Quantitative analysis on diversification effect for financial risk measurement
| Project/Area Number |
25380387
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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 |
Money/ Finance
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| Research Institution | Saitama University |
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Principal Investigator |
MARUMO Kohei 埼玉大学, 人文社会科学研究科(経済系), 准教授 (90596959)
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Project Status |
Completed (Fiscal Year 2015)
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| Budget Amount *help |
¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2015: ¥260,000 (Direct Cost: ¥200,000、Indirect Cost: ¥60,000)
Fiscal Year 2014: ¥260,000 (Direct Cost: ¥200,000、Indirect Cost: ¥60,000)
Fiscal Year 2013: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
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| Keywords | 分布推定 / 線形制約 / ノンパラメトリック統計 / エルミート展開 / 分散効果 / 国際研究者交流 / オーストラリア / Density estimation / Constraints / Financial Risk / Risk measures / 国際研究者交流 (オーストラリア) / 非線形なリスクの計測 / 非正規なリスクの計量 / リスクの合算 / Hermite多項式 |
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| Outline of Final Research Achievements |
We investigated the orthogonal polynomial expansion methods for application to financial risk measurement. So far, the practical use of orthogonal polynomial expansions had been rather limited mainly due to its poor approximation quality. In this project, we clearly stated the condition under which the approximation quality can be poor. Further, we proposed `smoothing' method, with which we obtain fair quality of approximation, even when the naive application of the expansion methods can fail.
We further developed the density estimation methods under constraints, and we verified its utility numerical examples.
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Report
(4 results)
Research Products
(5 results)
