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Advancing empirically effective models for analyzing financial risks and applying them to risk analysis and management

Research Project

Project/Area Number 23243040
Research Category

Grant-in-Aid for Scientific Research (A)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionMeiji University

Principal Investigator

KARIYA Takeaki (2012-2013)  明治大学, その他の研究科, 教授 (70092624)

刈屋 武昭 (2011)  明治大学, 大学院・グローバル・ビジネス研究科, 教授 (70062924)

Co-Investigator(Kenkyū-buntansha) TSUKUDA Yoshihiko  東北大学, 経済学研究科, 教授 (10091836)
MAEKAWA Koichi  広島経済大学, 経済学研究科, 教授 (20033748)
YAMAMURA Yoshiro  明治大学, グローバル・ビジネス研究科, 教授 (60284353)
INUI Koji  明治大学, 総合数理学部, 教授 (60359825)
TANOKURA Yoko  明治大学, 先端数理科学研究科, 准教授 (60425832)
KAMIZONO Kenji  長崎大学, 経済学部, 准教授 (70336147)
Project Period (FY) 2011-11-18 – 2014-03-31
Project Status Completed (Fiscal Year 2013)
Budget Amount *help
¥18,070,000 (Direct Cost: ¥13,900,000、Indirect Cost: ¥4,170,000)
Fiscal Year 2013: ¥9,360,000 (Direct Cost: ¥7,200,000、Indirect Cost: ¥2,160,000)
Fiscal Year 2012: ¥8,710,000 (Direct Cost: ¥6,700,000、Indirect Cost: ¥2,010,000)
Keywords金融リスクマネジメント / 信用リスク / 国債価格モデル / 社債価格モデル / 金利の期間構造 / ディフォルト確率の期間構造 / 市場金利変動分析 / 市場価格スプレッド / 市場格付け方法 / 信用価格スプレッド / 倒産確率の期間構造 / 社債の信用リスク価格スプレッド / 個別国債価格モデル / 無裁定価格理論の検証 / 個別国債価格の予測モデル / 市場リスク / 信用・市場リスク / 社債モデル / 金利モデル / 信用デリバティブ / 相関変動モデル
Research Abstract

Firstly, in our own cross-sectional approach, we developed empirically effective models for analyzing fluctuations of interest rates, government bond (GB) prices, corporate bond (CB) prices, and credit risk for risk management, and we made various empirical analyses for some periods including the recent Financial Crisis. Among others, they include analyses on prices of Japanese GBs, US GBs, 5 GBs in EU, and Japanese CBs. In the credit risk analysis, we developed new credit risk price spread measures and market rating methods, and using them, the term structures of default probabilities for some industry and firms were derived.
Secondly in time series settings, among others, a model for predicting GB prices was made with application to Japanese GB prices. Also, we made a co-integration analysis on Asian bond returns with dynamic conditional correlation model, and proposed a change point estimation method with application to exchange rates.

Report

(4 results)
  • 2013 Annual Research Report   Final Research Report ( PDF )
  • 2012 Annual Research Report
  • 2011 Annual Research Report
  • Research Products

    (90 results)

All 2014 2013 2012 2011

All Journal Article (22 results) (of which Peer Reviewed: 15 results,  Acknowledgement Compliant: 1 results) Presentation (63 results) (of which Invited: 5 results) Book (5 results)

  • [Journal Article] Empirically Effective Bond Pricing Model for USGBs and Analysis on Term Structures of Implied Interest Rates in Financial Crisis2014

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura and Zhu Wang
    • Journal Title

      Communications in Statistics -Theory and Methods-

      Volume: 未定

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Measuring Credit Risk of Individual Corporate Bonds and Deriving Term Structures of Default Probabilities2014

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura, Koji Inui and Zhu Wang
    • Journal Title

      Statistical Sinica

      Volume: 未定

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Empirical Credit Risk Analysis on Euro Government Bonds– Term Structures of Default Probabilities–2014

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura, Yoko Tanokura and Zhu Wang
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: 未定

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 国内金融機関のシステミック・リスク計測の試み2014

    • Author(s)
      永田真一,乾孝治
    • Journal Title

      JARIP大会論文集

      Volume: 1

    • Related Report
      2013 Annual Research Report
  • [Journal Article] GARCH誤差項を持つ多変量誤差修正モデルの推定2014

    • Author(s)
      前川功一
    • Journal Title

      商学論究(関西学院大学商学研究会)

      Volume: 61 Pages: 23-48

    • Related Report
      2013 Annual Research Report
  • [Journal Article] Dynamics of the Term Structure of Interest Rates and Monetary Policy: Is Monetary Policy Effective during Zero Interest Rate Policy?2014

