2015 Fiscal Year Final Research Report
Quantitative analysis on diversification effect for financial risk measurement
| Project/Area Number |
25380387
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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 |
Money/ Finance
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| Research Institution | Saitama University |
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Principal Investigator |
MARUMO Kohei 埼玉大学, 人文社会科学研究科(経済系), 准教授 (90596959)
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Keywords | 分布推定 / 線形制約 / ノンパラメトリック統計 / エルミート展開 / 分散効果 |
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| Outline of Final Research Achievements |
We investigated the orthogonal polynomial expansion methods for application to financial risk measurement. So far, the practical use of orthogonal polynomial expansions had been rather limited mainly due to its poor approximation quality. In this project, we clearly stated the condition under which the approximation quality can be poor. Further, we proposed `smoothing' method, with which we obtain fair quality of approximation, even when the naive application of the expansion methods can fail.
We further developed the density estimation methods under constraints, and we verified its utility numerical examples.
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| Free Research Field |
数理統計学，金融リスク管理
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