Research on the financial risk management of a portfolio including alternative investments

在本项目中，我们研究了各种基础研究的金融风险管理的投资组合，不仅包括传统的资产类别，而且还包括替代类。我们针对每个资产类别获得了许多结果。其中包括随机波动率模型下衍生品定价的高精度近似方法、利率衍生品定价的易处理多曲线模型、CDO和RMBS等证券化产品的新定价模型以及考虑企业投资行为和信息不对称的各种企业价值模型。在此基础上，提出了新的投资组合风险评估模型：低利率环境下的利率风险评估模型和考虑市场隐含压力事件的信用风险评估模型。通过动态宏观经济模型的实证分析，我们也得到了一些对市场微观结构分析有重要意义的结果，并对日本市场的发展有一定的启示。

In this project we studied various kinds of basic researches for financial risk management of a portfolio consisting of not only traditional asset classes but also alternative classes. We obtain many results for each asset class. Some of them are development of a highly precise approximation method for pricing derivatives under stochastic volatility models, a tractable multi-curve model for pricing intererst-rate derivatives, new pricing models for secritizations such as CDO and RMBS, and various kinds of firm value models considering firm's investment actions and asymmetric information. And we propose new risk evaluation models of a portfolio; an interest-rate risk evaluation model under low interest-rate environment and a credit risk evaluation model including market-implied stress events. We also obtain some important results for analysing the market micro-structure, and some implications for Japanese market from the empirical analyses by dynamic macroeconomic models.