RESEARCHES ON NEW MEASUREMENT METHODS FOR MARKET RISK, CREDIT RISK AND LIQUIDITY RISK IN FINANCIAL MARKETS.

1987年美国的黑色星期一、20世纪90年代日本的股灾、金融机构的不良贷款问题、大公司违约事件的增多等重大金融事件引起了人们的强烈关注，人们开始寻求新的方法来衡量各种金融风险，如市场风险、信用风险、流动性风险、本文首先引入了双曲正弦随机过程这一金融研究中的新概念，并在此基础上提出了一种新的方法来度量流动性风险以外的其他风险。检验真实的市场收益率的正态性假设（分布和/或过程），似乎不能令人信服，尤其不能解释收益率分布的厚尾结构。如果否定正态假设，将对传统金融学研究产生很大的影响。在我们的研究中，在进行HS变换以返回数据之后，我们很快意识到该过程使分布近似正态。利用这个简单的性质，我们证明了它可以度量市场和信用的风险价值（VaR），并且它也适用于胖尾问题和极值理论。接下来，我们考虑了各种方法，如PDE，Fynman-Kac定理和风险中性方法，我们直接应用我们的HS概念来定价欧洲和美国的衍生品，其基础证券回报率为股票/最后，我们将HS过程应用于结构信用模型中，推导出了新的信用风险度量模型。

The big financial topics like the US Black Monday in 1987, and the Japanese stock market crash, the bad-loan problem involving financial institutions, and increasing of big corporate default events in 1990's have strongly come under our notice for new methods to measure the various kind of financial risks such as Market Risk, Credit Risk, Liquidity Risk, and so on. This research is one of the realistic and concrete answers, and we propose the new methods to evaluate and measure those risks except liquidity risk.We first introduce a Hyperbolic Sine (HS) stochastic process, a very new and original concept in financial study. Checking the Normal Hypothesis (distribution and/or process) of returns in the real markets, it seems doubtful to accept the Hypothesis, particularly it cannot explain the fat-tail structure in return distribution. If we deny the normal Hypothesis, it affects a lot to the traditional financial studies that strongly depend on the Hypothesis. In our researches, after taking a HS Transform to return data, we are soon aware that this process makes the distribution approximately normal. Using this simple property, we show the fact that it can measure the market and credit Value at Risk (VaR) and it is also applicable to the fat-tail problem and the extreme value theory.Next we take into account various methods like PDE, the Fynman-Kac theorem, and risk neutral method, and we directly apply our HS concept to price European and American derivatives whose underlying security returns in stock/bond market depend on HS process.Lastly we apply it to the structural credit model and derive our new models to value and measure the credit risks.