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Detecting structural changes in the capital markets and its application to the investment theory

Research Project

Project/Area Number 26285069
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypePartial Multi-year Fund
Section一般
Research Field Money/ Finance
Research InstitutionKyoto University

Principal Investigator

Egami Masahiko  京都大学, 経済学研究科, 教授 (40467395)

Co-Investigator(Kenkyū-buntansha) 若井 克俊  京都大学, 経済学研究科, 教授 (80455708)
Project Period (FY) 2014-04-01 – 2018-03-31
Project Status Completed (Fiscal Year 2017)
Budget Amount *help
¥16,380,000 (Direct Cost: ¥12,600,000、Indirect Cost: ¥3,780,000)
Fiscal Year 2016: ¥5,070,000 (Direct Cost: ¥3,900,000、Indirect Cost: ¥1,170,000)
Fiscal Year 2015: ¥5,330,000 (Direct Cost: ¥4,100,000、Indirect Cost: ¥1,230,000)
Fiscal Year 2014: ¥5,980,000 (Direct Cost: ¥4,600,000、Indirect Cost: ¥1,380,000)
Keywords構造変化 / 相関 / 効率的ポートフォリオ / クレジットリスク / REIT / マルコフ過程 / 証券化プログラム / 変位理論 / 債権証券化 / レバレッジ比率 / 最終通過時刻 / 資産価格理論 / ファイナンス工学 / 金融論 / REIT / マルコフモデル / ジャンプ過程 / 相関係数 / 最適ポートフォリオ
Outline of Final Research Achievements

We detect a structural change in the capital markets and examine the possibility of constructing a more efficient portfolio. We estimate unobservable market value of company's asset by using the capital market information and analyze credit risk, the Japanese REIT, and banks' securitization. This approach enables our models to reflect structural changes in the capital market. We developed a model to detect an increase in simultaneous default probabilities of several companies, some novel credit risk management tools, and a simple device to tell how banks use sales proceeds from their loan securitization.

Report

(5 results)
  • 2017 Annual Research Report   Final Research Report ( PDF )
  • 2016 Annual Research Report
  • 2015 Annual Research Report
  • 2014 Annual Research Report

Research Products

(10 results)

All 2017 2016 2015 Other

All Journal Article (5 results) (of which Peer Reviewed: 4 results,  Acknowledgement Compliant: 2 results) Presentation (2 results) (of which Int'l Joint Research: 1 results) Remarks (3 results)

  • [Journal Article] An Analysis of Simultaneous Company Defaults Using a Shot Noise Process2017

    • Author(s)
      M. Egami and R. Kevkhishvili
    • Journal Title

      Journal of Banking and Finance

      Volume: 80 Pages: 135-161

    • DOI

      10.1016/j.jbankfin.2017.04.007

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A Direct Solution Method for Pricing Options involving the Maximum Process2017

    • Author(s)
      M. Egami and T. Oryu
    • Journal Title

      Finance and Stochastics

      Volume: 21 Pages: 967-993

    • DOI

      10.1007/s00780-017-0343-5

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] An Excursion-theoretic Approach to Regulator's Bank Reorganization Problem2015

    • Author(s)
      Masahiko Egami and Tadao Oryu
    • Journal Title

      Operations Research

      Volume: 63 Pages: 523-539

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] 証券化による発行者の資産リスクの変動と資本市場の評価2015

    • Author(s)
      江上雅彦・細野薫
    • Journal Title

      学習院大学経済経営研究所 年報

      Volume: 29 Pages: 19-28

    • Related Report
      2015 Annual Research Report
  • [Journal Article] An excursion-theoretic approach to regualtor's bank reorganization problem2015

    • Author(s)
      Masahiko Egami and Tadao Oryu
    • Journal Title

      Operations Research

      Volume: 未定

    • Related Report
      2014 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Presentation] Explicit Solutions for Optimal Stopping of Maximum Process with Absorbing Boundary2016

    • Author(s)
      江上雅彦
    • Organizer
      Bachelier Finance Society, 9th World Congress
    • Place of Presentation
      New York, NY
    • Year and Date
      2016-07-15
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] 拡散過程とその最大値に関する最適停止問題の変位理論による解法について2016

    • Author(s)
      江上雅彦
    • Organizer
      日本オペレーションズ・リサーチ学会2016春季研究発表会
    • Place of Presentation
      慶応義塾大学 矢上キャンパス、横浜市
    • Year and Date
      2016-03-17
    • Related Report
      2015 Annual Research Report
  • [Remarks] Masahiko Egami

    • URL

      http://www.econ.kyoto-u.ac.jp/~egami/

    • Related Report
      2017 Annual Research Report 2016 Annual Research Report 2015 Annual Research Report
  • [Remarks] Social Science Research Network

    • URL

      https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1593524

    • Related Report
      2016 Annual Research Report
  • [Remarks] ArXiv

    • URL

      https://arxiv.org/abs/1701.04565

    • Related Report
      2016 Annual Research Report

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Published: 2014-04-04   Modified: 2019-03-29  

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