| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2014: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2013: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2012: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Outline of Final Research Achievements |
Connecting the implied copula model proposed by Hull and White(2006) and the framework for market-value based risk evaluation models theoretically, we proposed a new risk evaluation model including huge loss events with small probabilities implied from market prices. As is expected, the calculated risk measures reflected the huge losses with small probabilities, and the most of the huge losses are derived from drastic falls of the CDO prices, not from the actual default losses. Such a tendency is seen in the actual losses at the last financial crisis period.
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