Valuation of corporate risk under asymmetric information
| Project/Area Number |
24530343
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥4,940,000 (Direct Cost: ¥3,800,000、Indirect Cost: ¥1,140,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2013: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2012: ¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
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| Keywords | リスク管理 / モラルハザード / 情報開示 / 資産価格 / 連続時間 / システミックリスク |
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| Outline of Final Research Achievements |
This research project analyzed corporate risk pricing under asymmetric information. Specifically, it provided a tractable framework to study optimal risk sharing between an investor and a firm in the presence of moral hazard and misreporting under diffusive and jump risks. In consequence, it made clear explicitly the structural effect of asymmetric information on the optimal allocations and the marginal utilities. In particular, the asymmetric-information effect distorts the prices of the risks.
I have had two academic articles published in refereed English journals and gave some seminars in academic conferences in Japan, the United States, Australia and Europe. The academic accomplishment in this project leads to my next Grants-in-Aid for Scientific Research (C), entitled "A Dynamic General Equilibrium Analysis of Insurance-Linked Securities and Their Effect on Financial Stability."
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Report
(4 results)
Research Products
(10 results)
