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

另类投资组合的财务风险管理研究

• 批准号: 21241040
• 负责人: KIJIMA Masaaki
• 金额: $ 29.79万
• 依托单位: Tokyo Metropolitan University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (A)
• 财政年份: 2009
• 资助国家: 日本
• 起止时间: 2009-04-01 至 2014-03-31
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-21241040/
• 关键词: ファイナンス; 金融リスク管理; 代替投資; ポートフォリオ効果; 市場分析; システム工学; 確率論; リスク管理; 金融工学; リアルオプション

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.

在这个项目中，我们研究了各种基础研究，用于对不仅由传统资产类别和替代类别组成的投资组合的财务风险管理。我们为每个资产类别获得许多结果。其中一些是在随机波动率模型下的定价衍生品的高度精确近似方法的开发，这是一种可拖动的多曲线模型，用于定价Interst-Interst速率，新的定价模型，用于CDO和RMB等秘密的秘密模型，以及各种企业价值模型考虑公司的投资行动和不对称信息。我们提出了投资组合的新风险评估模型；低利率环境和信用风险评估模型（包括市场刺激的压力事件）下的利率风险评估模型。我们还获得了一些重要的结果来分析市场微观结构，并通过动态宏观经济模型对日本市场产生了一些影响。

项目成果

Market structure and R&D investment spillovers

• DOI: 10.1016/j.econmod.2014.08.014
• 发表时间: 2014-12
• 期刊: Economic Modelling
• 影响因子: 4.7
• 作者: T. Shibata

Existence of a pure strategy equilibrium in finite symmetric games where payoff functions are integrally concave

• DOI: 10.1016/j.dam.2013.12.005
• 发表时间: 2014-03
• 期刊: Discret. Appl. Math.
• 作者: Takuya Iimura;Takahiro Watanabe

An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options

• DOI: 10.1080/1350486x.2013.812855
• 发表时间: 2014-01
• 期刊: Applied Mathematical Finance
• 作者: Hideharu Funahashi;M. Kijima

Decomposing total risk of a portfolio into the contributions of individual assets

将投资组合的总风险分解为单个资产的贡献

• 发表时间: 2009
• 作者: Muromachi;Y.
• 通讯作者: Y.

Existence of equilibria in Markov games with strategic complementarities for finite actions

马尔可夫博弈中存在有限行动的具有战略互补性的均衡

• 发表时间: 2009
• 作者: Watanabe;T.
• 通讯作者: T.