Estimation of CDS-adjusted risk-free rates
| Project/Area Number |
26380404
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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 | Musashi University |
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Principal Investigator |
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| Research Collaborator |
Moussa Zakaria ナント大学
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2016: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2014: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
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| Keywords | リスクフリー・レート / クレジット・デフォルト・スワップ / クレジット・スプレッド / 金利の期間構造 / クレジット・デフォルト・スワップ（CDS) / 国債 / 金利の正値性 |
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| Outline of Final Research Achievements |
A new methodology for estimating risk-free rates is proposed, and applied to the Japanese, German, and U.S. markets to obtain the risk-free rates in JPY, EUR, and USD. Government bonds yields are not linear combinations of the risk-free rates and CDS premium. Sovereign CDS premiums and government bond yields are multi-variate non-linear function of the risk-free rates and default probability of the reference country. This estimation method is free from bias even if the risk-free rates and default intensity are correlated.
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Report
(4 results)
Research Products
(5 results)
