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Research on the financial risk management by taking account of remarkable properties of assets and liabilities in financial institutions and long-term behaviors of financial environment in Japan

Research Project

Project/Area Number 26242028
Research Category

Grant-in-Aid for Scientific Research (A)

Allocation TypeSingle-year Grants
Section一般
Research Field Social systems engineering/Safety system
Research InstitutionHiroshima University (2018)
Tokyo Metropolitan University (2014-2017)

Principal Investigator

Kijima Masaaki  広島大学, 情報科学部, 教授 (00186222)

Co-Investigator(Kenkyū-buntansha) 山下 英明  首都大学東京, 経営学研究科, 教授 (30200687)
内山 朋規  首都大学東京, 経営学研究科, 教授 (50772125)
芝田 隆志  首都大学東京, 経営学研究科, 教授 (70372597)
室町 幸雄  首都大学東京, 経営学研究科, 教授 (70514719)
鈴木 輝好  北海道大学, 経済学研究院, 教授 (90360891)
Research Collaborator UCHIDA yoshihiko  
TAMBA yasuhiro  
NISHIDE katsumasa  
Project Period (FY) 2014-04-01 – 2019-03-31
Project Status Completed (Fiscal Year 2018)
Budget Amount *help
¥42,770,000 (Direct Cost: ¥32,900,000、Indirect Cost: ¥9,870,000)
Fiscal Year 2018: ¥7,930,000 (Direct Cost: ¥6,100,000、Indirect Cost: ¥1,830,000)
Fiscal Year 2017: ¥7,540,000 (Direct Cost: ¥5,800,000、Indirect Cost: ¥1,740,000)
Fiscal Year 2016: ¥7,930,000 (Direct Cost: ¥6,100,000、Indirect Cost: ¥1,830,000)
Fiscal Year 2015: ¥8,710,000 (Direct Cost: ¥6,700,000、Indirect Cost: ¥2,010,000)
Fiscal Year 2014: ¥10,660,000 (Direct Cost: ¥8,200,000、Indirect Cost: ¥2,460,000)
Keywordsファイナンス / 金融リスク管理 / 確率モデル / マルチカーブ / デリバティブ評価 / 住宅ローン担保証券 / 本邦金融機関 / 資産負債特性
Outline of Final Research Achievements

In order to conduct basic researches which can contribute directly to financial risk management for Japanese financial institutions, we selected many important classes and some characteristic classes in asset and liability portfolios of the institutions, analyzed the properties of their risks, and proposed stochastic models which can express their risks appropriately. Specifically, we discussed modeling underlying asset price processes, especially, volatility processes in the market and pricing derivatives under the models, empirical analysis of yield fluctuations in the bond market, modeling liquidities of non-maturity deposits, risk management of mortgage portfolios, some investing and funding behaviors of corporates, and so on. And we proposed some interest-rate risk evaluation models which are suitable and expressive in the extremely low interest-rate environment.

Academic Significance and Societal Importance of the Research Achievements

国際的な金融規制への対応も重要であるが,本邦金融機関の特性を反映した金融リスク管理に関する研究は今後の日本の金融機関と規制当局の双方にとって重要である.また,日本市場の独自性(超低金利,インフレ期待など)を踏まえた研究に先鞭をつけたことは学術的にも実務的にも大きな意義がある.研究開始から5年が経過した現在までの間に,超低金利環境は先進諸国間の共通の現象になり,また,ますます厳しくなる金融環境の中で金融機関はより精緻な資産・負債の統合リスク管理を求められるようになったため,本研究の意義はますます高まっている.

Report

(6 results)
  • 2018 Annual Research Report   Final Research Report ( PDF )
  • 2017 Annual Research Report
  • 2016 Annual Research Report
  • 2015 Annual Research Report
  • 2014 Annual Research Report
  • Research Products

    (135 results)

All 2019 2018 2017 2016 2015 2014 2013 Other

All Int'l Joint Research (4 results) Journal Article (43 results) (of which Int'l Joint Research: 4 results,  Peer Reviewed: 37 results,  Open Access: 3 results,  Acknowledgement Compliant: 19 results) Presentation (78 results) (of which Int'l Joint Research: 35 results,  Invited: 8 results) Book (3 results) Remarks (2 results) Funded Workshop (5 results)

  • [Int'l Joint Research] University of Cambridge(United Kingdom)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] University of Hong Kong(China)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] University of Shenzhen(China)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] Universite Paris 1 Pantheon Sorbonne(France)

    • Related Report
      2017 Annual Research Report
  • [Journal Article] Investment under uncertainty with variable costly reversibility2019

    • Author(s)
      Shibata, T. and Wong, K. P.
    • Journal Title

      International Review of Economics and Finance

      Volume: 59 (C) Pages: 14-28

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] 金融市場が織り込む消費税率引上げの実施確率2019

    • Author(s)
      水門善之,内山朋規
    • Journal Title

      証券アナリストジャーナル

      Volume: 57 (6)

    • NAID

      40021933890

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 金利のレジーム遷移を考慮したコア預金モデル -コア預金のマチュリティ・ラダーの構築-2019

