Studies on Modeling for of Credit Risk Valuation

Nishina通过重新检查现有模型，研究了信用风险分析的理论结构。沿着理论方法，他探索了债券评级的机制，作为信用风险分析的典型应用。认识到改进风险模型的强烈必要性，他期望在确定债券价格时采用潜在的幂或因子结构方法。Tabata在不确定性投资决策问题的框架下研究了指数基金及其属性的主题。提出了设计指数基金的高效遗传算法，并从贝叶斯方法的角度提出了修正算法中参数的新方法。Ohnishi主要研究了具有泊松跳跃的几何布朗运动的最优停止问题。虽然有人认为，所谓的平滑粘贴技术（见Diplomat（1993），Diplomat和Pi 关于我们 ndyck（1994））对于这类随机优化问题是有用的，但似乎到目前为止，它的数学有效性还没有得到充分的讨论。在这个项目中，他通过鞅方法证明了在一组关于问题参数的温和条件下，它在数学上确实有效。谷川（2000 a）考虑了违约对公司经理人事后道德风险问题的影响，指出不同类型的债务合同对经理人施加不同的纪律约束。Tanigawa和Koie（1999）研究了公司可转换债券的行权可能归因于投资者的流动性需求，这在财务困难的情况下是典型的。证券交易本身就存在着不被执行的风险。Omura，Uno，and Tanigawa（2000）在东京证券交易所对限价指令的执行概率进行了估计，以了解在限价指令提供更有利价格的情况下，限价指令的执行风险有多大。根据统计和数理金融领域建立的理论，数据应该是良好的，在这个项目中，Oya导出了缺失数据和没有任何缺失数据信息的统计数据的一些性质。据报道，在上述情况下，通常用于面板数据分析的统计量具有向上的偏差。少

Nishina has investigated the theoretical structure of credit risk analysis by reexamination of existing models. Along with the theoretical approach, he has explored the mechanism of bond rating as a typical application of credit risk analysis. Recognizing the strong necessity of improvement in risk models, he expects a potential power or factor structure approach in the determination of bond prices.Tabata investigated the topics on index funds and their properties in the framework of an investment decision making problem under uncertainty. The efficient genetic algorithm to design the index fund is developed and the new procedure to revise parameters included in the algorithm is suggested from the view point of a Bayesian approach when the stock prices are available sequentially.Ohnishi mainly examined an optimal stopping problem for a geometric Brownian motion with Poissonian jumps. Although it has been argued that so called smooth pasting technique (see Dixit (1993), and Dixit and Pi … More ndyck (1994)) is useful for such stochastic optimization problems, it seems that its mathematical validity is not sufficiently discussed so far. In this project, by taking a martingale approach, he showed that it is indeed mathematically valid under a set of some mild conditions on the parameters of the problem.Tanigawa (2000a) considered implications of defaults on the ex-post moral hazard problem of corporate managers, noting that different types of debt contracts place different disciplinary burdens on the managers. Tanigawa and Koie (1999) studied exercises of corporate convertible bonds may be attributed to investors' liquidity demand, which is typical in the case of financial difficulties. Securities transaction itself involves risk of not executed. Omura, Uno, and Tanigawa (2000) estimated execution probabilities of limit orders of stock in the Tokyo Stock Exchange, to see how large such execution risk is incurred in limit orders with a more favorable price the limit order provides.The data that is available at financial market is not an ideal one. The data is supposed to be well-behaved by theories established at fields of statistical and mathematical finance, In this project, Oya has derived some properties of statistics with missing data and without any information about missing data. It is reported that the usual statistics for panel data analysis have an upward bias in the case mentioned above. Less