Quantitative Evaluation of Financial Risk

2001 Fiscal Year Final Research Report Summary

• Project/Area Number: 11558046
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Single-year Grants
• Section: 展開研究
• Research Field: 社会システム工学
• Research Institution: CHUO UNIVERSITY (2001); Tokyo Institute of Technology (1999-2000)
• Principal Investigator: KONNO Hiroshi Chuo University, Faculty of Science and Engineering, Professor, 理工学部, 教授 (10015969)
• Co-Investigator(Kenkyū-buntansha): WATANABE Norio Chuo University, Faculty of Science and Engineering, Professor, 理工学部, 教授 (10182940) ; KAMAKURA Toshinari Chuo University, Faculty of Science and Engineering, Professor, 理工学部, 教授 (40150031) ; UNO Takeaki Chuo University, Faculty of Science and Engineering, Associate Professor, 国立情報学研究所, 助教授 (00302977) ; GOTOH Junya Chuo University, Faculty of Science and Engineering, Associate Professor, 社会工学系, 講師 (40334031)
• Project Period (FY): 1999 – 2001
• Keywords: Credit Risk / Semi-Definite Programming / Faillure Probability / Lodit Model / Small companies / Financial Data / Scoring / Option Pricing

Research Abstract

1. Failure Discriminant Analysis
2. Estimation of Failure Probability
3. Bounding Option Price
4. Maximal Predictability Portfolio
5. Pricing Derivatives by Simulation
6. Global Optimization Methods for Financial Optimization
7. Business Method Patent for Financial Engineering
8. Algorithm for Semi-Definite Programming Arising in Financial Optimization