    • Author(s)
      室町幸雄
    • Journal Title

      首都大学東京経営学研究科Research Paper Series

      Volume: 6 Pages: 1-39

    • Related Report
      2018 Annual Research Report
    • Open Access
  • [Journal Article] Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders2018

    • Author(s)
      Nishihara, M. and Shibata, T.
    • Journal Title

      Journal of Economic Dynamics and Control

      Volume: 90 Pages: 118-137

    • DOI

      10.1016/j.jedc.2018.02.006

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Investment timing, reversibility, and financing constraints2018

    • Author(s)
      Shibata Takashi、Nishihara Michi
    • Journal Title

      Journal of Corporate Finance

      Volume: 48 Pages: 771-796

    • DOI

      10.1016/j.jcorpfin.2017.12.024

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 金利のレジーム遷移を考慮したコア預金額推定モデル -コア預金のマチュリティー・ラダーの構築-2018

    • Author(s)
      室町幸雄
    • Journal Title

      首都大学東京大学院社会科学研究科経営学専攻 Research Paper Series

      Volume: 193 Pages: 1-20

    • Related Report
      2017 Annual Research Report
  • [Journal Article] A solution to the time-scale fractional puzzle in the implied volatility2017

    • Author(s)
      Funahashi, H. and Kijima, M.
    • Journal Title

      Fractal and Fractional

      Volume: 1 Issue: 1 Pages: 1-17

    • DOI

      10.3390/fractalfract1010014

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A unified approach tor the pricing of options relating to averages2017

    • Author(s)
      Funahashi, H. and Kijima, M.
    • Journal Title

      Review of Derivatives Research

      Volume: 印刷中 Issue: 3 Pages: 203-229

    • DOI

      10.1007/s11147-017-9128-4

    • Related Report
      2017 Annual Research Report 2016 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Does the Hurst index matter for option prices under fractional volatility?2017

    • Author(s)
      Funahashi, H. and Kijima, M.
    • Journal Title

      Annals of Finance

      Volume: 13 Issue: 1 Pages: 55-74

    • DOI

      10.1007/s10436-016-0289-1

    • Related Report
      2017 Annual Research Report 2016 Annual Research Report
    • Peer Reviewed
  • [Journal Article] An analytical approximation for pricing VWAP options2017

    • Author(s)
      Funahashi, H. and Kijima, M.
    • Journal Title

      Quantitative Finance

      Volume: 印刷中 Issue: 7 Pages: 1119-1133

    • DOI

      10.1080/14697688.2016.1260758

    • Related Report
      2017 Annual Research Report 2016 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Investment strategies, reversibility, and asymmetric information2017

    • Author(s)
      Cui, X. and Shibata, T.
    • Journal Title

      European Journal of Operational Research

      Volume: 263 Issue: 3 Pages: 1109-1122

    • DOI

      10.1016/j.ejor.2017.06.032

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Default and liquidation timing under asymmetric information2017

    • Author(s)
      Nishihara, M. and Shibata, T.
    • Journal Title

      European Journal of Operational Research

      Volume: 263 Issue: 1 Pages: 321-336

    • DOI

      10.1016/j.ejor.2017.05.038

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Existence of a Pure Strategy Equilibrium in Markov Games with Strategic Complementarities for finite Actions and Finite Stages2017

    • Author(s)
      T.Watanabe and H.Yamashita
    • Journal Title

      Journal of Operations Research Society of Japan

      Volume: 60 Pages: 201-214

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] プリペイメント率と金利の長期的な変動特性を考慮したRMBSの価格付け2017

    • Author(s)
      黄文峰,岸田則生,室町幸雄
    • Journal Title

      日本保険・年金リスク学会誌

      Volume: 8 Pages: 1-30

    • NAID

      40021164878

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 与信集中リスク管理の高度化に向けた研究2017

    • Author(s)
      室町幸雄
    • Journal Title

      FSA Instiittute Discussion Paper Series

      Volume: 2 Pages: 1-51

    • Related Report
      2017 Annual Research Report
  • [Journal Article] Endogenous Default Model with Firms’ Cross-holdings of Debts and Equities2017

    • Author(s)
      Teruyoshi Suzuki, Jianming Shi, Kyoko Yagi
    • Journal Title

      Faculty of Economics and Business Hokkaido University, Discussion Paper, Series A

      Volume: 314 Pages: 1-17

    • Related Report
      2017 Annual Research Report
  • [Journal Article] Analytical pricing of single barrier options under local volatility models2017

    • Author(s)
      Funahashi, H. and Kijima, M.
    • Journal Title

      Quantitative Finance

      Volume: 16 Issue: 6 Pages: 867-886

    • DOI

      10.1080/14697688.2015.1101483

    • Related Report
      2016 Annual Research Report 2015 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Effects of temporary regulation of asymmetric access charges in telecommunications2017

    • Author(s)
      Shibata, T. and Nishihara, M.
    • Journal Title

      Managerial and Decision Economics

      Volume: 38 Issue: 3 Pages: 344-364

    • DOI

      10.1002/mde.2780

    • Related Report
      2016 Annual Research Report 2015 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Investment timing and quantity strategies under asymmetric information2017

