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2000 Fiscal Year Final Research Report Summary

Studies on Modeling for of Credit Risk Valuation

Research Project

Project/Area Number 10430026
Research Category

Grant-in-Aid for Scientific Research (B).

Allocation TypeSingle-year Grants
Section一般
Research Field Business administration
Research InstitutionOsaka University

Principal Investigator

NISHINA Kazuhiko  Graduate School of Economics, Professor, 大学院・経済学研究科, 教授 (30094311)

Co-Investigator(Kenkyū-buntansha) TANIGAWA Yasuhiko  Graduate School of Economics, Associate Professor, 大学院・経済学研究科, 助教授 (60163622)
OHNISHI Masamitsu  Graduate School of Economics, Associate Professor, 大学院・経済学研究科, 助教授 (10160566)
TABATA Yoshio  Graduate School of Economics, Professor, 大学院・経済学研究科, 教授 (30028047)
OYA Kosuke  Graduate School of Economics, Associate Professor, 大学院・経済学研究科, 助教授 (20233281)
Project Period (FY) 1998 – 2000
KeywordsAsset pricing / Index funds / Adaptive portfolio / Optimal stopping problem / Impulse control / Default / Execution probabilities / Incomplete data
Research Abstract

Nishina has investigated the theoretical structure of credit risk analysis by reexamination of existing models. Along with the theoretical approach, he has explored the mechanism of bond rating as a typical application of credit risk analysis. Recognizing the strong necessity of improvement in risk models, he expects a potential power or factor structure approach in the determination of bond prices.
Tabata investigated the topics on index funds and their properties in the framework of an investment decision making problem under uncertainty. The efficient genetic algorithm to design the index fund is developed and the new procedure to revise parameters included in the algorithm is suggested from the view point of a Bayesian approach when the stock prices are available sequentially.
Ohnishi mainly examined an optimal stopping problem for a geometric Brownian motion with Poissonian jumps. Although it has been argued that so called smooth pasting technique (see Dixit (1993), and Dixit and Pi … More ndyck (1994)) is useful for such stochastic optimization problems, it seems that its mathematical validity is not sufficiently discussed so far. In this project, by taking a martingale approach, he showed that it is indeed mathematically valid under a set of some mild conditions on the parameters of the problem.
Tanigawa (2000a) considered implications of defaults on the ex-post moral hazard problem of corporate managers, noting that different types of debt contracts place different disciplinary burdens on the managers. Tanigawa and Koie (1999) studied exercises of corporate convertible bonds may be attributed to investors' liquidity demand, which is typical in the case of financial difficulties. Securities transaction itself involves risk of not executed. Omura, Uno, and Tanigawa (2000) estimated execution probabilities of limit orders of stock in the Tokyo Stock Exchange, to see how large such execution risk is incurred in limit orders with a more favorable price the limit order provides.
The data that is available at financial market is not an ideal one. The data is supposed to be well-behaved by theories established at fields of statistical and mathematical finance, In this project, Oya has derived some properties of statistics with missing data and without any information about missing data. It is reported that the usual statistics for panel data analysis have an upward bias in the case mentioned above. Less

  • Research Products

    (41 results)

All Other

All Publications (41 results)

