2015 Fiscal Year Final Research Report
Financial Engineering to ERM: Theoretical and Empirical Investigation
| Project/Area Number |
24243031
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (A)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
Economic statistics
|
|---|
| Research Institution | Hitotsubashi University |
|---|
Principal Investigator |
SHIBA Tsunemasa 一橋大学, 大学院経済学研究科, 特任教授 (90187386)
|
|---|
| Co-Investigator(Kenkyū-buntansha) |
TANAKA Katsuto 学習院大学, 経済学部, 教授 (40126595)
ISHIMURA Naoyuki 中央大学, 商学部, 教授 (80212934)
HONDA Toshio 一橋大学, 大学院経済学研究科, 教授 (30261754)
KUROZUMI Eiji 一橋大学, 大学院経済学研究科, 教授 (00332643)
YAMAMOTO Yohei 一橋大学, 大学院経済学研究科, 准教授 (80633916)
ISHIHARA Tsunehiro 大阪大学, データ科学教育研究センター, 特任講師 (60609072)
YAMADA Masahiro 一橋大学, 大学院経済学研究科, 講師 (60732435)
YAMADA Toshiro 一橋大学, 大学院経済学研究科, 講師 (50754701)
|
|---|
| Co-Investigator(Renkei-kenkyūsha) |
SHIMOTSU Katsumi 東京大学, 大学院経済学研究科, 教授 (50547510)
TAKAHASHI Hajime 公立鳥取環境大学, 学長 (70154838)
WATANABE Toshiaki 一橋大学, 経済研究所, 教授 (90254135)
KARIYA Takeaki 城西国際大学, 大学院国際アドミニストレーション研究科, 教授 (70092624)
FUJITA Takahiko 中央大学, 理工学部, 教授 (50144316)
|
|---|
| Project Period (FY) |
2012-10-31 – 2016-03-31
|
| Keywords | 金融工学 / 計量経済学 / 統合的リスク管理 / 計量的リスク管理 / コピュラ / 高頻度データ / 構造変化 / ビッグデータ |
|---|
| Outline of Final Research Achievements |
Our research in theoretical and empirical aspects of enterprise risk management (ERM), was conducted in several different groups. The groups kept in close contact with each other, however. We formed the following groups: macroeconomics and financial time series group, financial engineering and copula group, financial high frequency data group, and nonparametric/semiparametric statistics group. Among the above listed areas of research, copula seems to stand out as the most promising important tool for ERM.
In each of the four years, we invited top-rated researchers from around the world to hold an international conference, open to the public. These conferences contributed to our understanding of the above areas, and served as great opportunities to present our ongoing research.
|
| Free Research Field |
計量経済学
|