    • Author(s)
      Cui, X. and Shibata, T.
    • Journal Title

      Theory of Probability and Its Applications

      Volume: 61 Issue: 1 Pages: 151-159

    • DOI

      10.1137/s0040585x97t988046

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] プリペイメント率と金利の長期的な変動特性を考慮したRMBSの価格付け2017

    • Author(s)
      黄文峰,岸田則生,室町幸雄
    • Journal Title

      JARIP Journal

      Volume: 印刷中

    • NAID

      40021164878

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] 国内債券アクティブ運用のパフォーマンスとスマートベータ戦略2017

    • Author(s)
      菊川匡,内山朋規.本廣守.西内翔
    • Journal Title

      証券アナリストジャーナル

      Volume: 55 (2) Pages: 69-80

    • NAID

      40021089133

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Asset sale, debt restructuring, and liquidation2016

    • Author(s)
      Nishihara, M. and Shibata, T.
    • Journal Title

      Journal of Economic Dynamics and Control

      Volume: 67 Pages: 73-92

    • DOI

      10.1016/j.jedc.2016.03.011

    • Related Report
      2016 Annual Research Report 2015 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Leaders, Followers, and Equity Risk Premium in Booms and Busts2016

    • Author(s)
      Makoto, Goto, Katsumasa, Nishide, Ryuta Takashima
    • Journal Title

      Journal of Banking & Finance

      Volume: Available online 10 October Pages: 1-14

    • DOI

      10.1016/j.jbankfin.2016.08.010

    • NAID

      120006876266

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] nvestment under Regime Uncertainty: Impact of Competition and Preemption2016

    • Author(s)
      Katsumasa Nishide and Kyoto Yagi
    • Journal Title

      International Journal of Industrial Organization

      Volume: 45 Pages: 47-58

    • DOI

      10.1016/j.ijindorg.2016.01.001

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Investment timing and quantity strategies under asymmetric information2016

    • Author(s)
      Cui, X. and Shibata, T.
    • Journal Title

      Theory of Probability and Its Applications

      Volume: 印刷中

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Strategic entry in a triopoly market of firms with asymmetric cost structures2016

    • Author(s)
      Shibata, T.
    • Journal Title

      European Journal of Operational Research

      Volume: 249 Issue: 2 Pages: 728-739

    • DOI

      10.1016/j.ejor.2015.08.063

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Effects of reversibility on investment timing and quantity under asymmetric information2016

    • Author(s)
      Cui, X. and Shibata, T.
    • Journal Title

      Recent Advances in Financial Engineering

      Volume: 2014 Pages: 95-106

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Heston-type Stochastic Volatility with a Markov Switching Regime2015

    • Author(s)
      Robert J. Elliott, Katumasa Nishide and Carlton-James U. Osakwe
    • Journal Title

      Journal of Futures Markets

      Volume: 未定 Issue: 9 Pages: 902-919

    • DOI

      10.1002/fut.21761

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] Reformulation of the arbitrage-free pricing method under the multi-curve environment2015

    • Author(s)
      Kijima, M. and Muromachi, Y.
    • Journal Title

      首都大学東京大学院社会科学研究科経営学専攻 Research Paper Series

      Volume: 156 Pages: 1-28

    • Related Report
      2015 Annual Research Report
  • [Journal Article] プリペイメント率と金利の長期的な変動特性を考慮したRMBS の価格付け2015

    • Author(s)
      黄文峰,岸田則生,室町幸雄
    • Journal Title

      首都大学東京大学院社会科学研究科経営学専攻 Research Paper Series

      Volume: 154 Pages: 1-32

    • NAID

      40021164878

    • Related Report
      2015 Annual Research Report
  • [Journal Article] Optimal Default and Liquidation with Tangible Assets and Debt Renegotiation2015

    • Author(s)
      Goto, M. and Suzuki, T.
    • Journal Title

      Review of Financial Economics

      Volume: 27 Issue: 1 Pages: 16-27

    • DOI

      10.1016/j.rfe.2015.07.001

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A chaos expansion approach for the pricing of contingent claims2015

    • Author(s)
      Funahashi, H. and Kijima, M.
    • Journal Title

      Journal of Computational Finance

      Volume: 18 Pages: 1-31

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Investment timing, debt structure, and financing constraints2015

    • Author(s)
      Shibata, T. and Nishihara, M.
    • Journal Title

      European Journal of Operational Research

      Volume: 241 Issue: 2 Pages: 513-526

    • DOI

      10.1016/j.ejor.2014.09.011

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Investment-based financing constraints and debt renegotiation2015

    • Author(s)
      Shibata, T. and Nishihara, M.
    • Journal Title

      Journal of Banking and Finance

      Volume: 51 Pages: 79-92

    • DOI

      10.1016/j.jbankfin.2014.11.005

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Investment timing with fixed and proportional costs of external financing2015

    • Author(s)
      Nishihara, M. and Shibata, T.
    • Journal Title

      International Journal of Management Science and Engineering Management

      Volume: 10 Issue: 1 Pages: 73-87

    • DOI

      10.1080/17509653.2014.937836

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Improved estimation methods for VaR, Expected Shortfall and the risk contributions with high precisions2015

