On the Joint Modelling of Financial Assets

论金融资产的联合建模

• 批准号: RGPIN-2018-04337
• 负责人: Bégin, JeanFrançois
• 金额: $ 1.53万
• 依托单位: Simon Fraser University
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2022
• 资助国家: 加拿大
• 起止时间: 2022-01-01 至 2023-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=765744
• 关键词: Joint; Modelling; Financial; Assets

In the investment world, financial derivatives are contracts that derive their values from the performance of an underlying asset (e.g. stock, bond, currency). Their number has increased dramatically in recent years. In theory, the price of these derivativesor optionscontains a great deal of information about the underlying risks in financial markets.One could draw a parallel between the price of these financial securities and the premium of a car insurance policy. It would be possible, in theory, to “reverse engineer” the car insurance premium to isolate the underlying risk of the insurance policythe likelihood of having an accident, for instance. This could be used, in addition to the information about the actual car accidents, to gain a better understanding about the underlying risk and the insurer's perception of risk. The same rationale could be applied to financial derivatives to recover the investor's perception of risk. Ideally, the two sources of informationboth underlying and derivative asset pricesshould be combined because information about the stochastic properties of an asset's price is contained both in the history of the price series and the price of any option written on it. This information is also non-redundant: time series of underlying asset values are backward-looking and involve past information, whereas derivatives are forward-looking and contain clues about the market's future expectations. Combining these two sources of information requires flexible modelling and the development of novel statistical tools. The overarching goal of the proposed research program is to develop new methodology that bridges the information of these complementary datasets. These methods will yield precise parameter estimates, accurate assessment of the unobservable factors (e.g. instantaneous volatility, jump intensity), and, ergo, a better understanding of the financial risks borne by Canadian individuals and entities. More specifically, this holistic view of the financial information available requires the design of unified modelling frameworks as well as the development of new statistical methodology that allows the user to include various sources of information to give a more accurate estimation of financial risk. Over the next five years, this research program will focus on three short-term objectives to assess the risks pertaining to (1) stock indexes, (2) firms' financial health and (3) economic variables.The anticipated outcomes of this work are practical methods to be used by practitioners and academics in a wide range of fields in natural sciences and engineering; i.e. actuaries, financiers, engineers, etc. Indeed, any situations that require parameter estimation using different sources of complementary informationand in the presence of unobserved factorswould benefit from the outcomes of this research program.

在投资领域，金融衍生品是从标的资产（例如股票、债券、货币）的表现中获取其价值的合约。近年来，他们的数量急剧增加。理论上，这些衍生品或期权的价格包含有关金融市场潜在风险的大量信息。人们可以将这些金融证券的价格与汽车保险保单的保费进行类比。理论上，可以对汽车保险费进行“逆向工程”，以隔离保险单的潜在风险，例如发生事故的可能性。除了有关实际车祸的信息之外，还可以使用此信息来更好地了解潜在风险和保险公司对风险的看法。同样的原理也适用于金融衍生品，以恢复投资者的风险感知。理想情况下，标的资产价格和衍生资产价格这两个信息源应该结合起来，因为有关资产价格随机属性的信息既包含在价格系列的历史记录中，也包含在其上的任何期权的价格中。这些信息也是非冗余的：标的资产价值的时间序列是向后看的，涉及过去的信息，而衍生品是前瞻性的，包含有关市场未来预期的线索。将这两种信息源结合起来需要灵活的建模和新型统计工具的开发。拟议研究计划的总体目标是开发新的方法来连接这些补充数据集的信息。这些方法将产生精确的参数估计、对不可观察因素（例如瞬时波动性、跳跃强度）的准确评估，从而更好地了解加拿大个人和实体所承担的金融风险。更具体地说，这种可用财务信息的整体视图需要设计统一的建模框架以及开发新的统计方法，使用户能够包含各种信息源，以更准确地估计财务风险。在未来五年中，该研究计划将重点关注三个短期目标，以评估与（1）股票指数、（2）公司财务健康状况和（3）经济变量相关的风险。这项工作的预期成果是自然科学和工程广泛领域的从业者和学者可以使用的实用方法；即精算师、金融家、工程师等。事实上，任何需要使用不同来源的补充信息并在存在未观察到的因素的情况下进行参数估计的情况都将从该研究计划的结果中受益。