{"created":"2023-07-27T07:46:11.363684+00:00","id":20544,"links":{},"metadata":{"_buckets":{"deposit":"a160619f-df55-4809-8d58-2b291555fad2"},"_deposit":{"created_by":20,"id":"20544","owners":[20],"pid":{"revision_id":0,"type":"depid","value":"20544"},"status":"published"},"_oai":{"id":"oai:doshisha.repo.nii.ac.jp:00020544","sets":["4251:8393:8394:8395:8419","8:3372:3812:3836"]},"author_link":["16397","16398","16399","16400","16401"],"control_number":"20544","item_1693811493084":{"attribute_name":"出版タイプ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_1694490770713":{"attribute_name":"権利者情報","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"DA03974933","nameIdentifierScheme":"AID"}],"rightHolderNames":[{"rightHolderLanguage":"ja","rightHolderName":"同志社大学理工学研究所"},{"rightHolderLanguage":"en","rightHolderName":"Science and Engineering Research Institute of Doshisha University"}]}]},"item_1_alternative_title_2":{"attribute_name":"その他（別言語等）のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"新しいダイナミックインプライドコピュラモデルの債務担保証券CDOの市場データへの適用","subitem_alternative_title_language":"ja"}]},"item_1_biblio_info_14":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-04-30","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"1","bibliographicPageEnd":"53","bibliographicPageStart":"46","bibliographicVolumeNumber":"50","bibliographic_titles":[{"bibliographic_title":"同志社大学理工学研究報告","bibliographic_titleLang":"ja"},{"bibliographic_title":"The Science and Engineering Review of Doshisha University","bibliographic_titleLang":"en"}]}]},"item_1_description_12":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"本論文では、新しいダイナミック・インプライド・コピュラ・モデルを提案し、iTraxx EUR データの分析に基づいて我々の新しいモデルの有効性を報告する。CDO (Collateralized Debt Obligation) 価格の情報を得ることができる安藤雅和、津田博史、田野倉葉子、佐藤整尚、北川源四郎(2009)によって提案されたダイナミック・インプライド・コピュラ・モデルと比較して、新しいモデルにより価格推定精度を向上することができる。 主たるアイデアは、刈屋・津田による時間依存型マルコフモデルの概念をダイナミック・インプライド・コピュラ・モデルに応用したことである。 実証分析結果からCDO価格の推定・予測に関して、新しいモデルは良好な結果が得られた。","subitem_description_language":"ja","subitem_description_type":"Abstract"},{"subitem_description":"In this paper, we propose a new dynamic implied copula model and report the usefulness of our new model based on analysis of iTraxx EUR data. We can improve the accuracy of price estimation by our new model compared with the dynamic implied copula model proposed by Ando,M., Tsuda,H., Tanokura,Y., Satou,S., and Kitagawa,G. (2009), which can obtain information for Collateralized Debt Obligation (CDO) prices. Our main idea is to apply the concept of the time dependent Markov model by Kariya,T. and Tsuda,H. to a dynamic implied copula model. From the empirical results, we find useful evidence that our new model performs well for the estimation and prediction of the individual CDO prices.","subitem_description_language":"en","subitem_description_type":"Abstract"}]},"item_1_description_25":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_1_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.14988/pa.2017.0000011676","subitem_identifier_reg_type":"JaLC"}]},"item_1_publisher_15":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"同志社大学理工学研究所","subitem_publisher_language":"ja"}]},"item_1_publisher_16":{"attribute_name":"出版者（英）","attribute_value_mlt":[{"subitem_publisher":"Science and Engineering Research Institute of Doshisha University","subitem_publisher_language":"en"}]},"item_1_relation_24":{"attribute_name":"関連サイト","attribute_value_mlt":[{"subitem_relation_name":[{"subitem_relation_name_language":"ja","subitem_relation_name_text":"掲載刊行物所蔵情報へのリンク ／ Link to Contents"}],"subitem_relation_type":"isFormatOf","subitem_relation_type_id":{"subitem_relation_type_id_text":"https://doors.doshisha.ac.jp/opac/opac_link/bibid/SB00960326/?lang=0","subitem_relation_type_select":"URI"}}]},"item_1_source_id_17":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"00368172","subitem_source_identifier_type":"PISSN"}]},"item_1_source_id_19":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN00165868","subitem_source_identifier_type":"NCID"}]},"item_1_subject_27":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"338.01","subitem_subject_scheme":"NDC"}]},"item_1_text_8":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_language":"ja","subitem_text_value":"津田, 