    • Author(s)
      Muromachi, Y.
    • Journal Title

      Journal of Risk

      Volume: 印刷中

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] On the risk evaluation method based on the market model2014

    • Author(s)
      Kijima, M. and Muromachi, Y.
    • Journal Title

      Nonlinear Economic Dynamics and Financial Modelling

      Volume: 1 Pages: 253-273

    • DOI

      10.1007/978-3-319-07470-2_15

    • ISBN
      9783319074696, 9783319074702
    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Credit-equity modeling under a latent Levy firm process2014

    • Author(s)
      Kijima, M. and Siu, C.C.
    • Journal Title

      International Journal of Theoretical and Applied Finance

      Volume: 17 Issue: 03 Pages: 1-41

    • DOI

      10.1142/s0219024914500216

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] An extension of the chaos expansion approximation for the pricing of exotic basket options2014

    • Author(s)
      Funahashi, H. and Kijima, M.
    • Journal Title

      Applied Mathematical Finance

      Volume: 21 Issue: 2 Pages: 109-139

    • DOI

      10.1080/1350486x.2013.812855

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Risk evaluation of mortgage-loan portfolios under low interest-rate environment2014

    • Author(s)
      Kijima, M., Suzuki, Y. and Tamba, Y.
    • Journal Title

      Journal of Risk

      Volume: 16 Pages: 3-37

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Market structure and R&D investment spillovers2014

    • Author(s)
      Shibata, T.
    • Journal Title

      Economic Modelling

      Volume: 43 Pages: 321-329

    • DOI

      10.1016/j.econmod.2014.08.014

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Preemption, leverage, and financial constraints2014

    • Author(s)
      Nishihara, M. and Shibata, T.
    • Journal Title

      Review of Financial Economics

      Volume: 印刷中 Issue: 2 Pages: 75-89

    • DOI

      10.1016/j.rfe.2013.10.001

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Pricing of Discount Bonds with a Markov Switching Regime2013

    • Author(s)
      Elliott, R.J. and K. Nishide
    • Journal Title

      Annals of Finance

      Volume: 10 Issue: 3 Pages: 509-522

    • DOI

      10.1007/s10436-013-0244-3

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed
  • [Presentation] Financing and investment strategies under endogenous liquidation value2018

    • Author(s)
      Shibata, T.
    • Organizer
      Workshop on Dynamic Models of Strategic Investment under Uncertainty
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Optimal financing and investment strategies under asymmetric information about collateral value2018

    • Author(s)
      Shibata, T.
    • Organizer
      Advanced Methods of Mathematical Finance (AMMF 2018)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Financing and investment strategies under information asymmetry2018

    • Author(s)
      Shibata, T.
    • Organizer
      29th European Conference on Operational Research (EURO 2018)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Financing and investment strategies under information asymmetry2018

    • Author(s)
      Shibata, T.
    • Organizer
      24th International Conference on Computing in Economics and Finance (CEF 2018)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Financing and investment strategies under asymmetric information about liquidation value2018

    • Author(s)
      Shibata. T.
    • Organizer
      Cambridge Finance Lunch Seminar, University of Cambridge
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Return predictability and machine learning: dangers of data-mining2018

    • Author(s)
      Uchiyama, T.
    • Organizer
      International Workshop "Digital Innovation in Finance"
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 複数の転換トリガーを考慮したCoCo債の価格付けとリスク低減のための規制のあり方2018

    • Author(s)
      室町幸雄
    • Organizer
      第30回RAMPシンポジウム
    • Related Report
      2018 Annual Research Report
  • [Presentation] A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility2018

    • Author(s)
      Kijima, M.
    • Organizer
      Advanced Methods in Mathematical Finance
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Regulatory Policy to Mitigate Potential Risks Arising from Contingent Convertibles2018

    • Author(s)
      Kijima, M.
    • Organizer
      EURO 2018
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 危険なデータマイニング ―リターン予測とオーバーフィッティング―2018

    • Author(s)
      内山朋規
    • Organizer
      人工知能学会:経営課題にAIを! ビジネス・インフォマティクス研究会
    • Related Report
      2017 Annual Research Report
  • [Presentation] Information asymmetry and investment strategies2017

    • Author(s)
      Shibata, T.
    • Organizer
      平成29年(2017)日本オペレーションズリサーチ学会春季大会
    • Place of Presentation
      沖縄県市町村自治会館 (沖縄県那覇市)
    • Year and Date
      2017-03-15
    • Related Report
      2016 Annual Research Report
  • [Presentation] Pricing credit default swaps with CIR-type default intensities2017

    • Author(s)
      西出 勝正
    • Organizer
      日本オペレーションズリサーチ学会2017年春季研究発表会
    • Place of Presentation
      沖縄県市町村自治会館,沖縄
    • Year and Date
      2017-03-15
    • Related Report
      2016 Annual Research Report
  • [Presentation] Monopolistic dealer versus broker: impact of proprietary trading with transaction fees2017

    • Author(s)
      Nishide, K.
    • Organizer
      International Conference on Business, Finance and Economics 2017
    • Place of Presentation
      Singapore, Singapore
    • Year and Date
      2017-03-10
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Default contagion and systemic risk in the presence of credit default swap2017

