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

该项目的主要目的是重新检查经济分析和金融工程文献中经常使用的现有统计方法。首先，我们已经对分析财务风险和评估或有索赔价格评估的主要有问题方法。它们基于随机过程的理论，连续的扩散过程和半木星过程，我们研究了他们的应用程序，包括出现的索赔价值方法。特别是，我们开发了一种新的不对称扩展方法来评估利率随机率时的复杂偶然性主张，这是对数学金融中有意的索赔评估的新方法。另外，我们还研究了用于财务问题的半马丁纳尔方法，并研究了现有的信用风险定价方法。当金融市场中存在一些违约风险时，它要求……更多的D不完整，我们已经检查了不完整的金融市场中相关问题的数学财务理论。第二，我们研究了衡量金融风险的统计方法，包括统计时间序列分析和统计可靠性分析（统计可靠性分析）。特别是我们已经调查了Copulas，这是统计分析中的相关系数的扩展以及调查包括利率风险在内的财务风险的状态空间建模。第三，在该项目的研究工作中，我们已经在财务风险衡量方面获得了许多新的结果。我们的研究项目下的结果的细节已在国内和国际学术会议上报告，并已在本报告中列出的学术论文中进行了报道。总而言之，我们已经实现了该项目最重要的目标。六名成员参与了这一投影，撰写了许多论文，并且在学术国际观点中刺激了许多相关领域的研究人员，一些统计学家在国际观点中，我们感谢教育，科学，体育和文化和日本科学促进社会为我们的研究项目提供慷慨的支持。较少的