Advancing empirically effective models for analyzing financial risks and applying them to risk analysis and management

点击翻译按钮获取中文摘要

Firstly, in our own cross-sectional approach, we developed empirically effective models for analyzing fluctuations of interest rates, government bond (GB) prices, corporate bond (CB) prices, and credit risk for risk management, and we made various empirical analyses for some periods including the recent Financial Crisis. Among others, they include analyses on prices of Japanese GBs, US GBs, 5 GBs in EU, and Japanese CBs. In the credit risk analysis, we developed new credit risk price spread measures and market rating methods, and using them, the term structures of default probabilities for some industry and firms were derived.Secondly in time series settings, among others, a model for predicting GB prices was made with application to Japanese GB prices. Also, we made a co-integration analysis on Asian bond returns with dynamic conditional correlation model, and proposed a change point estimation method with application to exchange rates.