    • Author(s)
      Nishide, K.
    • Organizer
      Winter Workshop on Operations Research, Finance and Mathematics, 2017
    • Place of Presentation
      Sapporo, Hokkaido
    • Year and Date
      2017-02-20
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] A model of price impact function2017

    • Author(s)
      Masaaki Kijima
    • Organizer
      Quantitative Methods in Finance
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Financing and investment strategies under information asymmetry2017

    • Author(s)
      Takashi Shibata
    • Organizer
      Mathematic of Risk 2017
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Investment timing, collateral, and financing constraints2017

    • Author(s)
      Takashi Shibata
    • Organizer
      23rd International Conference on Computing in Economics and Finance (CEF 2017)
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Financing and investment strategies under information asymmetry2017

    • Author(s)
      Takashi Shibata
    • Organizer
      京都大学数理解析研究所研究集会「ファイナンスの数理解析とその応用」
    • Related Report
      2017 Annual Research Report
  • [Presentation] Margin valuation adjustments made simpler2017

    • Author(s)
      Yukio Muromachi
    • Organizer
      2nd International Conference on Computational Finance (ICCF2017)
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 当初証拠金の時価評価2017

    • Author(s)
      室町幸雄
    • Organizer
      金融工学・数理計量ファイナンスの諸問題 2017
    • Related Report
      2017 Annual Research Report
  • [Presentation] 危険なデータマイニング ―リターン予測とオーバーフィッティング―2017

    • Author(s)
      内山朋規
    • Organizer
      金融工学・数理計量ファイナンスの諸問題 2017
    • Related Report
      2017 Annual Research Report
  • [Presentation] 危険なデータマイニング ―リターン予測とオーバーフィッティング―2017

    • Author(s)
      内山朋規
    • Organizer
      第33回青山ファイナンス研究会
    • Related Report
      2017 Annual Research Report
  • [Presentation] クオリティファクターの有効性とアクティブファンドのパフォーマンス2017

    • Author(s)
      内山朋規
    • Organizer
      第278回MPTフォーラム講演会
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] クオリティファクターの有効性とアクティブファンドのパフォーマンス2017

    • Author(s)
      内山朋規
    • Organizer
      第18回SAAJ-日本ファイナンス学会共同セミナー
    • Related Report
      2017 Annual Research Report
    • Invited
  • [Presentation] クオリティファクターの有効性とアクティブファンドのパフォーマンス2017

    • Author(s)
      内山朋規
    • Organizer
      日本ファイナンス学会第25回大会
    • Related Report
      2017 Annual Research Report
  • [Presentation] 自社株買いと配当変更のアナウンスメント効果 ―市場の反応と情報の波及―2017

    • Author(s)
      内山朋規
    • Organizer
      日本経営財務研究学会第41回全国大会
    • Related Report
      2017 Annual Research Report
  • [Presentation] Investment, collateral, and financing constraints2017

    • Author(s)
      Shibata, T.
    • Organizer
      Research Seminar at LabEx-ReFi
    • Place of Presentation
      Paris, France
    • Related Report
      2016 Annual Research Report
  • [Presentation] Margin Valuation Adjustments made simpler2017

    • Author(s)
      Muromachi, Y.
    • Organizer
      Research Seminar at LabEx-ReFi
    • Place of Presentation
      Paris, France
    • Related Report
      2016 Annual Research Report
  • [Presentation] Debt-Equity Swap and Strategic Debt Service with Firms' Cross- holdings of Debts2016

    • Author(s)
      Suzuki, T., Yagi, K.
    • Organizer
      Quantitative Methods in Finance 2016 Conference
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2016-12-14
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Money supply, asset pries and interest rates within a general equilibrium framework2016

    • Author(s)
      西出 勝正
    • Organizer
      平成28年度数理解析研究所研究集会(ファイナンスの数理解析とその応用)
    • Place of Presentation
      京都大学,京都
    • Year and Date
      2016-11-28
    • Related Report
      2016 Annual Research Report
  • [Presentation] ファクター投資 -背景・意義・課題・展望-2016

    • Author(s)
      内山 朋規
    • Organizer
      第268回MPTフォーラム講演会
    • Place of Presentation
      東洋経済新報社,東京
    • Year and Date
      2016-11-10
    • Related Report
      2016 Annual Research Report
    • Invited
  • [Presentation] Money supply, asset pries and interest rates within a general equilibrium framework2016

    • Author(s)
      Nishide, K.
    • Organizer
      6th Global Business and Finance Research Conference
    • Place of Presentation
      Taipei, Taiwan ROC
    • Year and Date
      2016-10-27
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Investment, collateral, and financing constraints2016

    • Author(s)
      Shibata, T.
    • Organizer
      20th EBES Conference
    • Place of Presentation
      Vienna, Austria
    • Year and Date
      2016-09-28
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Investment, collateral, and financing constraints2016

    • Author(s)
      Shibata, T.
    • Organizer
      平成28年(2016)日本オペレーションズリサーチ学会秋季大会
    • Place of Presentation
      山形大学 (山形県山形市)
    • Year and Date
      2016-09-15
    • Related Report
      2016 Annual Research Report
  • [Presentation] Money supply, asset pries and interest rates within a general equilibrium framework2016