    • Author(s)
      Ullah, W., Matsuda, Y. and Tsukuda, Y.
    • Journal Title

      Journal of Applied Statistics

      Volume: 41 Issue: 3 Pages: 546-572

    • DOI

      10.1080/02664763.2013.845142

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] The Dynamic Contagion of the Global Financial Crisis into Japanese Markets2014

    • Author(s)
      Tatsuyoshi Miyakoshi , Toyoharu Takahashi , Junji Shimada, Yoshihiko Tsukuda
    • Journal Title

      Japan and the World Economy

      Volume: 未定

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A CB (corporate bond) pricing model for deriving default probabilities and recovery rates2013

    • Author(s)
      Takeaki Kariya
    • Journal Title

      Advances in Modern Statistical Theory and Applications : Festschrift for Professor Morris L. Eaton, Institute of Mathematical Statistics

      Volume: Vol.10 Pages: 138-157

    • DOI

      10.1214/12-imscoll1008

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] Empirically Effective Bond Pricing Model for USGBs and Analysis on Term Structures of Implied Interest Rates in Financial Crisis2013

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura and Zhu Wang
    • Journal Title

      Communications in Statistics -Theory and Methods

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] Term Structure Forecasting of Government Bond Yields with Latent2013

    • Author(s)
      Wali Ullah, Yoshihiko Tsukuda and Yasumasa Matsuda
    • Journal Title

      Journal of Forecasting

      Volume: 32 Issue: 8 Pages: 702-723

    • DOI

      10.1002/for.2266

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Term Structure Modeling and Forecasting of Government Bond Yields: Does a Good In-Sample Fit Imply Reasonable Out-of-Sample Forecasts?2013

    • Author(s)
      Wali Ullah, Yasumasa Matsuda and Yoshihiko Tsukuda
    • Journal Title

      ECONOMIC PAPERS

      Volume: 32 Issue: 4 Pages: 535-560

    • DOI

      10.1111/1759-3441.12046

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A CB (corporate bond) pricing model for deriving default probabilities and recovery rates2013

    • Author(s)
      Takeaki Kariya
    • Journal Title

      Festschrift to Morris L Eaton (forthcoming). Institute of Mathematical Statisitics,

      Volume: 印刷中

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out-of-Sample Forecasts?2013

    • Author(s)
      Walli Ullah, Yoshihiko Tsukuda and Yasumasa Matsuda
    • Journal Title

      Journal of Forecasting (forthcoming)

      Volume: 印刷中

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis2012

    • Author(s)
      Takeaki Kariya, Jingusui Wang, Zhu Wang, Eiichi Doi and Yoshiro Yamamura
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: Vol.19 Issue: 3 Pages: 259-292

    • DOI

      10.1007/s10690-011-9149-1

    • Related Report
      2013 Final Research Report 2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Two tests for Jumps in High Freqency Financial Time Series: Simultion asnd Empirical Application2012

    • Author(s)
      Koichi Maekawa and Xinhong Lu
    • Journal Title

      HUE Journal of Economics and Business

      Volume: 35(1) Pages: 11-20

    • Related Report
      2012 Annual Research Report
  • [Journal Article] ARFIMAモデルによる長期記憶性の推定-シミュレーション比較と実証分析-2012

    • Author(s)
      前川功一, 得津康義, 永田修一
    • Journal Title

      広島経済大学研究双書

      Volume: 39 Pages: 1-33

    • Related Report
      2011 Annual Research Report
  • [Journal Article] Estimation of Vector Error correction Model with GARCH Errors-Simulation Study-2012

    • Author(s)
      Koichi Maekawa, Kusdhianto Setiawan
    • Journal Title

      広島経済大学研究双書

      Volume: 39 Pages: 35-65

    • Related Report
      2011 Annual Research Report
  • [Journal Article] Two tests for jump in high frequency financial time series : Simulation and empirical application, HUE Journal of Economics and Business2012

    • Author(s)
      Koichi Maekawa, Lu Xinhong
    • Journal Title

      広島経済大学経済研究論集

      Volume: 35(6月出版予定)(掲載確定)(未定)

    • Related Report
      2011 Annual Research Report
  • [Journal Article] 金融逼迫時のわが国CDSと社債の深刻な流動性不足について2012

    • Author(s)
      乾孝治
    • Journal Title

      MBS Review

      Volume: No.8 Pages: 15-18

    • NAID

      40020187282

    • Related Report
      2011 Annual Research Report
  • [Journal Article] Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis2012

    • Author(s)
      Takeaki Kariya, Jingusui Wang, et al
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: Vol.19, No.3(掲載決定済)(未定)

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] The Impact of the IMF-supported Structural Reform Program on Asian Stock Market Efficiency2012

