RESEARCHES ON NEW MEASUREMENT METHODS FOR MARKET RISK, CREDIT RISK AND LIQUIDITY RISK IN FINANCIAL MARKETS.
Grant-in-Aid for Scientific Research (A)
|Allocation Type||Single-year Grants|
|Research Institution||University of Tsukuba|
TAKAHASHI Masafumi University of Tsukuba, Institute of Policy and PlanningSciences, Associate Professor (90282326)
KUNIMURA Michio Nagoya City University, Dep. of Economics, Professor (70089952)
KONNO Hiroshi Center for Research for Advanced Financial Technology, Tokyo Institute of Technology, Professor (10015969)
NAGAHARA Yuichi Meiji University, School of Political Sciences and Economics, Associate Professor (90298042)
OHMAKI Kazuo University of Tsukuba, Sakura Bank, Manager
YOSHIDA Yasushi University of Tsukuba, Sumitomo Life Insurance Company, Chief Researcher
刈屋 武昭 興銀第一ファイナンシャルテクノロジー, 理事(研究職)
米沢 康博 横浜市立大学, 経営学部, 教授 (40175005)
|Project Period (FY)
1998 – 2000
Completed(Fiscal Year 2007)
|Budget Amount *help
¥40,500,000 (Direct Cost : ¥40,500,000)
Fiscal Year 2000 : ¥7,600,000 (Direct Cost : ¥7,600,000)
Fiscal Year 1999 : ¥7,300,000 (Direct Cost : ¥7,300,000)
Fiscal Year 1998 : ¥25,600,000 (Direct Cost : ¥25,600,000)
|Keywords||Non-Normal Distribution / Fat-Tail Distribution / Value at Risk / Credit Risk / Hyperbolic Sine Transform / Option Valuation / Feymnan-Kac Theorem / Structual Credit Model / Samuelson Model / Margrabe Exchange Option / 市場リスク / 流動性リスク / 金融リスク管理 / 信用リスクの計測 / 倒産 / 格付 / 企業評価 / リスク管理 / 倒産予測|
The big financial topics like the US Black Monday in 1987, and the Japanese stock market crash, the bad-loan problem involving financial institutions, and increasing of big corporate default events in 1990's have strongly come under our notice for new methods to measure the various kind of financial risks such as Market Risk, Credit Risk, Liquidity Risk, and so on. This research is one of the realistic and concrete answers, and we propose the new methods to evaluate and measure those risks except liquidity risk.
We first introduce a Hyperbolic Sine (HS) stochastic process, a very new and original concept in financial study. Checking the Normal Hypothesis (distribution and/or process) of returns in the real markets, it seems doubtful to accept the Hypothesis, particularly it cannot explain the fat-tail structure in return distribution. If we deny the normal Hypothesis, it affects a lot to the traditional financial studies that strongly depend on the Hypothesis. In our researches, after taking a HS Transform to return data, we are soon aware that this process makes the distribution approximately normal. Using this simple property, we show the fact that it can measure the market and credit Value at Risk (VaR) and it is also applicable to the fat-tail problem and the extreme value theory.
Next we take into account various methods like PDE, the Fynman-Kac theorem, and risk neutral method, and we directly apply our HS concept to price European and American derivatives whose underlying security returns in stock/bond market depend on HS process.
Lastly we apply it to the structural credit model and derive our new models to value and measure the credit risks.
Research Output (6results)