| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2015: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2014: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
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| Outline of Final Research Achievements |
Japan is a disaster archipelago.We consider the catastrophe as a systematic risk that cannot be diversified away and examine the impact of natural disaster risk, especially the Great East Japan Earthquake occurred on March 11, 2011 upon the Japanese capital markets.
For this purpose, we conduct the research in the following three ways. Firstly, we developed the new event study methodology using the state space model to estimate stochastic beta and estimate impact of such deserter on the stochastic betas.The beta estimated Kalman filter shows drastic jump after the great earthquakes occurred. Secondly, we estimate risk neutral probability distribution of the Nikkei 225 stock index based on one-minute Nikkei 225 call and put option price data in the day of the great earthquake.Thirdly we try to design two new types of financial products for hedging the natural deserters. One is disaster even risk derivatives and the other is“loss of profits insurance" based on equilibrium approach.
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