Organization
Tokyo Tech Academy of Energy and Informatics Professor
Title
Professor
External link
ohashi kazuhiko
Degree
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博士(経営学) ( マサチューセッツ工科大学（米国） )
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Master ( Hitotsubashi University )
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Ph D(Management) ( Massachusetts Institute of Technology (U.S.A) )
Research Interests
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財務管理
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Energy
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Finance
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Commodities
Research Areas
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Humanities & Social Sciences / Money and finance
Education
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Massachusetts Institute of Technology, Sloon School of Management Graduate School, Division of Administration Management (Finance)
1988.9 - 1993.5
Country： United States
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Hitotsubashi University Graduate School of Economics
1986.4 - 1988.3
Country： Japan
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Hitotsubashi University Faculty of Economics
1982.4 - 1986.3
Country： Japan
Research History
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Tokyo Institute of Technology Tokyo Tech Academy of Energy and Informatics Professor
2021.4
Notes：Cross apointment
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Hitotsubashi University Graduate School of Business Administration Department of Business Administration Professor
2018.4
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Hitotsubashi University Graduate School of International Corporate Strategy Professor
2007.4 - 2018.3
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Hitotsubashi University Graduate School of International Corporate Strategy Associate Professor
1999.4 - 2007.3
Country：Japan
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University of Chicago School of Business Visiting Scholar
1999.3 - 2000.1
Country：United States
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Hitotsubashi University Graduate School of Commerce and Management Associate Professor
1998.4 - 1999.3
Country：Japan
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Hitotsubashi University Faculty of Commerce and Management Assistant Professor
1997.4 - 1999.3
Country：Japan
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University of Tsukuba Assistant Professor
1994.4 - 1997.3
Country：Japan
Professional Memberships
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The Econometric Society
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Asian Finance Association
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日本経済学会
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Nippon Finance Association
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American Finance Association
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日本金融・証券計量・工学学会
Papers
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Katja Ignatieva, Kazuhiko Ohashi
Applied Economics 1 - 17 2024.2
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Dynamic Relationship between Volatility Risk Premia of Stock and Oil Returns Reviewed
Nobuhiro Nakamura, Kazuhiko Ohashi, Daisuke Yokouchi
Journal of Risk and Financial Management 17 ( 3 ) 173 - 173 2023.3
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Kazuhiko Ohashi
Journal of Disaster Research 17 ( 2 ) 218 - 229 2022.2
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The Most Basic Missing Instrument in Financial Markets: The Case for Bonds for Financial Security (jointly worked) Reviewed
Arun Muralidhar, Kazuhiko Ohashi, Sunghwan Shin
Journal of Investment Consulting 17 ( 2 ) 34 - 47 2016.12
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Commodity Spread Option with Cointegration Reviewed
Katsushi Nakajima, Kazuhiko Ohashi
Asia-Pacific Financial Markets 23 ( 1 ) 1 - 44 2016.3
