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Application of interest rate models for interest-rate-risk management

Research Project

Project/Area Number 26380399
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Money/ Finance
Research InstitutionShibaura Institute of Technology

Principal Investigator

Yasuoka Takashi  芝浦工業大学, 工学マネジメント研究科, 教授 (80554980)

Project Period (FY) 2014-04-01 – 2018-03-31
Project Status Completed (Fiscal Year 2017)
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)
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
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.

Report

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

    (7 results)

All 2018 2017 2015 Other

All Journal Article (3 results) (of which Peer Reviewed: 2 results,  Open Access: 2 results,  Acknowledgement Compliant: 2 results) Book (2 results) Remarks (2 results)

  • [Journal Article] Correlations between the Market Price of Interest Rate Risk and Bond Yields2017

    • Author(s)
      Takashi Yasuoka
    • Journal Title

      Journal of Reviews on Global Economics

      Volume: to appear

    • Related Report
      2016 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] Interest-rate simulation under the real-world measure within a Gaussian HJM framework2015

    • Author(s)
      Takashi YASUOKA
    • Journal Title

      Quantitative finance letters

      Volume: 3 Issue: 1 Pages: 10-16

    • DOI

      10.1080/21649502.2014.995213

    • Related Report
      2014 Research-status Report
    • Peer Reviewed / Open Access / Acknowledgement Compliant
  • [Journal Article] 金利リスク評価のための金利シミュレーションの方法 (特別寄稿)2015

    • Author(s)
      安岡孝司
    • Journal Title

      アクチュアリージャーナル特別号

      Volume: 87 Pages: 35-65

    • Related Report
      2014 Research-status Report
    • Acknowledgement Compliant
  • [Book] Interest rate modeling for risk management, 2nd edition2018

    • Author(s)
      Takashi Yasuoka
    • Total Pages
      310
    • Publisher
      Benthan Science Publishers
    • ISBN
      9781681086903
    • Related Report
      2017 Annual Research Report
  • [Book] Interest Rate Modeling for Risk Management - Market Price of Interest Rate Risk2015

    • Author(s)
      Takashi Yasuoka
    • Total Pages
      287
    • Publisher
      Bentham Science Publisher
    • Related Report
      2015 Research-status Report
  • [Remarks] 安岡研究室HP

    • URL

      http://www.sic.shibaura-it.ac.jp/~yasuoka/paper_e.html

    • Related Report
      2015 Research-status Report
  • [Remarks] 安岡研究室ページ

    • URL

      http://www.sic.shibaura-it.ac.jp/~yasuoka/

    • Related Report
      2014 Research-status Report

URL: 

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

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