Estimation of CDS-adjusted risk-free rates

• Project/Area Number: 26380404
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Musashi University
• Principal Investigator: Kagraoka Yusho 武蔵大学, 経済学部, 教授 (40328927)
• Research Collaborator: Moussa Zakaria ナント大学
• Project Period (FY): 2014-04-01 – 2017-03-31
• Project Status: Completed (Fiscal Year 2016)
• Budget Amount: ¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000); Fiscal Year 2016: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000); Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000); Fiscal Year 2014: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
• Keywords: リスクフリー・レート / クレジット・デフォルト・スワップ / クレジット・スプレッド / 金利の期間構造 / クレジット・デフォルト・スワップ（CDS) / 国債 / 金利の正値性

Outline of Final Research Achievements

A new methodology for estimating risk-free rates is proposed, and applied to the Japanese, German, and U.S. markets to obtain the risk-free rates in JPY, EUR, and USD. Government bonds yields are not linear combinations of the risk-free rates and CDS premium. Sovereign CDS premiums and government bond yields are multi-variate non-linear function of the risk-free rates and default probability of the reference country. This estimation method is free from bias even if the risk-free rates and default intensity are correlated.

Research Products

• [Journal Article] 自国通貨建てと外国通貨建てのソブリンCDSを用いたリスクフリー・レートのタームストラクチャーの推定－カウンターパーティ・リスクの影響の除去－ (2016)
  • Author(s): 神楽岡 優昌
  • Journal Title: 武蔵大学論集 Volume: 64-1 Pages: 20-41
  • NAID: 120005867687
  • Open Access / Acknowledgement Compliant
• [Journal Article] Common dynamic factors in driving commodity prices: Implications of a generalized dynamic factor model (2016)
  • Author(s): Yusho Kagraoka
  • Journal Title: Economic Modelling Volume: 52 Pages: 609-617
  • DOI: 10.1016/j.econmod.2015.10.005
  • Peer Reviewed
• [Journal Article] Estimation of the Term Structure of CDS-Adjusted Risk-Free Interest Rates (2014)
  • Author(s): Yusho KAGRAOKA, Zakaria Moussa
  • Journal Title: The Journal of Fixed Income Volume: 24-2 Issue: 2 Pages: 29-44
  • DOI: 10.3905/jfi.2014.24.2.029
  • Peer Reviewed / Acknowledgement Compliant
• [Presentation] The dependence of the risk-free interest rate on sovereign default intensity:evidence from the German and U.S. markets (2017)
  • Author(s): Yusho Kagraoka
  • Organizer: 3rd International Workshop on “Financial Markets and Nonlinear Dynamics” (FMND)
  • Place of Presentation: France, Paris
  • Year and Date: 2017-06-01
  • Int'l Joint Research
• [Presentation] Estimation of the term structure of CDS-adjusted risk-free interest rates (2014)
  • Author(s): Yusho KAGRAOKA, Zakaria Moussa
  • Organizer: Portuguese Finance Network 2014
  • Place of Presentation: Vilamoura, Portugal
  • Year and Date: 2014-06-18 – 2014-06-20