Detecting structural changes in the capital markets and its application to the investment theory
| Project/Area Number |
26285069
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Partial Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Kyoto University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
若井 克俊 京都大学, 経済学研究科, 教授 (80455708)
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| Project Period (FY) |
2014-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| 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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| Keywords | 構造変化 / 相関 / 効率的ポートフォリオ / クレジットリスク / REIT / マルコフ過程 / 証券化プログラム / 変位理論 / 債権証券化 / レバレッジ比率 / 最終通過時刻 / 資産価格理論 / ファイナンス工学 / 金融論 / ＲＥＩＴ / マルコフモデル / ジャンプ過程 / 相関係数 / 最適ポートフォリオ |
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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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Report
(5 results)
Research Products
(10 results)