    • Author(s)
      T., Miyakoshi, Y., Tsukuda, J., Shimada
    • Journal Title

      The Singapore Economic Review

      Volume: (掲載確定)(未定)

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A three-factor valuation model for mortgage-backed securities(MBS)2011

    • Author(s)
      Takeaki Kariya, Fumiaki Ushiyama, Stanley R.Pliska
    • Journal Title

      Managerial Finance

      Volume: Vol.37, No.11 Issue: 11 Pages: 1068-1087

    • DOI

      10.1108/03074351111167947

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Presentation] 社債価格に基づく米国エネルギー産業の信用リスク分析2014

    • Author(s)
      田野倉葉子,刈屋 武昭,山村能郎,王竹
    • Organizer
      第40回2013年度冬季JAFEE大会
    • Place of Presentation
      慶應義塾大学三田キャンパス
    • Related Report
      2013 Annual Research Report
  • [Presentation] Bootstrapping Confidence Interval of the Change-Point of Time Series with GARCH Errors2014

    • Author(s)
      Amirullah Setya Hardi and Koichi Maekawa
    • Organizer
      Workshop on High-frequency Data and Financial Econometrics
    • Place of Presentation
      一橋大学
    • Related Report
      2013 Annual Research Report
  • [Presentation] Bootstrapping Confidence Interval of the Change-Point of Time Series with GARCH Errors2014

    • Author(s)
      Amirullah Setya Hardi and Koichi Maekawa
    • Organizer
      SMU-NTU-HUE-HU International Conference on Economics and Econometrics
    • Place of Presentation
      広島大学
    • Related Report
      2013 Annual Research Report
  • [Presentation] Cross-sectional GB&CB Pricing Models, Market-rating via Credit Risk Price Spread and Term Structure of Default Probabilities2014

    • Author(s)
      Takeaki Kariya
    • Organizer
      明治大学・京都大学共催 金融国際コンファランス
    • Place of Presentation
      明治大学駿河台キャンパス
    • Related Report
      2013 Annual Research Report
  • [Presentation] Credit Risk Analysis on Euro Government Bonds– Term Structures of Default Probabilities–2014

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura, Yoko Tanokura and Zhu Wang
    • Organizer
      明治大学・京都大学共催 金融国際コンファランス
    • Place of Presentation
      明治大学駿河台キャンパス
    • Related Report
      2013 Annual Research Report
  • [Presentation] Market Ratings of CBs via credit risk price spreads in US2014

    • Author(s)
      Yoko Tanokura, Takeaki Kariya, Yoshiro Yamamura, Zhu Wang and Hideyuki Takada
    • Organizer
      明治大学・京都大学共催 金融国際コンファランス
    • Place of Presentation
      明治大学駿河台キャンパス
    • Related Report
      2013 Annual Research Report
  • [Presentation] Market-Rating Migration and Transition Analysis2014

    • Author(s)
      Hideyuki Takada, Takeaki Kariya, Yoko Tanokura, Yoshiro Yamamura and Zhu Wang
    • Organizer
      明治大学・京都大学共催 金融国際コンファランス
    • Place of Presentation
      明治大学駿河台キャンパス
    • Related Report
      2013 Annual Research Report
  • [Presentation] Bond Market Integration in East Asia: A Multivariate GARCH with Dynamic Conditional Correlations Approach2014

    • Author(s)
      Yoshihiko Tsukuda, Junji Shimada and Tatsuyoshi Miyakoshi
    • Organizer
      明治大学・京都大学共催 金融国際コンファランス
    • Place of Presentation
      明治大学駿河台キャンパス
    • Related Report
      2013 Annual Research Report
  • [Presentation] Bootstrapping Confidence Interval of Single Change Point in Time Series Regression Model with GARCH Error Process2014

    • Author(s)
      Setya Hardi Amirullah, Ken-ichi, Kawai, Sangyeol Lee and Koichi, Maekawa
    • Organizer
      明治大学・京都大学共催 金融国際コンファランス
    • Place of Presentation
      明治大学駿河台キャンパス
    • Related Report
      2013 Annual Research Report
  • [Presentation] A System for Empirically Effective Credit Risk Analysis2014

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura and Zhu Wang
    • Organizer
      The 3rd Stochastic Modeling Techniques and Data Analysis International Conference (SMTDA 2014)
    • Place of Presentation
      Lisbon, Portugal
    • Related Report
      2013 Annual Research Report
  • [Presentation] Credit Risk Analysis on Euro Government Bonds– Term Structures of Default Probabilities–2014

