2009 Fiscal Year Final Research Report
Modeling and Simulation Methods for Integrated Risk Management
| Project/Area Number |
19310095
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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 |
Social systems engineering/Safety system
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| Research Institution | The University of Tokyo |
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Principal Investigator |
FUJII Mariko The University of Tokyo, 先端科学技術研究センター, 教授 (90323550)
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| Co-Investigator(Renkei-kenkyūsha) |
SUGIHARA Masaaki 東京大学, 情報理工学系研究科, 教授 (80154483)
MUROTA Kazuo 東京大学, 情報理工学系研究科, 教授 (50134466)
TAKAOKA Makoto 琉球大学, 法文学部, 講師 (60376663)
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| Project Period (FY) |
2007 – 2009
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| Keywords | ファイナンス / リスク管理 / 最適化 / シミュレーション |
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| Research Abstract |
We obtained the following major results through this project ; most of them have been published in academic journals, and some of them, in book chapters. First, we empirically investigated the relationship between the term structure of interest rates and macroeconomic variables. Second, the default risk of Japanese SMEs has been estimated, using the large-scale financial data. Third, we used a simulation technique to analyze default correlation embedded in securitization and its dependency on systematic risk. Fourth, we developed numerical solvers and function approximation methods for numerical simulation techniques.
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Research Products
(14 results)