    • Author(s)
      西出 勝正
    • Organizer
      日本オペレーションズリサーチ学会2016年秋季研究発表会
    • Place of Presentation
      山形大学,山形
    • Year and Date
      2016-09-15
    • Related Report
      2016 Annual Research Report
  • [Presentation] Reformulation of the arbitrage-free pricing method under the multi-curve environment2016

    • Author(s)
      Muromachi, Y.
    • Organizer
      Vienna Congress on Mathematical Finance
    • Place of Presentation
      Vienna, Austria
    • Year and Date
      2016-09-12
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Margin Valuation Adjustments made simpler2016

    • Author(s)
      Muromachi, Y.
    • Organizer
      Conference on Quantitative Methods for Financial Regulation
    • Place of Presentation
      New York, USA
    • Year and Date
      2016-09-10
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Debt-Equity Swap and Strategic Debt Service with Firms' Cross- holdings of Debts2016

    • Author(s)
      Suzuki, T., Yagi, K.
    • Organizer
      Ninth World Congress of Bachelier Finance Society
    • Place of Presentation
      New York, USA
    • Year and Date
      2016-07-19
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Default Contagion and Systemic Risk in the Financial Markets with Credit Default Swap2016

    • Author(s)
      Nishide, K., Suzuki, T., Yagi, K.
    • Organizer
      Ninth World Congress of Bachelier Finance Society
    • Place of Presentation
      New York, USA
    • Year and Date
      2016-07-16
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Money supply, asset pries and interest rates within a general equilibrium framework2016

    • Author(s)
      Nishide, K.
    • Organizer
      Ninth World Congress of Bachelier Finance Society
    • Place of Presentation
      New York, USA
    • Year and Date
      2016-07-15
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Money supply, asset pries and interest rates within a general equilibrium framework2016

    • Author(s)
      西出 勝正
    • Organizer
      日本経済学会2016年度春季大会
    • Place of Presentation
      名古屋大学,愛知
    • Year and Date
      2016-06-18
    • Related Report
      2016 Annual Research Report
  • [Presentation] Debt-Equity Swap and Strategic Debt Service with Firms' Cross- holdings of Debts2016

    • Author(s)
      Suzuki, T., Yagi, K.
    • Organizer
      INFORMS International 2016 Meeting
    • Place of Presentation
      Hawaii, USA
    • Year and Date
      2016-06-13
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Investment timing under financing constraints based on collateral2016

    • Author(s)
      Shibata, T.
    • Organizer
      INFORMS International Conference 2016
    • Place of Presentation
      Waikoloa, USA
    • Year and Date
      2016-06-12
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The Pricing Model of Credit Default Swaps under Systemic Risk2016

    • Author(s)
      Suzuki, T.
    • Organizer
      The Fourth Asian Quantitative Finance Conference
    • Place of Presentation
      Osaka, Japan
    • Year and Date
      2016-02-21
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Investment timing under financing constraints based on collateral2016

    • Author(s)
      Shibata, T.
    • Organizer
      10th Bachelier Colloquium
    • Place of Presentation
      Metabief, France
    • Year and Date
      2016-01-17
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] On the Ross Recovery under the Hull--White Model2016

    • Author(s)
      Kijima, M.
    • Organizer
      STS2016 Conference
    • Place of Presentation
      Seoul, South Korea
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] The Pricing Model of Credit Default Swaps under Systemic Risk2015

    • Author(s)
      Suzuki, T.
    • Organizer
      Stochastic Methods in Finance, Insurance and Statistics Conference
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2015-12-08
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 金利とプリペイメント率の長期的な変動特性を考慮した RMBS の価格付け とその応用2015

    • Author(s)
      室町幸雄
    • Organizer
      統計数理研究所 リスク解析戦略研究センター 第4回 金融シンポジウム 「ファイナンスリスクのモデリングと制御 III」
    • Place of Presentation
      学術総合センター,東京
    • Year and Date
      2015-12-07
    • Related Report
      2015 Annual Research Report
  • [Presentation] Investment, collateral, and financing constraints2015

    • Author(s)
      Shibata, T.
    • Organizer
      47th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
    • Place of Presentation
      Honolulu, USA
    • Year and Date
      2015-12-05
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] The Pricing Model of Credit Default Swaps under Systemic Risk2015

    • Author(s)
      Suzuki, T.
    • Organizer
      金融工学・数理計量ファイナンスの諸問題 2015
    • Place of Presentation
      大阪大学,大阪
    • Year and Date
      2015-12-02
    • Related Report
      2015 Annual Research Report
  • [Presentation] Towards a Credit Valuation of the Counter Parties Issuing Credit Default Swaps with their Assets and Liabilities Structures2015

    • Author(s)
      Suzuki, T.
    • Organizer
      日本リアルオプション学会2015年研究発表大会
    • Place of Presentation
      国際大学,新潟
    • Year and Date
      2015-10-24
    • Related Report
      2015 Annual Research Report
  • [Presentation] Investment, collateral, and financing constraints2015

