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相関係数の変動性を考慮した、信用リスク管理方法について —相関係数をランダム行列化したガウシアンコピュラモデルの提案(1)(2)—
https://doi.org/10.34577/00004030
https://doi.org/10.34577/0000403015f0d086-675c-4866-b6e1-dd642f51cb90
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
相関係数の変動性を考慮した、信用リスク管理方法について —相関係数をランダム行列化したガウシアンコピュラモデルの提案(1)(2)— (1.6 MB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2016-04-14 | |||||
| タイトル | ||||||
| タイトル | 相関係数の変動性を考慮した、信用リスク管理方法について —相関係数をランダム行列化したガウシアンコピュラモデルの提案(1)(2)— | |||||
| 言語 | ja | |||||
| タイトル | ||||||
| タイトル | A New Framework for Credit Risk Management with the Randomness of Correlation Matrix | |||||
| 言語 | en | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | departmental bulletin paper | |||||
| ID登録 | ||||||
| ID登録 | 10.34577/00004030 | |||||
| ID登録タイプ | JaLC | |||||
| アクセス権 | ||||||
| アクセス権 | open access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||
| 著者 |
金子, 拓也
× 金子, 拓也 |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | In this paper, the author proposes a new approach for credit risk management by applying standard method. As a matter of fact, almost all financial institutions in Japan are using standard method which is called as Gaussian copula for their credit risk management. They estimate losses from their credit portfolio under the stressed economic scenario and confirm that the losses are able to be covered by their own capital margin. Especially after Lehman crisis in September 2008, many researchers have been pointing out insufficiency of the standard method and started to propose new approaches because losses based on standard were not enough conservative. Common points in these approaches are their utilizing fattail distributions so as to let the correlations between assets work effectively for having satisfactory number of simultaneous defaults. They are t-copula, Gumbelcopula, Clayton-copula, and so on. The new approach in this paper is completely different from these in terms of following points. Firstly, it considers randomness of correlations in view of actual market fluctuations. Secondly, it can be regarded as an improved version of standard method to preserve its tractability, transparency, and simpleness, which are strongly recommended in the current Basel committee reports. Thirdly, the new approach can output reasonable losses with concise system. In this paper, the author explains the theoretical aspects of this approach and the results from numerical experiments with actual financial market data. |
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| 言語 | en | |||||
| 書誌情報 |
ja : 社会科学ジャーナル 号 81, p. 17-28, 発行日 2016-03-31 |
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| 出版者 | ||||||
| 出版者 | 国際基督教大学 | |||||
| 言語 | ja | |||||
| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 04542134 | |||||
