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2016 Fiscal Year Final Research Report

Construction and Applications of risk measure theory based on category theory

Research Project

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Project/Area Number 26330026
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Mathematical informatics
Research InstitutionHitotsubashi University

Principal Investigator

Nakagawa Hidetoshi  一橋大学, 大学院国際企業戦略研究科, 准教授 (30361760)

Research Collaborator TAKADA Hideyuki  
YAMANAKA Suguru  
KENMOTSU Teruo  
Project Period (FY) 2014-04-01 – 2017-03-31
Keywords金融リスク / 圏論
Outline of Final Research Achievements

We reviewed financial risk measures in line with the abstract mathematical framework of `category theory' which has never used in traditional finance research, we succeeded in introducing the category `Prob', which has all probability spaces as the objects. This category has a very high generality so as to not only analyze stochastic-jump models for credit risk events but apply to many other research fields.
In addition, from the viewpoint of application to credit risk, especially corporate bankruptcy concentration risk, we studied some new estimation methods of self-exciting effects and mutually-exciting effects of intensity of credit event occurrence such as bankruptcy, as well as a method of bankruptcy probability estimation based on new structural model whose state variable is specified by a dynamic business profit process. We confirmed their applicability through empirical analyses with the bankruptcy database and so on.

Free Research Field

数理ファイナンス、金融工学

URL: 

Published: 2018-03-22  

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