2007 Fiscal Year Final Research Report Summary
Research and development of new IT models for financial risk management.
| Project/Area Number |
16201033
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| Research Category |
Grant-in-Aid for Scientific Research (A)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Tokyo Institute of Technology |
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Principal Investigator |
MIZUNO Shinji Tokyo Institute of Technology, Graduate School of Decision Science and Technology, Professor (90174036)
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| Co-Investigator(Kenkyū-buntansha) |
NINOMIYA Shoichi Tokyo Institute of Technology, Graduate School of Innovation Management, Professor (70313377)
NAKAGAWA Hidetoshi Tokyo Institute of Technology, Graduate School of Innovation Management, Associate professor (30361760)
HIGA Kunihiko Tokyo Institute of Technology, Graduate School of Innovation Management, Professor (50282877)
OGATA Wakaha Tokyo Institute of Technology, Graduate School of Innovation Management, Associate professor (90275313)
HACHIYA Toyohiko Tokyo Institute of Technology, Graduate School of Decision Science and Technology, Associate Professor (00251645)
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| Project Period (FY) |
2004 – 2007
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| Keywords | Information system / Optimization / Secure network / Business administration / Probability theory |
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| Research Abstract |
We investigated and developed new IT models for financial risk management in three directions of financial risk, optimization technology, and IT environment.
・Refinement of Financial risk measurement
We constructed a financial database of small-to-medium sized enterprises for quantitative analyses on credit risk at first.
We used the database to develop a new-type relevant loan pricing model. The main characteristics of our model is a hybrid of the methodology for pricing credit derivatives with stochastic calculus and the traditional statistical approach based on the financial database. We also studied an application of multi-objective genetic algorithms to tuning of a credit scoring model.
・Optimization technology
We constructed a model which minimizes a tracking error of a portfolio under uncertainty and developed an algorithm for computing the optimal solution of the model efficiently. We conducted basic researches into minimax classification problem for avoiding financial risk. We also succeeded in developing algorithms of Kusuoka-approximation which are capable of high order approximation and can be applied to stochastic differentiable equations without any limitation. It is demonstrated that the algorithm is very effective for mathematical financial problems.
・IT environment
We developed a method called structured aggregate signature with respect to digital signature, which is important in digital business transaction. We got a correction method for error of safety proof of Rabin signature. We also conducted researches into XBRL and a cyber financial system as a fundamental technology for sharing basic credit information.
As results of the research, we published 19 research papers and a book. We organized 6 symposiums or workshops for collecting the information of financial risk management and for announcing our results to inside and outside researchers.
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Research Products
(112 results)
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[Presentation] An Analysis of SNS User's Behavior2007
Author(s)
Kunihiko, Higa, Shinya, Yoshimura, Narges, Pourasghari, Haghi
Organizer
Proc. of 9th annual conference of Japan Telework Society
Place of Presentation
Shobi University, Kawagoe
Year and Date
20070630-0701
Description
「研究成果報告書概要(欧文)」より
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[Presentation] ミニマックス最適な判別規則の解析2007
Author(s)
北原知就, 水野眞治, 中田和秀
Organizer
日本OR学会2007年春季研究発表会
Place of Presentation
鳥取大学工学部(鳥取キャンパス)
Year and Date
20070328-29
Description
「研究成果報告書概要(和文)」より
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[Presentation] 対称錐計画法による判別問題の解法2006
Author(s)
北原知就, 水野眞治, 中田和秀
Organizer
日本OR学会2006年秋季研究発表会
Place of Presentation
中央大学(後楽園キャンパス)
Year and Date
20060314-15
Description
「研究成果報告書概要(和文)」より
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