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura, Yoko Tanokura and Zhu Wang
    • Organizer
      The 3rd Stochastic Modeling Techniques and Data Analysis International Conference (SMTDA 2014)
    • Place of Presentation
      Lisbon, Portugal
    • Related Report
      2013 Annual Research Report
  • [Presentation] Estimation of Vector Error Correction Model with Garch Errors: Monte Carlo Simulation and Applications2014

    • Author(s)
      Kusdhianto Setiawan and Koichi Maekawa
    • Organizer
      EcoMod2014
    • Place of Presentation
      Bali, Indonesia
    • Related Report
      2013 Annual Research Report
  • [Presentation] Measuring Credit Risk of Individual Corporate Bonds and Deriving Term Structures of Default Probabilities2013

    • Author(s)
      Takeaki Kariya
    • Organizer
      The 7th Annual Probability and Statistics Day at UMBC(Department of Mathematics and Statistics at UMBC)
    • Place of Presentation
      UMBC Baltimore, USA
    • Year and Date
      2013-04-27
    • Related Report
      2013 Final Research Report
  • [Presentation] Measuring Credit Risk of French, Italian, Spanish and Greek GBs Relative to German GB and Deriving Term Structures of Default Probabilities2013

    • Author(s)
      Takeaki Kariya
    • Organizer
      JAFEE -Columbia-ISM International Conference on Financial Mathematics, Engineering and Statistics (as 10th JAFEE-Columbia Conference on Mathematics of Finance)
    • Place of Presentation
      The Institute of Statistical Mathematics(ISM), Tachikawa Campus,Tokyo
    • Year and Date
      2013-03-18
    • Related Report
      2013 Final Research Report
  • [Presentation] Measuring Credit Risk of Individual Corporate Bonds and Deriving Term Structures of Default Probabilities2013

    • Author(s)
      Takeaki Kariya
    • Organizer
      The 7th Annual Probability and Statistics Day at UMBC
    • Place of Presentation
      UMBC,Baltimore,USA
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Asian Bond Market Development2013

    • Author(s)
      Yoshihiko Tsukuda, Tatsuyoshi Miyakosh, Junji Shimada
    • Organizer
      The 13th Science of Council of Asia;"Science in Asia: Facing the Challenges of AEC 2015"
    • Place of Presentation
      Bangkok, Thailand
    • Related Report
      2013 Annual Research Report
  • [Presentation] Measuring Credit Risk of Individual Corporate Bonds and Deriving Term Structures of Default Probabilities2013

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura, Koji Inui and Zhu Wang
    • Organizer
      The 15th Applied Stochastic Models and Data Analysis (ASMDA2013) International Conference
    • Place of Presentation
      Mataró (Barcelona), Spain
    • Related Report
      2013 Annual Research Report
  • [Presentation] ユーロ各国債の信用リスク分析2013

    • Author(s)
      刈屋武昭,山村能郎,乾孝治,田野倉葉子,王竹
    • Organizer
      第39回2013年度夏季JAFEE大会
    • Place of Presentation
      明治大学駿河台キャンパス
    • Related Report
      2013 Annual Research Report
  • [Presentation] 時系列相関を考慮した債券価格モデルと予測への応用2013

    • Author(s)
      神薗健二,刈屋武昭,山村能郎
    • Organizer
      第39回2013年度夏季JAFEE大会
    • Place of Presentation
      明治大学駿河台キャンパス
    • Related Report
      2013 Annual Research Report
  • [Presentation] アローヘッド導入前後における逆選択コストの比較分析2013

    • Author(s)
      永田真一,乾孝治
    • Organizer
      第39回2013年度夏季JAFEE大会
    • Place of Presentation
      明治大学駿河台キャンパス
    • Related Report
      2013 Annual Research Report
  • [Presentation] Interdependence of the Asian Bond Markets2013

    • Author(s)
      Yoshihiko Tsukuda, Tatsuyoshi Miyakosh, Junji Shimada
    • Organizer
      Singapore Economic Review Conference 2013
    • Place of Presentation
      Singapore
    • Related Report
      2013 Annual Research Report
  • [Presentation] ユーロ各国債の信用リスク分析 -対独比相対倒産確率の期間構造の導出2013

    • Author(s)
      刈屋武昭,山村能郎,乾孝治,田野倉葉子,王竹
    • Organizer
      2013年度統計関連学会連合大会(日本統計学会第81回大会)
    • Place of Presentation
      大阪大学豊中キャンパス
    • Related Report
      2013 Annual Research Report
  • [Presentation] Measuring Credit Risk of Individual Corporate Bonds and Deriving Term Structures of Default Probabilities2013

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura, Koji Inui and Zhu Wang
    • Organizer
      日本経済学会2013年度秋季大会
    • Place of Presentation
      神奈川大学横浜キャンパス
    • Related Report
      2013 Annual Research Report
  • [Presentation] Measuring Credit Risk of Individual Corporate Bonds and Deriving Term Structures of Default Probabilities2013

