Risk Finance of Catastrophe: The Measurement and Management of Catastrophe Risk through the Capital Market.
| Project/Area Number |
26380406
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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 | Waseda University |
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Principal Investigator |
Moridaira Soichiro 早稲田大学, 商学学術院(ファイナンス研究科・センター), 教授 (50082871)
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| Research Collaborator |
Kajimoto Shu
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| 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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| Keywords | 大災害 / リスクファイナンス / 資本市場 / 資産価格理論 / デリバティブ / 保険と保険数理 / イベント研究 / カルマンフィルター / 大震災 / オプション理論 / リスクヘッジ / リスク回避度 / 非完備市場モデル / 信用リスク / デフォルト確率 / 安政大地震 / オプション価格決定モデル / 休業保険 / 地震保険 / ボラティリティ / リスク / 大災害債券 / オプション価格 / インプライド確率密度関数 / ベータ |
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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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Report
(4 results)
Research Products
(23 results)
