2013 Fiscal Year Final Research Report
Advancing empirically effective models for analyzing financial risks and applying them to risk analysis and management
| Project/Area Number |
23243040
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (A)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
Economic statistics
|
|---|
| Research Institution | Meiji University |
|---|
Principal Investigator |
KARIYA Takeaki 明治大学, その他の研究科, 教授 (70092624)
|
|---|
| Co-Investigator(Kenkyū-buntansha) |
TSUKUDA Yoshihiko 東北大学, 経済学研究科, 教授 (10091836)
MAEKAWA Koichi 広島経済大学, 経済学研究科, 教授 (20033748)
YAMAMURA Yoshiro 明治大学, グローバル・ビジネス研究科, 教授 (60284353)
INUI Koji 明治大学, 総合数理学部, 教授 (60359825)
TANOKURA Yoko 明治大学, 先端数理科学研究科, 准教授 (60425832)
KAMIZONO Kenji 長崎大学, 経済学部, 准教授 (70336147)
|
|---|
| Project Period (FY) |
2011-11-18 – 2014-03-31
|
| Keywords | 金融リスクマネジメント / 信用リスク / 国債価格モデル / 社債価格モデル / 金利の期間構造 / ディフォルト確率の期間構造 / 市場金利変動分析 / 市場価格スプレッド |
|---|
| Research Abstract |
Firstly, in our own cross-sectional approach, we developed empirically effective models for analyzing fluctuations of interest rates, government bond (GB) prices, corporate bond (CB) prices, and credit risk for risk management, and we made various empirical analyses for some periods including the recent Financial Crisis. Among others, they include analyses on prices of Japanese GBs, US GBs, 5 GBs in EU, and Japanese CBs. In the credit risk analysis, we developed new credit risk price spread measures and market rating methods, and using them, the term structures of default probabilities for some industry and firms were derived.
Secondly in time series settings, among others, a model for predicting GB prices was made with application to Japanese GB prices. Also, we made a co-integration analysis on Asian bond returns with dynamic conditional correlation model, and proposed a change point estimation method with application to exchange rates.
|
