| Budget Amount *help |
¥16,380,000 (Direct Cost: ¥12,600,000、Indirect Cost: ¥3,780,000)
Fiscal Year 2016: ¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000)
Fiscal Year 2015: ¥5,330,000 (Direct Cost: ¥4,100,000、Indirect Cost: ¥1,230,000)
Fiscal Year 2014: ¥5,980,000 (Direct Cost: ¥4,600,000、Indirect Cost: ¥1,380,000)
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| Outline of Final Research Achievements |
We detect a structural change in the capital markets and examine the possibility of constructing a more efficient portfolio. We estimate unobservable market value of company's asset by using the capital market information and analyze credit risk, the Japanese REIT, and banks' securitization. This approach enables our models to reflect structural changes in the capital market. We developed a model to detect an increase in simultaneous default probabilities of several companies, some novel credit risk management tools, and a simple device to tell how banks use sales proceeds from their loan securitization.
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