| Budget Amount *help |
¥5,330,000 (Direct Cost: ¥4,100,000、Indirect Cost: ¥1,230,000)
Fiscal Year 2014: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2013: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2012: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
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| Outline of Final Research Achievements |
The class of distortion risk measures is a wide class with many desirable properties, and includes the renowned expected shortfall. We constructed a reasonable and natural estimator of distortion risk measure based on general weakly dependent times series data, and proved that it is strongly consistent and asymptotically normal. Furthermore we gave a consistent estimator for its asymptotic variance, and discussed bias correction methods using bootstrap methods. We also suggested a simple backtesting procedure for the distortion risk measuress, and computed the Euler capital allocation based on them with some numerical implementation.
We proposed a new version of smoothed empirical copula, called the empirical Beta copula. It has the advantage of not requiring any smoothing parameter, and it is extremely simple to simulate a sample from it. We showed asymptotic results on the empirical Beta copula and studied its finite-sample properties with Monte Carlo simulation.
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