2013 Fiscal Year Final Research Report
Extreme value models for multi-variate data and its application to risk management
| Project/Area Number |
23510157
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | University of Tsukuba |
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Principal Investigator |
MAKIMOTO Naoki 筑波大学, ビジネスサイエンス系, 教授 (90242263)
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| Project Period (FY) |
2011 – 2013
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| Keywords | 極値理論 / 多変量時系列 / レジームスイッチ / 金融市場 / 不動産競売 |
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| Research Abstract |
We investigated statistical methods for modeling and analyzing extremal co-movements of multivariate data and their applications to the measurement of the imapact of extremal events and risk management in fiance and related fields. The results indicate that the regime switching model is very useful both from theoretical and practical view points for it flexibly represents such structural changes of multivariate data as error covariances according to state changes of a latent variable. In some applications to financial markets, regime switching models identify high risk and low risk regimes and suggest appropriate investment opportunities and risk management depending on the current regime as well as future regime forecast.
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