| Project/Area Number |
13430025
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (B)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
Public finance/Monetary economics
|
|---|
| Research Institution | Osaka University |
|---|
Principal Investigator |
NISHINA Kazuhiko Osaka University, GRADUATE SCHOOL OF ECONOMICS, PROFESSOR, 大学院・経済学研究科, 教授 (30094311)
|
|---|
| Co-Investigator(Kenkyū-buntansha) |
OYA Kosuke OSAKA UNIVERSITY, GRADUATE SCHOOL OF ECONOMICS, ASSOCIATE PROFESSOR, 大学院・経済学研究科, 助教授 (20233281)
OHNISHI Masaitsu OSAKA UNIVERSITY, GRADUATE SCHOOL OF ECONOMICS, PROFESSOR, 大学院・経済学研究科, 教授 (10160566)
TABATA Yoshio OSAKA UNIVERSITY, GRADUATE SCHOOL OF ECONOMICS, PROFESSOR, 大学院・経済学研究科, 教授 (30028047)
TANIGAWA Yasuhiko WASEDA UNIVERSITY, FUCULTY OF COMMERCE, ASSOCIATE PROFESSOR, 商学部, 助教授 (60163622)
|
|---|
| Project Period (FY) |
2001 – 2003
|
| Project Status |
Completed (Fiscal Year 2003)
|
| Budget Amount *help |
¥13,500,000 (Direct Cost: ¥13,500,000)
Fiscal Year 2003: ¥3,700,000 (Direct Cost: ¥3,700,000)
Fiscal Year 2002: ¥4,700,000 (Direct Cost: ¥4,700,000)
Fiscal Year 2001: ¥5,100,000 (Direct Cost: ¥5,100,000)
|
|---|
| Keywords | Implied Volatility / Risk Measures / Market Microstructure / Interest Rate Derivatives / Calibration / Poisson Regression Model / Ordered Categorical Variable / Liquidity Risk / 遺伝アルゴリズム / メタ・ヒューリスティック / 確率優位 / ブル性・ベア性 / プロスペクト理論 / 計数データ / 決済システム / システミック・リスク / ポートファリオ選択 / デリバティブズ / インパルス制御 / 不完全データ |
|---|
| Research Abstract |
In this research project, we have totally investigated the methodologies for measurement and modeling of various credit risks in finance theory and their applications, and we have obtained, a lot of academically interesting and/or practically useful results.
|