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Increasing trends in the excess comovement of commodity prices Reviewed
Kazuhiko Ohashi, Tatsuyoshi Okimoto
Journal of Commodity Markets 1 ( 1 ) 48 - 64 2016.3
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The relative asset pricing model: implications for asset allocation, rebalancing and asset pricing (jointly worked)
Kazuhiko OHASHI, coauthored with Arun Muralidhar, Sunghwan Shi
Journal of Financial Perspectives 3 ( 1 ) 2015.4
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The Relative Asset Pricing Model: Toward a Unified Theory of Asset Pricing (jointly worked) Reviewed
Kazuhiko OHASHI, coauthored with Arun Muralidhar, Sunghwan Shi
Journal of Investment Consulting 15 ( 1 ) 51 - 66 2014.4
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Emission Allowance as a Derivative on Commodity-Spread (jointly worked) Reviewed
Kazuhiko OHASHI, coauthored with, Katsushi NAKAJIMA
Asia-Pacific Financial Markets 40 183 - 217 2013.4
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A cointegrated commodity pricing model Reviewed
Katsushi Nakajima, Kazuhiko Ohashi
JOURNAL OF FUTURES MARKETS 32 ( 11 ) 995 - 1033 2012.11
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"Pricing Summer Days Options by Good-Deal Bounds," (jointly worked) Reviewed
Kazuhiko OHASHI, coauthored with, Takashi KANAMURA
Energy Economics 31 289 - 297 2009.4
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On Transition Probabilities of Regime Switching in Electricity Prices (jointly worked) Reviewed
Kazuhiko OHASHI, coauthored with, Takashi KANAMURA
Energy Economics 30 1158 - 1172 2008.4
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A Structural Model for Electriciy Prices with Spikes: Measurement of Spike Risk and Optimal Policies for Hydropower Plant Operation (jointly worked) Reviewed
Kazuhiko OHASHI, coauthored with, Takashi KANAMURA
Energy Economics 29 1010 - 1032 2007.4
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Security innovation on several assets under asymmetric information Reviewed
Kazuhiko Ohashi
Japanese Economic Review 50 ( 1 ) 75 - 95 1999
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Optimal Futures Innovation in a Dynamic Economy : The Discrete-Time Case Reviewed
大橋 和彦
Journal of Economic Theory 74 ( 2 ) 448 - 465 1997.4
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Endogenous determination of the degree of market-incompleteness in futures innovation Reviewed
Kazuhiko Ohashi
Journal of Economic Theory 65 ( 1 ) 198 - 217 1995
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A NOTE ON THE TERMINAL DATE SECURITY PRICES IN A CONTINUOUS-TIME TRADING MODEL WITH DIVIDENDS Reviewed
K OHASHI
JOURNAL OF MATHEMATICAL ECONOMICS 20 ( 2 ) 219 - 223 1991
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Application of big data and AI to finance Invited
Kazuhiko OHASHI
IMES DISCUSSION PAPER SERIES, Institute for Monetary and Economic Studies, Bank of Japan 39 ( 3 ) 15 - 21 2020.2
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Dynamic Relation between Volatility Risk Premia of Stock and Oil Returns (jointly worked)
Nobuhiro Nakamura, Kazuhiko Ohashi
RIETI (Research Institute of Economy, Trade and Industry) Discussion Paper Series 18-E-027 2018.5
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Finance under negative interest rate policy: Issues and Research Trends Invited
Kazuhiko OHASHI
Institute for Monetary and Economic Studies, Bank of Japan, Discussion Paper Series 2018-J-3 2018.2
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When is a CAT index futures traded and preferred to reinsurance? — Trade-off between basis risk and adverse selection —
Kazuhiko Ohashi
Working Paper Series FS-2017-E-001, Graduate School of International Coreporate Strategy (ICS), Hitotsubashi University 2017.1
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Multiple Lenders, Temporary Debt Restructuring, and Firm Performance: Evidence from contract-level data
