Research on uniting the statistical financial risk evaluation models and stress tests

2014 Fiscal Year Final Research Report

• Project/Area Number: 24510194
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Social systems engineering/Safety system
• Research Institution: Tokyo Metropolitan University
• Principal Investigator: MUROMACHI Yukio 首都大学東京, 社会(科)学研究科, 教授 (70514719)
• Project Period (FY): 2012-04-01 – 2015-03-31
• Keywords: 金融リスク管理 / ファイナンス / リスク計測 / 統計学的モデル / ストレステスト

Outline of Final Research Achievements

Connecting the implied copula model proposed by Hull and White(2006) and the framework for market-value based risk evaluation models theoretically, we proposed a new risk evaluation model including huge loss events with small probabilities implied from market prices. As is expected, the calculated risk measures reflected the huge losses with small probabilities, and the most of the huge losses are derived from drastic falls of the CDO prices, not from the actual default losses. Such a tendency is seen in the actual losses at the last financial crisis period.

Free Research Field

金融リスク管理