2009 Fiscal Year Final Research Report
More precise estimation methods for the risk and the risk contribution of a portfolio consisting of financial instruments
| Project/Area Number |
20810024
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| Research Category |
Grant-in-Aid for Young Scientists (Start-up)
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| Allocation Type | Single-year Grants |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Tokyo Metropolitan University |
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Principal Investigator |
MUROMACHI Yukio Tokyo Metropolitan University, 大学院・社会科学研究科, 教授 (70514719)
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| Project Period (FY) |
2008 – 2009
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| Keywords | システム工学 / リスク管理 / 金融工学 |
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| Research Abstract |
I propose a much more precise estimation method for the risk and the risk contribution (the contribution of each asset for the risk of the portfolio) than the Monte Carlo method often used in the risk evaluation models. By using "hybrid method" in which the Monte Carlo simulation and the analytical approximate formula (the saddlepoint approximation) are combined, we can estimate precisely not only the famous risk measure "VaR" (Value at Risk) but also"ES" (Expected Shortfall) which has theoretically excellent properties as a risk measure.
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