Research Products

• [Publications] Konno, H., Kobayashi, H.: "Failure Discrimination and Rating of Enterprises by Semi-Definite Programming"Pacific Financial Markets. 7. 261-273 (2000)
  • Description: 「研究成果報告書概要(和文)」より
• [Publications] Konno, H., J, Gotoh., Uno, T.: "A Cutting Plane Algorithm for Semi-definite Programming Problems with Applications to Failure Discrimination"To appear in J.of Computational and Applied Mathematics.
  • Description: 「研究成果報告書概要(和文)」より
• [Publications] Konno, H., Kawadai, N., Tuy, H.: "Convex Minimization under Semi-Definite Constraints with Application""To appear in J.of Global Optimization. 3-20 (2002)
  • Description: 「研究成果報告書概要(和文)」より
• [Publications] Bugera, V., Konno, H., Uryasev, S.: "Credit Card Scoring with Quadratic Utility Function"To appear in J.of Multi-Criteria Decision Making.
  • Description: 「研究成果報告書概要(和文)」より
• [Publications] Konno, H., Fukaishi, K.: "A Branch and Bound Algorithm for Solving Low Rank Linear Multiplicative and Fractional Problems"J.of the Global Optimization. 18. 283-299 (2000)
  • Description: 「研究成果報告書概要(和文)」より
• [Publications] Gotoh, J., Konno, H.: "Maximization of the Ratio of Two Convex Quadratic Functions over a Polytope"Computational Optimization and Applications. 20. 43-60 (2001)
  • Description: 「研究成果報告書概要(和文)」より
• [Publications] Gotoh, J., Konno, H.: ""Bounding Option Price by Semi-Definite Programming""to appear in Management science. (2002)
  • Description: 「研究成果報告書概要(和文)」より
• [Publications] Ninomiya, S.: ""A New Simulation Scheme of Diffision Processes : Application of Kusuoka Approximation to Financial Problems""Craft Report Series 2001-6.Tokyo Institute of Technology. (2001)
  • Description: 「研究成果報告書概要(和文)」より
• [Publications] Shirakawa, H.: ""Evaluation of the Asian Optimal by the Dual Martingale Measure""Asia-Pacific Financial Markets. 6. 183-194 (1999)
  • Description: 「研究成果報告書概要(和文)」より
• [Publications] Ishijima, H., Shirakawa, H.: ""The Optimal Log-Utility Asset Management under Incomplete Information""Asia-Pacific Financial Markets. 6. 183-194 (1999)
  • Description: 「研究成果報告書概要(和文)」より
• [Publications] Ninomiya, S., Fujita, T., Ito.S.: ""Kronecker Sequences, van der Corput-Type Sequences and a Multi-Dimensional Continued Fraction Algorithm""to appear in Mathematics and Computers in Simulation.
  • Description: 「研究成果報告書概要(和文)」より
• [Publications] 今野 浩: "金融工学の挑戦"中央公論新社. 280 (2000)
  • Description: 「研究成果報告書概要(和文)」より
• [Publications] Konno H. and Kobayashi H.: "Failure Discrimination and Rating of Enterprises by Semi-Definite Programming"Asia -Pacific financial Markets. 7. 261-273 (2000)
  • Description: 「研究成果報告書概要(欧文)」より
• [Publications] Konno H., Gotoh J. and Uno T.: "A Cutting Plane Algorithm for Semi-Definite Programming Problem with Applications to Failure Discrimination"CRAFT Working Paper, 00-5, Center for Research in Advanced Financial Technology, Tokyo Institute of Technology, May, 2000. (to appear in J. of Computational and Applied Mathematics).
  • Description: 「研究成果報告書概要(欧文)」より
• [Publications] Konno H., Kawadai N. and Tuy. H: "Convex Minimization under Semi-Definite Constraints with Application"ISE01-07, Department of Industrial and Systems Engineering, Chuo University, 2001. (to appear in J. of Global Optimization).
  • Description: 「研究成果報告書概要(欧文)」より
• [Publications] Bugera V., Konno H. and Uryasev S.: "Credit Card Scoring with Quadratic Utility Function"ISE02-01, Department of Industrial and Systems Engineering, Chuo University, 2001. (to appear in J. of Multi-Criteria Decision Marking).
  • Description: 「研究成果報告書概要(欧文)」より
• [Publications] Konno H. and Fukaishi K: "A Branch and Bound Algorithm for Solving Low Rank Linear Multiplicative and Fractional Programming Problems"J. of Global Optimization. 18. 283-299 (2000)
  • Description: 「研究成果報告書概要(欧文)」より
• [Publications] Gotoh J. and Konno H: "Maximization of the Ratio of two Convex Quadratic Functions over a Polytope"Computational Optimization and Applications. 20. 43-60 (2001)
  • Description: 「研究成果報告書概要(欧文)」より
• [Publications] Gotoh J. and Konno H: "Bounding Option Price by Semi-Definite Programming"CRAFT Working Paper, 00-10, Center for Research in Advanced Financial Technology, Tokyo Institute of Technology, October, 2000. (to appear in Management science).
  • Description: 「研究成果報告書概要(欧文)」より
• [Publications] Ninomiya S.: "A New Simulation Scheme of Diffision Processes : Application Kusuoka Approximation to Financial Problems"Craft Report Series 2001-6. Tokyo Industrial of Technology. (2001)
  • Description: 「研究成果報告書概要(欧文)」より
• [Publications] Shirakawa H.: "Evaluation of the Asian Optimal by the Dual Martingale Measure"Asia-Pacific Financial Markets. 6. 183-194 (1999)
  • Description: 「研究成果報告書概要(欧文)」より
• [Publications] Ishijima H. and Shirakawa H.: "The Optimal Log-Utility Asset Management under Incomplete Information"Asia-Pacific Financial Markets. 6. 183-194 (1999)
  • Description: 「研究成果報告書概要(欧文)」より
• [Publications] Ninomiya S., Fujita T. and Ito S.: "Kronecker Sequences, van der Corput-Type Sequences, and a Multi-Dimensional Continued Fraction Algorithm"Mathematics and Computers in Simulation. (to appear in).
  • Description: 「研究成果報告書概要(欧文)」より
• [Publications] Konno H.: "Challenge of Financial Engineering"chuo-koron-shinsya. (2000)
  • Description: 「研究成果報告書概要(欧文)」より