2013 Fiscal Year Final Research Report
Research on the financial risk management of a portfolio including alternative investments
| Project/Area Number |
21241040
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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 Metropolitan University |
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Principal Investigator |
KIJIMA Masaaki 首都大学東京, 社会(科)学研究科, 教授 (00186222)
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| Co-Investigator(Kenkyū-buntansha) |
TANAKA Keiichi 首都大学, 東京・社会(科)学研究科, 教授 (00381442)
NAKAOKA Hidetaka 首都大学, 東京・社会(科)学研究科, 教授 (20516025)
YAMASHITA Hideaki 首都大学, 東京・社会(科)学研究科, 教授 (30200687)
WATANABE Takahiro 首都大学, 東京・社会(科)学研究科, 教授 (70220895)
NOGUCHI Masayoshi 神戸大学, 経済経営研究所, 教授 (70237832)
SHIBATA Takashi 首都大学, 東京・社会(科)学研究科, 教授 (70372597)
MUROMACHI Yukio 首都大学, 東京・社会(科)学研究科, 教授 (70514719)
IIBOSHI Hirokuni 首都大学, 東京・社会(科)学研究科, 教授 (90381441)
OGATA Hiroaki 早稲田大学, 国際教養学術院, 助教 (30454086)
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| Project Period (FY) |
2009-04-01 – 2014-03-31
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| Keywords | ファイナンス / 金融リスク管理 / 代替投資 / ポートフォリオ効果 / 市場分析 |
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| Research Abstract |
In this project we studied various kinds of basic researches for financial risk management of a portfolio consisting of not only traditional asset classes but also alternative classes. We obtain many results for each asset class. Some of them are development of a highly precise approximation method for pricing derivatives under stochastic volatility models, a tractable multi-curve model for pricing intererst-rate derivatives, new pricing models for secritizations such as CDO and RMBS, and various kinds of firm value models considering firm's investment actions and asymmetric information. And we propose new risk evaluation models of a portfolio; an interest-rate risk evaluation model under low interest-rate environment and a credit risk evaluation model including market-implied stress events. We also obtain some important results for analysing the market micro-structure, and some implications for Japanese market from the empirical analyses by dynamic macroeconomic models.
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