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Studies on Modeling for of Credit Risk Valuation

信用风险评估建模研究

基本信息

批准号：
10430026
负责人：
NISHINA Kazuhiko
金额：
$ 3.26万
依托单位：
Osaka University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (B).
财政年份：
1998
资助国家：
日本
起止时间：
1998 至 2000
项目状态：
已结题

项目摘要

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

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。除了理论方法，他还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，他期待着一种潜在的力量或因素结构方法来确定债券价格。Tabata在一个不确定的投资决策问题的框架内研究了关于指数基金及其性质的主题。提出了一种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当股票价格连续可用时修正算法中包含的参数的新方法。Ohnishi主要研究了具有泊松跳的几何布朗运动的最优停止问题。尽管有人认为所谓的平滑粘贴技术(参见Dixit(1993)以及Dixit和Pi…More ndyck(1994)对于这类随机优化问题是有用的，但它的数学有效性似乎到目前为止还没有得到充分的讨论。Tanigawa(2000a)研究了违约对企业管理者事后道德风险问题的影响，指出不同类型的债务契约会给管理者带来不同的纪律负担。Tanigawa和Koie(1999)研究的公司可转换债券的行使可以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不执行的风险。OMura，Uno和Tanigawa(2000)估计了东京证券交易所股票的限价指令的执行概率，以了解在限价指令提供的价格更优惠的限价指令中，这种执行风险有多大。假设数据是由统计和数学金融领域建立的理论很好地表现出来的，在这个项目中，Oya推导了有缺失数据和没有关于缺失数据的任何信息的统计量的一些性质。据悉，在上述情况下，通常用于面板数据分析的统计数据存在向上偏向。较少