    • Author(s)
      Shibata, T.
    • Organizer
      日本オペレーションズ・リサーチ学会 平成27年度秋季大会
    • Place of Presentation
      九州工業大学,福岡
    • Year and Date
      2015-09-10
    • Related Report
      2015 Annual Research Report
  • [Presentation] Debt negotiation with firms' cross-holdings of securities2015

    • Author(s)
      Suzuki, T.
    • Organizer
      AMMF2015 Workshop
    • Place of Presentation
      Angers, France
    • Year and Date
      2015-09-05
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] An Analytical Approximation for Pricing VWAP Options2015

    • Author(s)
      Kijima, M.
    • Organizer
      AMMF2015 Workshop
    • Place of Presentation
      Angers, France
    • Year and Date
      2015-09-04
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Investment, collateral, and financing constraints2015

    • Author(s)
      Shibata, T.
    • Organizer
      Advanced Methods in Mathematical Finance Conference (AMMF 2015)
    • Place of Presentation
      Angers, France
    • Year and Date
      2015-09-01
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Investment, collateral, and financing constraints2015

    • Author(s)
      Shibata, T.
    • Organizer
      26th European Conference on Operational Research (EURO 2015)
    • Place of Presentation
      Glasgow, UK
    • Year and Date
      2015-07-12
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] A risk evaluation model based on the implied copula model: Ddiscrete-time setting2015

    • Author(s)
      Muromachi, Y.
    • Organizer
      従属性と接合関数に関するシンポジウム International Symposium on Dependence and Copula
    • Place of Presentation
      統計数理研究所,東京
    • Year and Date
      2015-06-23
    • Related Report
      2015 Annual Research Report
  • [Presentation] Analytical Pricing of Barrier Options under Local Volatility Models2015

    • Author(s)
      Kijima, M.
    • Organizer
      CEF2015
    • Place of Presentation
      Taipei, Taiwan
    • Year and Date
      2015-06-20
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Investment, collateral, and financing constraints2015

    • Author(s)
      Shibata, T.
    • Organizer
      21th International Conference on Computing in Economics and Finance (CEF 2015)
    • Place of Presentation
      Taipei, Taiwan
    • Year and Date
      2015-06-20
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Investment-based financing constraints and debt renegotiation2015

    • Author(s)
      Shibata, T.
    • Organizer
      Winter Workshop on Operational Research, Finance and Mathematics 2015
    • Place of Presentation
      Yubari, Hokkaido
    • Year and Date
      2015-02-18
    • Related Report
      2014 Annual Research Report
  • [Presentation] Pricing interest-rate sensitive securities by quadratic Gaussian model2015

    • Author(s)
      Muromachi, Y.
    • Organizer
      Winter Workshop on Operational Research, Finance and Mathematics 2015
    • Place of Presentation
      Yubari, Hokkaido
    • Year and Date
      2015-02-17
    • Related Report
      2014 Annual Research Report
  • [Presentation] Noncooperative and cooperative R&D and market structure2015

    • Author(s)
      Shibata, T.
    • Organizer
      日本オペレーションズ・リサーチ学会 確率モデルシンポジウム
    • Place of Presentation
      東北大学
    • Year and Date
      2015-01-23
    • Related Report
      2014 Annual Research Report
  • [Presentation] Analysis on the optimal default boundaries where firms cross-ownership of debts and equities is present2015

    • Author(s)
      Suzuki, T.
    • Organizer
      The Ninth Bachelier Colloquium on Mathematical Finance and Stochastic Calculus
    • Place of Presentation
      Metabief, France
    • Year and Date
      2015-01-14
    • Related Report
      2014 Annual Research Report
  • [Presentation] Analytical pricing of barrier options and its applications2014

    • Author(s)
      Kijima, M.
    • Organizer
      Quantitative Methods in Finance 2014
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2014-12-20
    • Related Report
      2014 Annual Research Report
    • Invited
  • [Presentation] Investment timing and financing strategies under collateral constraint2014

    • Author(s)
      Shibata, T.
    • Organizer
      Quantitative Methods in Finance 2014
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2014-12-17
    • Related Report
      2014 Annual Research Report
  • [Presentation] 超長期の金利と期限前償還率の変動特性を考慮したRMBSの価格付け2014

    • Author(s)
      室町幸雄
    • Organizer
      日本保険・年金リスク学会 第12回研究発表大会
    • Place of Presentation
      東京大学(駒場)
    • Year and Date
      2014-11-01
    • Related Report
      2014 Annual Research Report
  • [Presentation] On the risk evaluation method based on the market model2014

    • Author(s)
      Kijima, M.
    • Organizer
      Dynamic Models in Economics and Finance
    • Place of Presentation
      Urbino, Italy
    • Year and Date
      2014-09-18
    • Related Report
      2014 Annual Research Report
  • [Presentation] Investment strategies between three asymmetric firms2014

    • Author(s)
      Shibata, T.
    • Organizer
      日本オペレーションズ・リサーチ学会 秋期大会
    • Place of Presentation
      北海道科学大学
    • Year and Date
      2014-08-29
    • Related Report
      2014 Annual Research Report
  • [Presentation] Optimal capital injection problem under financial crisis2014

