Statistical Analysis of Implied Data
| Project/Area Number |
24530223
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Multi-year Fund |
|---|
| Section | 一般 |
|---|
| Research Field |
Economic statistics
|
|---|
| Research Institution | Tottori University of Environmental Studies |
|---|
Principal Investigator |
|
|---|
| Project Period (FY) |
2012-04-01 – 2015-03-31
|
| Project Status |
Completed (Fiscal Year 2014)
|
| Budget Amount *help |
¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000)
Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2013: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2012: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
|
|---|
| Keywords | Implied Data / Credit Risk / Measure Change / Liquidity / Implied Probability / Jump Markov Process / Implied probability / Statistical Analysis / Liqudity |
|---|
| Outline of Final Research Achievements |
We consider the conditions under which the estimators obtained impliedly by calibration. The underlying theory is presented by Takahashi (2011, APFM),the results are given under the Martingale Measure though.Takahashi(2011) considers only a special case, where the default is independent from the other economic factors underlying the basic model. In this case, Martingale measure is equal to the real world probability. We consider the methodof Ross, which is proved to be not suitable for our problem. We consider the measure change, Radon Nikodym theorem and the strong law of large numbers are key tool. We shall consider more realistic case in the next project.
|
Report
(4 results)
Research Products
(4 results)
