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

2017 Fiscal Year Final Research Report

• Project/Area Number: 26285069
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Partial Multi-year Fund
• Section: 一般
• Research Field: Money/ Finance
• Research Institution: Kyoto 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
• 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

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.

Free Research Field

ファイナンス工学