2019 Fiscal Year Final Research Report
Study on model risk management method in multi-period and multi-asset models
| Project/Area Number |
15K03544
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Multi-year Fund |
|---|
| Section | 一般 |
|---|
| Research Field |
Money/ Finance
|
|---|
| Research Institution | Kyushu University |
|---|
Principal Investigator |
|
|---|
| Project Period (FY) |
2015-04-01 – 2020-03-31
|
| Keywords | モデルリスク / 数理ファイナンス / 金融工学 / リスク管理 / デリバティブ |
|---|
| Outline of Final Research Achievements |
Financial institutions have various assets and Mathematical models represent the asset fluctuations and they are essential tools for risk management. However, there is no mathematical model that completely represents the real market. Therefore, financial institutions have a potential risk of the uncertain model. We call it the model risk. In this study, the risk management of derivatives is studied under the assumption that the model risk exists in a multi-period and multi-asset model. We study the minimization of the hedging error and give the robust hedging strategy. Furthermore, when the model is a multi-asset or multi-period model, the amount of calculation is much larger than that of a one-asset and one-period model. We consider the feasibility of the numerical calculation and show a risk management method with a good balance between theory and practicality.
|
| Free Research Field |
数理ファイナンス
|
| Academic Significance and Societal Importance of the Research Achievements |
数理モデルの急速な複雑化に伴い，金融機関の抱えるモデルリスクは急激に増大しており，近年の金融危機の要因の１つはモデルリスク顕在化と捉えることができる．規制監督当局はモデルリスク管理の重要性を認識し始めているが，モデルリスク管理の理論研究は発展段階であり，実務の要請に応じられる理論や金融技術は確立していない．多資産，多期間のデリバティブのモデルリスク管理方法の研究によって，金融市場の潜在的モデルリスクを明らかにすることができると考えられる．私はこれらの研究を通じて，世界経済の安定的成長に貢献することで，社会全体の発展に貢献したいと考えている．
|