Daisuke Miyakawa, Kazuhiko Ohashi
RIETI Discussion Paper Series 16-E-030 2016.4
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50 ( 12 ) 16 - 29 2012.12
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金融危機、金融市場、金融仲介機能に関する研究の潮流 危機がもたらした視点・力点の変化の整理 （共著）
大橋 和彦
日本銀行金融研究所「金融研究」 31 ( 4 ) 41 - 94 2012.4
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On Determinants of Swap Spreads in Japanese ABS Markets (jointly worked)
Kazuhiko OHASHI, coauthored with, Naoto ISAKA
Sophia International Review 33 23 - 60 2011.4
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Detrimental Effects of Retentin Regulation - Incentives of loan screening in securitization under asymmetric information - (jointly worked)
大橋 和彦
IMES DISCUSSION PAPER SERIES 2011-E-17, Bank of Japan 2011.4
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相互関係の考慮とデリバティブ ―商品デリバティブにおける新展開―
大橋 和彦
証券アナリストジャーナル 48 ( 2 ) 33 - 41 2010.2
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Incentives to Issue Low-Quality Securitized Products in the OTD Business Model (jointly worked)
大橋 和彦
IMES DISCUSSION PAPER SERIES 2009-E-26, Bank of Japan 2009.4
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J-REITのリスク・リターン －市場創設後5年間の月次データによる分析－
大橋 和彦
『J-REIT市場の変遷と展望に関する報告書 －J-REIT誕生からの5年間のデータを活用した分析・検討－』 第2章 社団法人不動産証券化協会 J-REIT商品特性研究会 2007.4
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天候デリバティブによる電力会社のリスク管理 （共著）
大橋 和彦
日本商品先物振興協会 「先物取引研究」 第10巻 第１号 No.14 10 ( 1 ) 15 - 40 2006.4
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機関投資家の運用評価と報酬のあり方 （共著）
大橋 和彦
証券アナリストジャーナル 44 ( 1 ) 54 - 63 2006.4
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レジーム・スイッチング・モデルによるJ-REITリターンの分析
大橋 和彦
不動産証券化協会 「ARES」 Vol.18 80 - 90 2005.4
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「電力価格スパイクの構造型モデル - ジャンプリスクの把握と発電設備の最適運用政策への応用 -」 （共著）
大橋和彦
ディスカッションペーパー、ICS 一橋大学（FS-2004-J-05） 2004.5
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プリペイメントに関する情報の非対称性とMBS投資のリスク管理
大橋 和彦
フィナンシャル・レビュー 2004 ( 70 ) 4 - 16 2004.4
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J-REITリターンのイベントスタディー
大橋 和彦
国土交通政策研究 ( 35 ) 2004.4
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When Should a CAT Index Futures be Created?
大橋 和彦
ISER, Osaka Univ. Discussion Paper 576 2003.4
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Contractible Signals and Security Design (jointly worked)
大橋 和彦, co-authored, with Tano Santos, Business School, University of Chicago
Working Paper FS-2003-E-01, Graduate School of International Corporate Strategy, Hitotsubashi University 2003.4
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J-REITのリスク・リターン分析－市場開設から2003年3月までの週次データによる分析－
大橋 和彦
国土交通省 国土交通政策研究所 国土交通政策研究 ( 27 ) 1 - 2 2003.4
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Asset Pricing by Utility Maximization : An Economic Examination of the Esscher Principle
Kazuhiko Ohashi
The Hitotsubashi review 126 ( 4 ) 400 - 418 2001.10
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セキュリティー・デザイン(Security Design)－情報の非対称性の緩和の仕組み－
大橋 和彦
証券アナリストジャーナル 39 ( 12 ) 15 - 25 2001.4
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経済の再活性化と金融市場：PEFと年金基金の役割 （共著）
大橋 和彦, 蜂谷豊彦と
一橋ビジネスレビュー 48 80 - 107 2000.4
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Learing in the Era of Knowledge
Kazuhiko OHASHI
The Hitotsubashi review 119 ( 4 ) 402 - 413 1998.4
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The Costs and Benefits of Main Bank Relations
大橋 和彦
「Working Paper Series, Hitotsubashi University, Faculty of Commerce」 No. 27 1997.4
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Expected-Revenue-Maximizing Pass-Through Securitization under Severe Adverse Selection
大橋 和彦
「Working Paper Series, Hitotsubashi University, Faculty of Commerce」 No. 30 1997.4
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Futures Innovation under Hierarchically Asymmetric Information with Rational Investors
大橋 和彦
「Working Paper Series, Hitotsubashi University, Faculty of Commerce」No. 17 1996.4
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Securities Innovation and Financial System