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura, Koji Inui and Zhu Wang
    • Organizer
      NUS-UTokkyo Workshop on Quantitative Finance
    • Place of Presentation
      National University of Singapore, Singapore
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Empirical Credit Risk Analysis on Euro Government Bonds2013

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura, Yoko Tanokura and Zhu Wang
    • Organizer
      NUS-UTokyo Workshop on Quantitative Finance
    • Place of Presentation
      National University of Singapore, Singapore
    • Related Report
      2013 Annual Research Report
  • [Presentation] Empirical Credit Risk Analysis on Euro Government Bonds2013

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura, Yoko Tanokura and Zhu Wang
    • Organizer
      「統計科学の新展開」科学研究費・基盤研究(A)「非対称・非線形統計理論と経済・生体科学 への応用」シンポジウム
    • Place of Presentation
      金沢大学サテライト・プラザ
    • Related Report
      2013 Annual Research Report
  • [Presentation] 国債価格の実証的モデリングで数理ファイナンスモデルは有効か!2013

    • Author(s)
      刈屋武昭
    • Organizer
      「金融工学・数理計量ファイナンスの諸問題 2013」大阪大学金融・保険教育研究センター (CSFI) 主催
    • Place of Presentation
      大阪大学中之島センター,佐治敬三メモリアルホール
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Measuring Credit Risk of Individual Corporate Bonds and Deriving Term Structures of Default Probabilities2013

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura, Koji Inui and Zhu Wang
    • Organizer
      Frontiers of Statistics and Forecasting in Celebration of the 80th Birthday of George C. Tiao
    • Place of Presentation
      Academia Sinica, Taipei, Taiwan
    • Related Report
      2013 Annual Research Report
    • Invited
  • [Presentation] Measuring Credit Risk of Individual Corporate Bonds and Deriving Term Structures of Default Probabilities2013

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura, Koji Inui and Zhu Wang
    • Organizer
      2012年度関西計量経済学研究会(共催:日本学術会議「数量的経済・政策分析分科会」)
    • Place of Presentation
      一橋大学佐野書院
    • Related Report
      2012 Annual Research Report
  • [Presentation] Measuring Credit Risk of Individual Corporate Bonds and Deriving Term Structures of Default Probabilities2013

    • Author(s)
      刈屋武昭,山村能郎,乾孝治,王竹
    • Organizer
      2012年度日本金融・証券計量・工学学会(JAFEE)2012冬期大会
    • Place of Presentation
      筑波大学東京キャンパス文京校舎
    • Related Report
      2012 Annual Research Report
  • [Presentation] Measuring Credit Risk of CBs and Deriving Term Structures of Default Probabilities2013

    • Author(s)
      刈屋武昭
    • Organizer
      一橋大学金融工学教育センター研究集会「金融工学からERMへ」(科学研究費助成事業 基盤研究(A)「金融工学からERMへ - 基礎理論と実証に関する研究 -」)
    • Place of Presentation
      一橋大学東キャンパス第3研究館
    • Related Report
      2012 Annual Research Report
  • [Presentation] Measuring Credit Risk of CBs and Deriving Term Structures of Default Probabilities2013

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura, Koji Inui and Zhu Wang
    • Organizer
      明治大学科学研究費基盤研究(A)金融リスクコンファランス(II)『金融リスクの分析モデルの高度化とリスクマネジメントへの応用―信用リスクと金利リスクー』
    • Place of Presentation
      明治大学駿河台キャンパスアカデミーコモン
    • Related Report
      2012 Annual Research Report
  • [Presentation] ユーロ各国債の信用リスク分析-対独比相対倒産確率の期間構造の導出2013

    • Author(s)
      刈屋武昭,山村能郎,乾孝治,田野倉葉子,王竹
    • Organizer
      明治大学科学研究費基盤研究(A)金融リスクコンファランス(II)『金融リスクの分析モデルの高度化とリスクマネジメントへの応用―信用リスクと金利リスクー』
    • Place of Presentation
      明治大学駿河台キャンパスアカデミーコモン
    • Related Report
      2012 Annual Research Report
  • [Presentation] 欧州ソブリンリスクとクライシス・インデックスの構築について2013

    • Author(s)
      田野倉葉子
    • Organizer
      明治大学科学研究費基盤研究(A)金融リスクコンファランス(II)『金融リスクの分析モデルの高度化とリスクマネジメントへの応用―信用リスクと金利リスクー』
    • Place of Presentation
      明治大学駿河台キャンパスアカデミーコモン
    • Related Report
      2012 Annual Research Report
  • [Presentation] 欧州国債モデルと金利の期間構造の比較2013

