2016 Fiscal Year Final Research Report
Estimation of CDS-adjusted risk-free rates
| Project/Area Number |
26380404
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Multi-year Fund |
|---|
| Section | 一般 |
|---|
| Research Field |
Money/ Finance
|
|---|
| Research Institution | Musashi University |
|---|
Principal Investigator |
|
|---|
| Research Collaborator |
Moussa Zakaria ナント大学
|
|---|
| Project Period (FY) |
2014-04-01 – 2017-03-31
|
| Keywords | リスクフリー・レート / クレジット・デフォルト・スワップ |
|---|
| 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.
|
| Free Research Field |
数理ファイナンス
|
