2003 Fiscal Year Final Research Report Summary
TOTAL STUDY ON QUANTIFICATION OF CREDIT RISK AND ITS APPLICATIONS
| Project/Area Number |
13430025
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Osaka University |
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Principal Investigator |
NISHINA Kazuhiko Osaka University, GRADUATE SCHOOL OF ECONOMICS, PROFESSOR, 大学院・経済学研究科, 教授 (30094311)
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| Co-Investigator(Kenkyū-buntansha) |
OYA Kosuke OSAKA UNIVERSITY, GRADUATE SCHOOL OF ECONOMICS, ASSOCIATE PROFESSOR, 大学院・経済学研究科, 助教授 (20233281)
OHNISHI Masaitsu OSAKA UNIVERSITY, GRADUATE SCHOOL OF ECONOMICS, PROFESSOR, 大学院・経済学研究科, 教授 (10160566)
TABATA Yoshio OSAKA UNIVERSITY, GRADUATE SCHOOL OF ECONOMICS, PROFESSOR, 大学院・経済学研究科, 教授 (30028047)
TANIGAWA Yasuhiko WASEDA UNIVERSITY, FUCULTY OF COMMERCE, ASSOCIATE PROFESSOR, 商学部, 助教授 (60163622)
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| Project Period (FY) |
2001 – 2003
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| Keywords | Implied Volatility / Risk Measures / Market Microstructure / Interest Rate Derivatives / Calibration / Poisson Regression Model / Ordered Categorical Variable / Liquidity Risk |
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| Research Abstract |
In this research project, we have totally investigated the methodologies for measurement and modeling of various credit risks in finance theory and their applications, and we have obtained, a lot of academically interesting and/or practically useful results.
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