  • [Publications] 仁科一彦: "資産価格理論の展開"貯蓄経済理論研究会年報. 14. (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 仁科一彦: "企業経営のパフォーマンス評価について:ROEとEVAの批判"現代ファイナンス. 5. 41-55 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 仁科一彦,萩原統宏: "格付けと資本市場-展望-"貯蓄経済理論研究会年報. 16. 141-151 (2001)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Ali Rostamy and Tabata,Y.: "Appraising the Effectiveness of GP in Incorporating the Decision Maker's Preferences"Journal of the Operations Research society of Japan. 41. 279-288 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Tabata,Y.: "Adaptive Index Fund under Mean Square Tracking "Stochastic Models in Engineering, Technology and Management (Wilson, R.J., Osaki,S.and Faddy,M.J.Eds.). 504-511 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Tabata,Y.: "Some Problems in the Mathematical Finance"Journal of the Mongolian Mathematical Society. 3. 50-54 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Ohnishi,M.: "An Optimal Stopping Problem for a Geometric Brownian Motion with Poissonian Jumps"Proceedings of the First Euro-Japanese Workshop on Risk Modelling for Finance, Insurance, Production and Reliability. 1. (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Ohnishi,M: "An Optimal Stopping Problem for a Geometric Brownian Motion with Poissonian Jumps"Stochastic Models in Engineering, Technology and Management (Wilson,R.J.,Osaki,S.and Faddy,M.J.Eds.). 416-425 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Kijima,M.and Ohnishi,M.: "Stochastic Orders and Their Applications in Financial Optimization"Mathematical Methods of Operations Research. 50. 351-372 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Segawa,Y.and Ohnishi,M: "The Average Optimality of a Repair-Limit Replacement Policy"Mathematical and Computer Modelling. 31. 327-334 (2000)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Ohnishi,M.: "Stochastic Orders in Reliability Theory "Stochastic Models in Reliability and Maintenance (Osaki,S.Ed.), Chap.1,Springer-Verlag,Berlin . (in press). (2001)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 谷川寧彦: "転換社債市場と株式市場間の裁定機会"郵政研究所ディスカッションペーパー. 1998-16. (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 谷川寧彦: "信用取引制度に内在するオプションコスト"郵政研究所ディスカッションペーパー. 1998-17. (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 谷川寧彦: "最近の企業経済学について"現代ファイナンス. 5. 69-87 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 谷川寧彦,古家潤子: "転換社債とワラント債による潜在株式の株価への影響"郵政研究所ディスカッションペーパー. 1999-05. (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 谷川寧彦,古家潤子: "日本における転換社債の転換"郵政研究所ディスカッションペーパー. 1999-09. (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 谷川寧彦: "市場間競争とその経済厚生について"インベストメント. 53・2. 16-38 (2000)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 宇野淳,大村敬一,谷川寧彦: "指値注文の執行確率"Discussion Papers in Economics and Business, Osaka University. 00・05. 1-32 (2000)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 谷川寧彦: "生産性ショックのリスク分担と政府貸出し"現代の金融と政策(小佐野広,本多佑三 編著),日本評論社. 第13章. 323-345 (2000)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Oya,K.and Toda,H.: "Dickey-Fuller,Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series"Journal of Time Series Analysis. 9・3. 325-347 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Fukushige,M.and Oya,K.: "On the Model Selection Criteria for Demand System"Proceedings of International Congress on Modelling and Simulation held on 6-9 December 1999 at University of Waikato, Hamilton, New Zealand. 2. 261-264 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 大西匡光(分担訳): "経営科学OR用語大事典"朝倉書店. 760 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 田畑吉雄,大西匡光(部分執筆): "経営学大辞典(第2版)"中央経済社. 1048 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 田畑吉雄: "経営科学入門"牧野書店. 216 (2000)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 谷川寧彦(分担執筆): "金融分析の最先端(筒井義郎編著)"東洋経済新報社. 347 (2000)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Nishina, K.and Hagiwara, M.: "Bond Ratings in the Capital Markets ; A Survey (in Japanese)"Annual Report of "Chochiku Keizai Riron Kenkyukai". No.16. 141-151 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Ali Asghar Anvary Rostamy and Tabata, Y.: "Appraising the Effectiveness of GP in Incorporating the Decision Maker (MD)'s Preferences"Journal of Operations Research Society of Japan. Vol.41, No.2. 279-288 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Tabata, Y.: "Some Problems in the Mathematical Finance"Journal of the Mongolian Mathematical Society.. No.3. 50-54 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Tabata, Y.: "Adaptive Index Fund under Mean Square Tracking"Proceedings of The First Western-Pacific and Third Australia-Japan Workshop on Stochastic Models in engineering, Technology and Management (Wilson, R.J., Osaki, S.and Faddy, M.J.Eds.). 504-511 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Tabata, Y.: "Introduction to Management Science (in Japanese)"Makino Syoten. (2000)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Ohnishi, M.: "An Optimal Stopping Problem for a Geometric Brownian Motion with Poissonian Jumps"Proceedings of the First Euro-Japanese Workshop on Risk Modelling for Finance, Insurance, Production and Reliability. Vol.1. (1998)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Ohnishi, M.: "An Optimal Stopping Problem for a Geometric Brownian Motion with Poissonian Jumps"Proceedings of The First Western-Pacific and Third Australia-Japan Workshop on Stochastic Models in Engineering, Technology and Management (Wilson, R.J., Osaki, S.and Faddy, M.J.Eds.). 416-425 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kijima, M.and Ohnishi, M.: "Stochastic Orders and Their Applications in Financial Optimization"Mathematical Methods of Operations Research. Vol.50. 351-372 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Segawa, Y.and Ohnishi, M.: "The Average Optimality of a Repair-Limit Replacement Policy"Mathematical and Computer Modelling. Vol.31. 327-334 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Ohnishi, M.: "Stochastic Orders in Reliability Theory"Stochastic Models in Reliability and Maintenance (Osaki, S.Ed.), Chap.1, Springer-Verlag, Berlin. (in press). (2001)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Tanigawa, Y.: "On New Theories of Firms (in Japanese)"Gendai Fainansu (Nihon Finance Association). No.5. 69-87 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Tanigawa, Y.and Koie, J.: "Exercises of Convertible Bonds (in Japanese)"Discussion Papers in Postal Research Institute. 1999-05. 1-20 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Omura, K., Uno, J., and Tanigawa, Y.: "Execution Probabilities of Limit Orders (in Japanese)"Discussion Papers in Economics and Business, Osaka University. 00-05. 1-32 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Tanigawa, Y.: "Government Lending, Liquidity Risk, and Productivity Shocks (in Japanese)"Monetary Economics and Monetary Policy (Osano, H.and Honda, Y.Eds.), Nihon Hyoron-sha. Chapter 13. 323-345 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Oya, K.and Toda, H.: "Dickey-Fuller, Lagrange Multiplier and Combined Tests for a Unit Root in Autoregressive Time Series"Journal of Time Series Analysis. Vol.19, No.3. 325-347 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Fukushige, M.and Oya, K.: "On the Model Selection Criteria for Demand System : Theil's Minimum Entropy Measure and its Modification with Resampling Method"Proceedings of International Congress on Modelling and Simulation. Vol.2. 2261-2264 (1999)

    • Description
      「研究成果報告書概要(欧文)」より

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Published: 2002-03-26  

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