Research and development of new IT models for financial risk management.

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We investigated and developed new IT models for financial risk management in three directions of financial risk, optimization technology, and IT environment.・Refinement of Financial risk measurementWe constructed a financial database of small-to-medium sized enterprises for quantitative analyses on credit risk at first.We used the database to develop a new-type relevant loan pricing model. The main characteristics of our model is a hybrid of the methodology for pricing credit derivatives with stochastic calculus and the traditional statistical approach based on the financial database. We also studied an application of multi-objective genetic algorithms to tuning of a credit scoring model.・Optimization technologyWe constructed a model which minimizes a tracking error of a portfolio under uncertainty and developed an algorithm for computing the optimal solution of the model efficiently. We conducted basic researches into minimax classification problem for avoiding financial risk. We also succeeded in developing algorithms of Kusuoka-approximation which are capable of high order approximation and can be applied to stochastic differentiable equations without any limitation. It is demonstrated that the algorithm is very effective for mathematical financial problems.・IT environmentWe developed a method called structured aggregate signature with respect to digital signature, which is important in digital business transaction. We got a correction method for error of safety proof of Rabin signature. We also conducted researches into XBRL and a cyber financial system as a fundamental technology for sharing basic credit information.As results of the research, we published 19 research papers and a book. We organized 6 symposiums or workshops for collecting the information of financial risk management and for announcing our results to inside and outside researchers.