Application of interest rate models for interest-rate-risk management
| Project/Area Number |
26380399
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Shibaura Institute of Technology |
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Principal Investigator |
Yasuoka Takashi 芝浦工業大学, 工学マネジメント研究科, 教授 (80554980)
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| Project Period (FY) |
2014-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2014: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
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| Keywords | 金利リスク評価 / リスクの市場価格 / リアルワールドシミュレーション / 金利期間構造モデル / クレジットエキスポージャ / PFE評価 / 現実確率測度 / リアルワールドモデル / 長短金利差 / HJMモデル / Hull-Whiteモデル / ソルベンシーリスク / 金利モデル / 現実測度下の金利シミュレーション |
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| Outline of Final Research Achievements |
This project studies real-world simulation of interest rates, which will be applied for the risk management at the financial institution.
As a result, a theoretical framework is successfully developed to explain the property of real-world simulation in the Gaussian HJM model. For practical use, this study is applied for the Hull-White model, which is the most simple interest rate model. These results are published in two papers in peer-reviewed journals, and summarized as an English book “Interest rate modeling for risk management - Market price of interest rate risk“ published abroad.
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Report
(5 results)
Research Products
(7 results)