博史 / Department of Mathematical Science, Faculty of Science and Engineering, Doshisha University"},{"subitem_text_language":"ja","subitem_text_value":"安藤, 雅和 / The Institute of Statistical Mathematics, Minatoku, Tokyo"},{"subitem_text_language":"ja","subitem_text_value":"田野倉, 葉子 / The Institute of Statistical Mathematics, Minatoku, Tokyo"},{"subitem_text_language":"ja","subitem_text_value":"佐藤, 整尚 / The Institute of Statistical Mathematics, Minatoku, Tokyo"},{"subitem_text_language":"ja","subitem_text_value":"北川, 源四郎 / The Institute of Statistical Mathematics, Minatoku, Tokyo"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"open access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_abf2"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"津田, 博史","creatorNameLang":"ja"},{"creatorName":"ツダ, ヒロシ","creatorNameLang":"ja-Kana"},{"creatorName":"Tsuda, Hiroshi","creatorNameLang":"en"}],"nameIdentifiers":[{},{},{},{}]},{"creatorNames":[{"creatorName":"安藤, 雅和","creatorNameLang":"ja"},{"creatorName":"アンドウ, マサカズ","creatorNameLang":"ja-Kana"},{"creatorName":"Ando, Masakazu","creatorNameLang":"en"}],"nameIdentifiers":[{},{},{}]},{"creatorNames":[{"creatorName":"田野倉, 葉子","creatorNameLang":"ja"},{"creatorName":"タノクラ, ヨウコ","creatorNameLang":"ja-Kana"},{"creatorName":"Tanokura, Yoko","creatorNameLang":"en"}],"nameIdentifiers":[{},{},{}]},{"creatorNames":[{"creatorName":"佐藤, 整尚","creatorNameLang":"ja"},{"creatorName":"サトウ, セイショウ","creatorNameLang":"ja-Kana"},{"creatorName":"Satou, Seisyo","creatorNameLang":"en"}],"nameIdentifiers":[{},{},{},{}]},{"creatorNames":[{"creatorName":"北川, 源四郎","creatorNameLang":"ja"},{"creatorName":"キタガワ, ゲンシロウ","creatorNameLang":"ja-Kana"},{"creatorName":"Kiatgawa, Genshiro","creatorNameLang":"en"}],"nameIdentifiers":[{},{},{},{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2009-05-25"}],"displaytype":"detail","filename":"023050010006.pdf","filesize":[{"value":"527.2 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"023050010006.pdf","url":"https://doshisha.repo.nii.ac.jp/record/20544/files/023050010006.pdf"},"version_id":"24b1fecf-6540-402d-a7de-3feebf2175c6"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"インプライド・コピュラ","subitem_subject_language":"ja","subitem_subject_scheme":"Other"},{"subitem_subject":"ハザード率","subitem_subject_language":"ja","subitem_subject_scheme":"Other"},{"subitem_subject":"モンテカルロ・フィルター","subitem_subject_language":"ja","subitem_subject_scheme":"Other"},{"subitem_subject":"時間依存型マルコフ・モデル","subitem_subject_language":"ja","subitem_subject_scheme":"Other"},{"subitem_subject":"Implied copula","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Hazard rate","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Monte Carlo filter","subitem_subject_language":"en","subitem_subject_scheme":"Other"},{"subitem_subject":"Time dependent Markov model","subitem_subject_language":"en","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"新しいダイナミック・インプライド・コピュラ・モデルの債務担保証券(CDO)の市場データへの適用","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"新しいダイナミック・インプライド・コピュラ・モデルの債務担保証券(CDO)の市場データへの適用","subitem_title_language":"ja"},{"subitem_title":"アタラシイ ダイナミック インプライド コピュラ モデル ノ サイム タンポ ショウケン CDO ノ シジョウ データ エノ テキヨウ","subitem_title_language":"ja-Kana"},{"subitem_title":"New Dynamic Implied Copula Model with Applications to CDO Market Data","subitem_title_language":"en"}]},"item_type_id":"1","owner":"20","path":["3836","8419"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2009-05-25"},"publish_date":"2009-05-25","publish_status":"0","recid":"20544","relation_version_is_last":true,"title":["新しいダイナミック・インプライド・コピュラ・モデルの債務担保証券(CDO)の市場データへの適用"],"weko_creator_id":"20","weko_shared_id":-1},"updated":"2023-12-05T03:39:00.526202+00:00"}