    • Author(s)
      山村能郎,刈屋武昭,乾孝治,王竹
    • Organizer
      明治大学科学研究費基盤研究(A)金融リスクコンファランス(II)『金融リスクの分析モデルの高度化とリスクマネジメントへの応用―信用リスクと金利リスクー』
    • Place of Presentation
      明治大学駿河台キャンパスアカデミーコモン
    • Related Report
      2012 Annual Research Report
  • [Presentation] Nelson Siegel モデルによる期間構造推定精度の向上-日本国債の金利決定要因の考察2013

    • Author(s)
      乾孝治,刈屋武昭
    • Organizer
      明治大学科学研究費基盤研究(A)金融リスクコンファランス(II)『金融リスクの分析モデルの高度化とリスクマネジメントへの応用―信用リスクと金利リスクー』
    • Place of Presentation
      明治大学駿河台キャンパスアカデミーコモン
    • Related Report
      2012 Annual Research Report
  • [Presentation] 時系列相関を考慮した債券価格モデルと国債価格予測への応用2013

    • Author(s)
      神薗健次,刈屋武昭,山村能郎
    • Organizer
      明治大学科学研究費基盤研究(A)金融リスクコンファランス(II)『金融リスクの分析モデルの高度化とリスクマネジメントへの応用―信用リスクと金利リスクー』
    • Place of Presentation
      明治大学駿河台キャンパスアカデミーコモン
    • Related Report
      2012 Annual Research Report
  • [Presentation] Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out-of-Sample Forecasts?2013

    • Author(s)
      Wali Ullah, Yoshihiko Tsukuda and Yasumasa Matsuda
    • Organizer
      明治大学科学研究費基盤研究(A)金融リスクコンファランス(II)『金融リスクの分析モデルの高度化とリスクマネジメントへの応用―信用リスクと金利リスクー』
    • Place of Presentation
      明治大学駿河台キャンパスアカデミーコモン
    • Related Report
      2012 Annual Research Report
  • [Presentation] GLS Approach for Vector Error Correction Model with GARCH Error and It’s Application to International Asset Pricing2013

    • Author(s)
      Koichi Maekawa and Kusdhianto Setiawan
    • Organizer
      明治大学科学研究費基盤研究(A)金融リスクコンファランス(II)『金融リスクの分析モデルの高度化とリスクマネジメントへの応用―信用リスクと金利リスクー』
    • Place of Presentation
      明治大学駿河台キャンパスアカデミーコモン
    • Related Report
      2012 Annual Research Report
  • [Presentation] Measuring Credit Risk of French, Italian, Spanish and Greek GBs Relative to German GB and Deriving Term Structures of Default Probabilities2013

    • Author(s)
      Takeaki Kariya
    • Organizer
      JAFEE-Columbia-ISM International Conference on Financial Mathematics, Engineering and Statistics(as 10th JAFEE-Columbia Conference on Mathematics of Finance)
    • Place of Presentation
      The Institute of Statistical Mathematics(ISM), Tachikawa Campus, Tokyo
    • Related Report
      2012 Annual Research Report
  • [Presentation] Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Do Macroeconomic Factors Imply Better Out-of-Sample Forecasts?2013

    • Author(s)
      Walli Ullah, Yasumasa Matsuda and Yoshihiko Tsukuda
    • Organizer
      10th Biennial Pacific Rim Conference, Western Economic Association International (WEAI)
    • Place of Presentation
      慶応大学
    • Related Report
      2012 Annual Research Report
  • [Presentation] Estimation of Vector Error correction Model with GARCH Errors2012

    • Author(s)
      Koichi Maekawa, Kusdhianto Setiawan
    • Organizer
      HU-HUE-SKBI Tripartite Conference
    • Place of Presentation
      Singapore Management University
    • Year and Date
      2012-03-29
    • Related Report
      2011 Annual Research Report
  • [Presentation] 信用リスクマネジメントの課題と展望:現行モデルへの批判的考察2012

    • Author(s)
      刈屋武昭
    • Organizer
      金融リスクコンファランス「金融リスクの分析モデルの高度化とリスクマネジメントへの応用」(当該補助事業コンファランス)
    • Place of Presentation
      明治大学
    • Year and Date
      2012-03-09
    • Related Report
      2011 Annual Research Report
  • [Presentation] わが国のCDSプレミアムと社債スプレッドの構成要因に関する実証分析からの示唆2012

    • Author(s)
      乾孝治
    • Organizer
      金融リスクコンファランス「金融リスクの分析モデルの高度化とリスクマネジメントへの応用」(当該補助事業コンファランス)
    • Place of Presentation
      明治大学
    • Year and Date
      2012-03-09
    • Related Report
      2011 Annual Research Report
  • [Presentation] 米国国債モデルと金利の期間構造-日本国債モデルとの比較2012