Kazuhiko OHASHI
Business Review 43 ( 3 ) 67 - 80 1995.4
Books
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「ESGを巡る投資家と企業の行動の関係について」、『日本の金融システム : ポスト世界金融危機の新しい挑戦とリスク』第7章コメント
大橋和彦（ Role： Contributor第7章コメント）
東京大学出版会 2023.9 （ ISBN:9784130461399 ）
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Dynamic Relationship between Volatility Risk Premia of Stock and Oil Returns” in “Commodity Market Finance” edited by Kentaro Iwatsubo
Nobuhiro Nakamura, Kazuhiko Ohashi, Daisuke Yokouchi（ Role： Contributorpp115-124）
MDPI 2023.8 （ ISBN:9783036590295 ）
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MBA Challenge, Finance (jointly worked)
（ Role： Contributor）
2017.3 （ ISBN:9784502217814 ）
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Risk and Liquidity (Translation)
Kazuhiko OHASHI, Masazumi Hattori（ Role： Joint translator）
Toyo Keizai Shimpo Sha 2015.1
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「コモディティ市場と投資戦略」 第8章 （共著）
池尾和人, 大野早苗編著（ Role： Joint author長期的な相互関係を考慮したコモディティ価格モデル）
勁草書房 2014.4
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証券化の知識（第2版）
大橋 和彦（ Role： Sole author）
日本経済新聞出版社 2010.2
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『経済制度の実証分析と設計』 所収 （共著）
大橋和彦, 井坂直人, 斉藤誠との共（ Role： Joint authorABS 発行市場における劣後引受の役割）
勁草書房 2007.4
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「バイアウトファンド」 （共著）
松木伸男, 本多俊毅（ Role： Joint author）
中央経済社 2004.4
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「入門 金融論」 （共著）
池尾和人, 遠藤幸彦, 前多康男, 渡部努（ Role： Joint author第2章担当）
ダイヤモンド社 2004.4
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翻訳：「ファイナンスのための計量分析」 （著者：John Y Campbell, Andrew W. Lo, A. Craig MacKinlay，原本：The Econometrics of Financial Markets）（共訳）
共訳者, 祝迫得夫, 中村信弘, 本多俊毅, 和田賢治（ Role： Joint author）
共立出版 2003.4
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「新世紀の先物市場」第3章
大橋 和彦（ Role： Joint author先物上場の決定、取引量、及び最適性について）
一橋大学商学研研科編、東洋経済新報社 2002.4
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Capital Markets, Banking and Corporate Finance Macmillan Press, 編者：H. Osano and T. Tachibanaki, 担当部分：Chapter 10 (jointly worked)
大橋 和彦（ Role： Joint authorViable Design of a Security with a Pre-existing Market）
- 2001.4
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「証券化の知識」
大橋 和彦（ Role： Sole author）
日経文庫837/A44 日本経済新聞社 2001.4
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「現代経済学の潮流1999年」第3章、大山道弘他編
大橋 和彦（ Role： Joint author証券の創造と情報の非対称性）
- 1999.4
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「変革期の日本の金融市場」第7章 （共著）
大橋 和彦（ Role： Joint author情報の非対称性下におけるパス・スルー証券の創造）
(]G0046[)野直行編 1999.4
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翻訳：「資産価格の理論」（著者：Darrell Duffie, 原本：Dynamic Asset Pricing Theory, Pinceton Press）（共訳）
共訳者, 山崎昭, 桑名陽一, 本多俊毅（ Role： Joint translator）
創文社 1998.4
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翻訳：「ファイナンスハンドブック」 （共訳）
共訳者, 監訳者, 今野浩, 古川浩一を含（ Role： Joint translator担当部分：12章: マーケット・マイクロストラクチャー、23章：情報の非対称性下における資金調達）
朝倉書店 1997.4
Presentations
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Keynote Speech Invited
Kazuhiko Ohashi
2023.11
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Seasonality in the impact of solar power generation on the electricity price level and variability
Kazuhiko Ohashi
2023 Asian Finance Association Annual Meeting 2023.6
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Seasonality in the impact of solar power generation on the electricity price level and variability
Kazuhiko Ohashi
2022 Asian Meeting of the Econometric Society in East and South-East Asia 2022.8
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Structural change in the relationship between electricity and fuel prices: Evidence from the Japanese electricity market
Kazuhiko Ohashi
2022 the 30th Nippon Finance Association Annual Meeting 2022.6
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Seasonality in the impact of solar power generation on the electricity price level and variability Invited
Kazuhiko Ohashi
