effect on consumption and investment under regime switches (2013)
  • Author(s): Toshio Kimura and Naoki Makimoto
  • Journal Title: Applied Economic Time Series Analysis Volume: Vol. 30 Pages: 11-30
• [Journal Article] 入札者数を考慮したマンション競売市場の極値分析 (2013)
  • Author(s): 小松広明・牧本直樹
  • Journal Title: 統計数理研究所共同研究リポート299 「極値理論の工学への応用(10)」 Pages: 119-132
• [Journal Article] 極理理論を利用した中古マンション競売データの分析 (2012)
  • Author(s): 小松広明・牧本直樹
  • Journal Title: 統計数理研究所共同研究リポート274 「極値理論の工学への応用(9)」 Pages: 39-50
• [Journal Article] 極値理論を利用した中古マンション競売データの分析 (2012)
  • Author(s): 小松広明，牧本直樹
  • Journal Title: 統計数理研究所共同研究リポート Volume: 274 Pages: 39-50
• [Journal Article] Dynamic investment strategy for factor portfolios with regime switches (2011)
  • Author(s): Takahiro Komatsu and Naoki Makimoto
  • Journal Title: 京都大学数理解析研究所講究録 Volume: 1736 Pages: 5-17
• [Presentation] 気温と季節性を考慮した JEPX 時間帯価格のモデリングと予測 (2014)
  • Author(s): 山田雄二・牧本直樹・高嶋隆太
  • Organizer: 日本オペレーションズ・リサーチ学会2014年春季研究発表会
  • Place of Presentation: 大阪大学豊中キャンパス
  • Year and Date: 2014-03-06
• [Presentation] Instability of wealth effect on consumption and investment under regime switches (2014)
  • Author(s): Toshio Kimura and Naoki Makimoto
  • Organizer: 確率モデルシンポジウム
  • Place of Presentation: 東京理科大学森戸記念館(東京都新宿区)
  • Year and Date: 2014-01-24
• [Presentation] Instability of wealth effect on consumption and investment under regime swieches (2014)
  • Author(s): Toshio Kimura and Naoki Makimoto
  • Organizer: Symposiumu on Stochastic Models 2014
  • Place of Presentation: 東京理科大学森戸記念館（東京都）
  • Invited
• [Presentation] 気温と季節性を考慮したJEPX時間帯価格のモデリングと予測 (2014)
  • Author(s): 山田雄二・牧本直樹・高嶋隆太
  • Organizer: 日本オペレーションズリサーチ学会春季研究発表会
  • Place of Presentation: 大阪大学豊中キャンパス（大阪府）
• [Presentation] Instability of wealth effect on consumption and investment under regime switches (2013)
  • Author(s): Toshio Kimura and Naoki Makimoto
  • Organizer: 応用時系列研究会
  • Place of Presentation: 立教大学池袋キャンパス
  • Year and Date: 2013-07-06
• [Presentation] Extreme value analysis of auction data of used apartments, Annual Meeting of Extreme Value Theory and Applications (2012)
  • Author(s): Hiroaki Komatsu and Naoki Makimoto
  • Organizer: The Institute of Statistical Mathematics Cooperative Research Symposium
  • Place of Presentation: 統計数理研究所(東京都立川市)
  • Year and Date: 2012-07-28
• [Presentation] 極値理論を利用した中古マンション競売データの分析,極値理論の工学への応用 (2012)
  • Author(s): 小松広明・牧本直樹
  • Organizer: 平成23年度統計数理研究所共同研究集会
  • Place of Presentation: 統計数理研究所(東京都立川市)
  • Year and Date: 2012-01-21
• [Presentation] Extreme value analysis of auction data of used apratments (2012)
  • Author(s): Hiroaki Komatsu, Naoki Makimoto
  • Organizer: Annual Meeting of Extreme Value Theory and Applications
  • Place of Presentation: The Institute of Statistical Mathematics (Tokyo)
• [Presentation] 極値理論を利用した中古マンション競売データの分析 (2012)
  • Author(s): 小松広明，牧本直樹
  • Organizer: 極値理論の工学への応用
  • Place of Presentation: 統計数理研究所（立川市）
• [Presentation] Instability of wealth effect on consumption and investment under regime switches
  • Author(s): Toshio Kimura and Naoki Makimoto
  • Organizer: 応用経済時系列研究会
  • Place of Presentation: 立教大学池袋キャンパス（東京都）