    • Author(s)
      刈屋武昭, 山村能郎, 王竹
    • Organizer
      金融リスクコンファランス「金融リスクの分析モデルの高度化とリスクマネジメントへの応用」(当該補助事業コンファランス)
    • Place of Presentation
      明治大学
    • Year and Date
      2012-03-09
    • Related Report
      2011 Annual Research Report
  • [Presentation] Japanese Interest Rate Swap Pricing : Time varying coefficients2012

    • Author(s)
      刈屋武昭
    • Organizer
      金融リスクコンファランス「金融リスクの分析モデルの高度化とリスクマネジメントへの応用」(当該補助事業コンファランス)
    • Place of Presentation
      明治大学
    • Year and Date
      2012-03-09
    • Related Report
      2011 Annual Research Report
  • [Presentation] Empirically Effective Bond Pricing Model and Analysis on the Term Structure of Interest Rates in financial Crisis2012

    • Author(s)
      Takeaki Kariya, Jingsui Wang, Zhu Wang, Eiichi Doi and Yoshiro Yamamura
    • Organizer
      Fifth International Conference ;Mathematical and Statistical Methods for Actuarial Sciences and Finance
    • Place of Presentation
      InstitutoVento diScienzeLettere edArti (Venice Italy)
    • Related Report
      2012 Annual Research Report
  • [Presentation] Empirically Effective Bond Pricing Model and Analysis on the Term Structure of Interest Rates in financial Crisis2012

    • Author(s)
      Takeaki Kariya, Jingsui Wang, Zhu Wang, Eiichi Doi and Yoshiro Yamamura
    • Organizer
      Bachelier Finance Society 7th World Congress
    • Place of Presentation
      Hilton Sydney Hotel (Sydney, Australia)
    • Related Report
      2012 Annual Research Report
  • [Presentation] 信用リスク社債価格スプレッドの分析―業種・格付けと信用構造2012

    • Author(s)
      刈屋武昭,山村能郎,乾孝治,王竹
    • Organizer
      2012年度統計関連学会連合大会(日本統計学会第80回大会)
    • Place of Presentation
      北海道大学高等教育推進機構
    • Related Report
      2012 Annual Research Report
  • [Presentation] 個別企業の信用価格スプレッドと倒産確率の導出2012

    • Author(s)
      刈屋武昭,山村能郎,乾孝治,王竹
    • Organizer
      科学研究費シンポジウム「統計推測理論の展開と諸モデルへの応用」(基盤研究(A)「非対称・非線形統計理論と経済・生体科学への応用」)
    • Place of Presentation
      釧路市生涯学習センター
    • Related Report
      2012 Annual Research Report
  • [Presentation] 米国国債モデルと金利の期間構造2012

    • Author(s)
      刈屋武昭,山村能郎,王竹
    • Organizer
      科学研究費シンポジウム「統計科学における深化と横断的展開」(基盤研究 (A)「非対称・非線形統計理論と経済・生体科学への応用」)
    • Place of Presentation
      松江テルサ(松江勤労者総合福祉センター)
    • Related Report
      2012 Annual Research Report
  • [Presentation] Measuring CB Credit Risk Spreads and Deriving Term Structure of Default Probabilities-Market Approach2012

    • Author(s)
      Takeaki Kariya, Yoshiro Yamamura, Koji Inui and Zhu Wang
    • Organizer
      National University of Singapore RMI Workshop
    • Place of Presentation
      Risk Management Institute, National University of Singapore
    • Related Report
      2012 Annual Research Report
    • Invited
  • [Presentation] わが国の社債とCDS価格形成に関する実証分析2012

    • Author(s)
      乾孝治,向殿和弘
    • Organizer
      日本オペレーションズ・リサーチ学会2012秋季研究発表会
    • Place of Presentation
      ウインクあいち(名古屋市)
    • Related Report
      2012 Annual Research Report
  • [Presentation] 実証的に有効なJGB価格付けモデルと金融危機時の金利の期間構造分析2012

    • Author(s)
      刈屋武昭,王京穂,王竹,土居英一,山村能郎
    • Organizer
      2012年度日本応用経済学会秋季大会
    • Place of Presentation
      明海大学浦安キャンパス
    • Related Report
      2012 Annual Research Report
  • [Presentation] Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis2011

    • Author(s)
      Takeaki Kariya
    • Organizer
      International Conference on Advances in Probability and Statistics-Theory and Applications
    • Place of Presentation
      Chinese University of Hong Kong(招待講演)
    • Year and Date
      2011-12-29
    • Related Report
      2011 Annual Research Report
  • [Presentation] A CB(Corporate Bond) Pricing Model for Deriving Default Probabilities and Recovery Rates2011