Keynote lecture, The 1st Energy and Informatics International Forum (Tokyo Institute of Technology, Tokyo, Japan, Online) 2021.12
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Advances in Data Science and Direction of Finance Research Invited
Kazuhiko Ohashi, Toshiaki Watanabe
2021.11
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Perspective on Electricity Derivative Markets Invited
Kazuhiko Ohashi
2021.11
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Detrimental Effects of Retention Regulation: Incentives of loan screening in securitization under asymmetric information International conference
Kazuhiko Ohashi, coauthored with, Masazumi Hattori
2011 Asian Meeting of Econometric Society 2011.8 Econometric Society
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Detrimental Effects of Retention Regulation: Incentives of loan screening in securitization under asymmetric information International conference
Kazuhiko Ohashi, coauthored with, Masazumi Hattori
The 24th Asian Finance Association Annual Meeting 2012.7 Asian Finance Association and Taiwan Finance Association
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Analysing Emission Allowance as a Derivative on Commodity-Spread International conference
Kazuhiko Ohashi, coauthored with, Katsushi Nakajima
2011 FMA Conference 2011.10
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Increasing Trends in the Excess Comovements of Commodity Prices International conference
Kazuhiko Ohashi, coauthored with, Tatsuyoshi Okimoto
2014 FMA Asian Conference 2014.5 Financial Management Association (FMA)
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Increasing Trends in the Excess Comovements of Commodity Prices
Kazuhiko Ohashi, coauthored with, Tatsuyoshi Okimoto
秋田ファイナンス研究会 2014.5
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Multiple Lenders, Temporary Debt Restructuring,and Firm Performance: Evidence from Contract-Level Data International conference
Kazuhiko Ohashi, coauthored with, Daisuke Miyakawa
The 28th Asian Finance Association Annual Meeting 2016.6 Asian Finance Association
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Increasing Trends in the Excess Comovements of Commodity Prices International conference
Kazuhiko Ohashi, coauthored with, Tatsuyoshi Okimoto
The 26th Asian Finance Association Annual Meeting 2014.6 Asian Finance Association
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When is a CAT index futures traded and preferred to reinsurance? — Trade-off between basis risk and adverse selection — Invited International conference
Kazuhiko Ohashi
The 5th International Symposium on Disasters and Human Survivability: Enhancing Resilience to Risks Threatening the Future of Humanity 2016.11 Graduate School of Advanced and Integrated Studies in Human Survivability, University of Kyoto
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Multiple Lenders, Temporary Debt Restructuring,and Firm Performance:Evidence from Contract-Level Data International conference
Kazuhiko Ohashi, coauthored with, Daisuke Miyakawa
The 2016 Asian Meeting of the Econometric Society (AMES2016) 2016.8 Econometric Society
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基調講演 「マイナス金利環境におけるファイナンス：課題と研究の潮流」 Invited
大橋 和彦
日本銀行金融研究所ワークショップ「マイナス金利環境にお けるファイナンス研究の展開」 2017.4 日本銀行金融研究所
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Seasonality in the impact of solar power generation on the electricity price level and volatility International conference
Kazuhiko Ohashi, Nobuhiro Fuke
The 29th Nippon Finance Association Annual Meeting 2021.6 The Nippon Finance Association
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Pricing of Emission Allowance as a Derivative on Commodity-Spread International conference
Kazuhiko Ohashi, coauthored with, Katsushi Nakajima
2011 ANNUAL MEETING OF THE MIDWEST FINANCE ASSOCIATION 2011.3 MIDWEST FINANCE ASSOCIATION
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「Expected-Revenue-Maximizing Pass-Through Securitization under Severe Adverse Selection,JAFEE」
大橋 和彦
日本金融・証券計量・工学学会 1997.12
