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Measuring Financial Risks

衡量财务风险

基本信息

批准号：
11630026
负责人：
KUNITOMO Naoto
金额：
$ 2.05万
依托单位：
Faculty of Economics, University of Tokyo
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
1999
资助国家：
日本
起止时间：
1999 至 2000
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-11630026/
关键词：
Financial Risks Interest Risks Credit Risks Continuous Diffusion Processes Semi-Martingale Processes Statistical Time Series Analysis Contingent Claims

项目摘要

The main purpose of this project was to re-examine the existing statistical methods often used in measuring financial risks in econometric analysis and financial engineering literatures.First we have inverstigated the major probabilistic methods for analyzing financial risks and evaluation of contingent claim prices. They are based on the theory of stochastic processes, the continuous diffusion processes and the semi-martingale processes in particular, and we have investigated their applications including contingent claim valuation methods. In particular we have developed the new asymptotic expansion approach for evaluating complicated contingent claims when the interest rates are stochastic, which is a promising new approach to the contingent claims evaluations in mathematical finance. Also we have investigated the semi-martingale approach to financial problems and examined the existing pricing methods of credit risks. When there are some default risks in the financial market, it coul … More d be incomplete and we have examined the mathematical finance theories of related problems in the incomplete financial market.Second, we have investigated the statistical methods for measuring financial risks including the statistical time series analysis and statistical survival analysis (statistical reliability theory). In particular we have investigated the copulas which is an extension of the correlation coefficient in stattistical analysis and the state space modeling for investigating the financial risks including the interest rates risks.Third, there have been many new results we have obtained under the research efforts of this project on the financial risk measurements. The details of the results under our research project have been reported in domestic as well as international academic meetings and have been (or will be) reported in academic papers listed in this report.In conclusion, we have acomplished the most important objectives of this project. Six members participated in this projectofficially have written many papers and also stimulated a large number of researchers in the related fields and some statisticians in the academic international perspectives We thank The Ministry of Education, Science, Sports and Culture and Japan Society for the Promotion of Science for giving the generous support to our research project. Less

本项目的主要目的是重新审视计量经济学分析和金融工程文献中常用的衡量金融风险的现有统计方法。首先，我们研究了分析金融风险和评估或有债权价格的主要概率方法。它们是基于随机过程、连续扩散过程和半鞅过程的理论，我们研究了它们的应用，包括或有权利要求的估价方法。特别是在利率随机条件下，提出了复杂或有债权评估的渐近展开新方法，为数学金融学中或有债权评估提供了一种有前景的新方法。此外，我们还研究了金融问题的半鞅方法，并考察了现有的信用风险定价方法。当金融市场存在一定的违约风险时，它可能是不完全的，我们考察了不完全金融市场中相关问题的数学金融理论。其次，研究了计量金融风险的统计方法，包括统计时间序列分析和统计生存分析（统计信度理论）。我们特别研究了统计分析中相关系数的扩展，以及用于研究包括利率风险在内的金融风险的状态空间建模。第三，在本项目的研究工作中，我们在财务风险度量方面取得了许多新的成果。我们的研究项目的详细结果已经在国内和国际学术会议上报告，并且已经（或将要）在本报告中列出的学术论文中报告。总之，我们已经完成了这个项目最重要的目标。参与该项目的6名成员正式发表了多篇论文，也在学术国际视野上激励了大量相关领域的研究者和一些统计学家。我们感谢文部科学省和日本科学促进会对我们的研究项目给予的慷慨支持。少