    • Author(s)
      Takeaki Kariya
    • Organizer
      Quantitative Methods in Finance 2011
    • Place of Presentation
      Hilton Sydney Hotel(University of Technology Sydney)
    • Year and Date
      2011-12-14
    • Related Report
      2013 Final Research Report
  • [Presentation] A CB(Corporate Bond) Pricing Model for Deriving Default Probabilities and Recovery Rates2011

    • Author(s)
      Takeaki Kariya
    • Organizer
      Quantitative Methods in Finance 2011
    • Place of Presentation
      Hilton Sydney Hotel (University of Technology Sydney)(招待講演)
    • Year and Date
      2011-12-14
    • Related Report
      2011 Annual Research Report
  • [Presentation] Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis2011

    • Author(s)
      Takeaki Kariya
    • Organizer
      Theory and Applications for Empirical Likelihood and Discriminant and Cluster Analysis(科研費・基盤(A)「非対称・非線形統計理論と経済・生体科学への応用」シンポジュウム)
    • Place of Presentation
      和歌山ビッグ愛(和歌山大学)
    • Year and Date
      2011-12-04
    • Related Report
      2011 Annual Research Report
  • [Presentation] A CB(Corporate Bond) Pricing Model for Deriving Default Probabilities and Recovery Rates2011

    • Author(s)
      Takeaki Kariya
    • Organizer
      Recent Development in Statistics, Empirical Finance and Econometrics(科研費・基盤(A)「非対称・非線形統計理論と経済・生体科学への応用」シンポジュウム)
    • Place of Presentation
      京都大学(招待講演)
    • Year and Date
      2011-12-01
    • Related Report
      2011 Annual Research Report
  • [Presentation] Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis2011

    • Author(s)
      刈屋武昭, 王京穂, 王竹, 他2名
    • Organizer
      日本金融・証券計量・工学学会夏季大会
    • Place of Presentation
      慶應義塾大学
    • Year and Date
      2011-10-15
    • Related Report
      2011 Annual Research Report
  • [Presentation] 金融産業と金融数理科学の間にある諸問題2011

    • Author(s)
      刈屋武昭
    • Organizer
      明治大学金融数理科学ワークショップ「金融数理科学と金融技術への将来展望-ポスト金融危機への視点」
    • Place of Presentation
      明治大学
    • Year and Date
      2011-09-16
    • Related Report
      2011 Annual Research Report
  • [Presentation] 流動性リスクの数理モデルと展望2011

    • Author(s)
      乾孝治
    • Organizer
      明治大学金融数理科学ワークショップ「金融数理科学と金融技術への将来展望-ポスト金融危機への視点」
    • Place of Presentation
      明治大学
    • Year and Date
      2011-09-16
    • Related Report
      2011 Annual Research Report
  • [Presentation] Empirically Effective Bond Pricing Model and Analysis on Term Structures of Implied Interest Rates in Financial Crisis2011

    • Author(s)
      刈屋武昭, 王京穂, 王竹, 他2名
    • Organizer
      2011年度統計学会連合大会
    • Place of Presentation
      九州大学
    • Year and Date
      2011-09-06
    • Related Report
      2011 Annual Research Report
  • [Book] Recent Advances in Financial Engineering 20112012

    • Author(s)
      Shimada, J., Takahashi, T., Miyakoshi, T., and Tsukuda, Y
    • Publisher
      Springer-Verlark
    • Related Report
      2013 Final Research Report
  • [Book] 経済時系列ハンドブック2012

    • Author(s)
      刈屋武昭・前川功一・矢島美寛・福地純一郎・川崎能典共編著書
    • Total Pages
      771
    • Publisher
      朝倉書店
    • Related Report
      2012 Annual Research Report
  • [Book] 「現在価値分析とCampbel-Shillerモデル」『経済時系列ハンドブック』2012

    • Author(s)
      刈屋武昭
    • Publisher
      朝倉書店
    • Related Report
      2012 Annual Research Report
  • [Book] 「金利の期間構造のモデル分析」『経済時系列ハンドブック』2012

    • Author(s)
      刈屋武昭
    • Publisher
      朝倉書店
    • Related Report
      2012 Annual Research Report
  • [Book] Recent Advances in Financial Engineering 20112012

    • Author(s)
      Shimada, J., Takahashi, T., Miyakoshi, T., Tsukuda, Y.
    • Publisher
      Springer-Verlark
    • Related Report
      2011 Annual Research Report

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Published: 2013-05-15   Modified: 2019-07-29  

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