    • Author(s)
      Suzuki, T.
    • Organizer
      20th Conference of the International Federation of Operational Research Societies
    • Place of Presentation
      Barcelona, Spain
    • Year and Date
      2014-07-15
    • Related Report
      2014 Annual Research Report
  • [Presentation] A new portfolio risk evaluation model including huge loss events derived from market prices: continuous-time version2014

    • Author(s)
      Muromachi, Y.
    • Organizer
      20th Conference of the International Federation of Operational Research Societies
    • Place of Presentation
      Barcelona, Spain
    • Year and Date
      2014-07-14
    • Related Report
      2014 Annual Research Report
  • [Presentation] A unified approach for the pricing of generalized Asian option2014

    • Author(s)
      Kijima, M.
    • Organizer
      Fourth IMS-FPS workshop 2014
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2014-07-05
    • Related Report
      2014 Annual Research Report
  • [Presentation] Investment timing and financing strategies under collateral constraint2014

    • Author(s)
      Shibata, T.
    • Organizer
      Fourth IMS-FPS workshop 2014
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2014-07-05
    • Related Report
      2014 Annual Research Report
  • [Presentation] On the risk evaluation method based on the market model2014

    • Author(s)
      Muromachi, Y.
    • Organizer
      Fourth IMS-FPS workshop 2014
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2014-07-05
    • Related Report
      2014 Annual Research Report
  • [Presentation] Optimal capital injection problem under financial crisis2014

    • Author(s)
      Suzuki, T.
    • Organizer
      Stochastic Calculus, Martingales and Financial Modeling
    • Place of Presentation
      Saint Petersburg, Russia
    • Year and Date
      2014-07-03
    • Related Report
      2014 Annual Research Report
  • [Presentation] Investment, collateral, and financing constraints2014

    • Author(s)
      Shibata, T.
    • Organizer
      Stochastic Calculus, Martingales and Financial Modeling
    • Place of Presentation
      Saint Petersburg, Russia
    • Year and Date
      2014-07-01
    • Related Report
      2014 Annual Research Report
  • [Presentation] A unified approach for the pricing of generalized Asian option2014

    • Author(s)
      Kijima, M.
    • Organizer
      Stochastic Calculus, Martingales and Financial Modeling
    • Place of Presentation
      Saint Petersburg, Russia
    • Year and Date
      2014-06-30
    • Related Report
      2014 Annual Research Report
  • [Presentation] Investment timing and financing strategies under collateral constraint2014

    • Author(s)
      Shibata, T.
    • Organizer
      Bachelier Finance Society 8th World Congress
    • Place of Presentation
      Brussels, Belgium
    • Year and Date
      2014-06-08
    • Related Report
      2014 Annual Research Report
  • [Presentation] Analytical RMBS pricing formulas consistent with observed term structures of interest rates and prepayment rates2014

    • Author(s)
      Muromachi, Y.
    • Organizer
      8th World Congress Bachelier Finance Society
    • Place of Presentation
      Brussels, Belgium
    • Year and Date
      2014-06-05
    • Related Report
      2014 Annual Research Report
  • [Book] 証券事典(証券経済学会,日本証券経済研究所編)2017

    • Author(s)
      室町幸雄(部分執筆)
    • Total Pages
      981
    • Publisher
      金融財政事情研究会
    • ISBN
      9784322128819
    • Related Report
      2017 Annual Research Report
  • [Book] Recent Advances in Financial Engineering 20142016

    • Author(s)
      Kijima, M., Muromachi, Y., and Shibata, T.
    • Total Pages
      226
    • Publisher
      World Scientific Publishing, Co.
    • Related Report
      2015 Annual Research Report
  • [Book] 金融リスクモデリング -理論と重要課題へのアプローチ-2014

    • Author(s)
      室町幸雄(編著)
    • Total Pages
      202
    • Publisher
      朝倉書店
    • Related Report
      2014 Annual Research Report
  • [Remarks] Digital Innovation in Finance

    • URL

      https://www.biz.tmu.ac.jp/quantitative-finance/workshop/2018/

    • Related Report
      2018 Annual Research Report
  • [Remarks] TMUFW2014

    • URL

      http://www.comp.tmu.ac.jp/finance/Groupweb/workshop/2014/index.html

    • Related Report
      2014 Annual Research Report
  • [Funded Workshop] International Workshop "Digital Innovation in Finance"2018

    • Related Report
      2018 Annual Research Report
  • [Funded Workshop] Winter Workshop on Operations Research, Finance and Mathematics, 20172017

    • Place of Presentation
      Jozankei, Sapporo, Hokkaido
    • Year and Date
      2017-02-20
    • Related Report
      2016 Annual Research Report
  • [Funded Workshop] International Conference on Financial Risks and Uncertainties 20172017

    • Related Report
      2017 Annual Research Report
  • [Funded Workshop] TMU Workshop on Finance 20172017

    • Related Report
      2017 Annual Research Report
  • [Funded Workshop] TMU Workshop on Financial Mathematics and Statistics 20162016

    • Place of Presentation
      Tokyo Metropolitan University Akihabara Campus, Tokyo
    • Year and Date
      2016-11-29
    • Related Report
      2016 Annual Research Report

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Published: 2014-04-04   Modified: 2023-03-16  

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