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Pricing of Emission Allowance as a Derivative on Commodity-Spread International conference
Kazuhiko Ohashi, coauthored with, Katsushi Nakajima
The 23th Asian Finance Association Annual Meeting 2011.7 Asian Finance Association
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Detrimental Effects of Retention Regulation: Incentives of loan screening in securitization under asymmetric information
Kazuhiko Ohashi, coauthored with, Masazumi Hattori
第19回 日本ファイナンス学会年次大会 2011.5 日本ファイナンス学会
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Dynamic Relation between Volatility Risk Premia of Stock and Oil Returns Invited International conference
Kazuhiko Ohashi
AJRC-RIETI workshop on economic and financial analysis of commodity markets 2017.9 Australia-Japan Research Centre, Crawford School of Public Policy, Australian National University
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When is a CAT index futures traded and preferred to reinsurance? — Trade-off between basis risk and adverse selection —
大橋 和彦
第25回日本ファイナンス学会年次大会 2017.6 日本ファイナンス学会
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Non-affine and Non-Reduced Form Approach to Pricing of VIX and VVIX: Quadratic Diffusion Model International conference
大橋 和彦
Non-affine and Non-Reduced Form Approach to Pricing of VIX and VVIX: Quadratic Diffusion Model 2019.7 Asian Finance Association
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Dynamic Relation between Volatility Risk Premia of Stock and Oil Returns
Kazuhiko Ohashi
The 26th Nippon Finance Association Annual Meeting (2018) 2018.6 Nippon Finance Association
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Variance Risk Premium and Predictability of Returns: Quadratic Variance, Self-Exciting jump Models
中村信弘
Nippon Finance Association 2020.6
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基調講演「ビッグデータとAI のファイナンスへの利用」 Invited
大橋 和彦
日本銀行金融研究所ワークショップ「ビッグデータ・AI を活用したリスク計測・分析」 2019.11 日本銀行金融研究所
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Seasonality in the impact of solar power generation on the electricity price level and volatility
Kazuhiko Ohashi, Nobuhiro Fuke
The Japanese Economic Association 2021 Spring Meeting 2021.5 The Japan Economic Association
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Seasonality in the impact of solar power generation on the electricity price level and volatility
Kazuhiko Ohashi, Nobuhiro Fuke
Research group on commodity finance, The Japan Association of Real Options and Strategy 2021.4 Research group on commodity finance, The Japan Association of Real Options and Strategy
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Dynamic Relation between Volatility Risk Premia of Stock and Oil Returns International conference
大橋和彦
The 4th annual J.P. Morgan Center for Commodities (JPMCC) “New Directions in Commodities Research” international symposium 2021.8 The J.P. Morgan Center for Commodities, University of Colorado Denver
Awards
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IMCA(Investment Management Consultants Association)Edward D. Baker III Journal Award Honorable Distinction
2014.3 IMCA(Investment Management Consultants Association) The Relative Asset Pricing Model: Toward a Unified Theory of Asset Pricing
Research Projects
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Global Patterns of Climate Change and the Impact of Extreme Weather Events on Economic Activities and Financial Markets
Grant number：24K00242 2024.4 - 2029.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (B)
Grant amount：\18460000 （ Direct Cost: \14200000 、 Indirect Cost：\4260000 ）
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Impact of solar power generation on electricity prices and their volatility
Grant number：24K04940 2024.4 - 2027.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C)
Grant amount：\4550000 （ Direct Cost: \3500000 、 Indirect Cost：\1050000 ）
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ボラティリティの階層的構造、および高次モーメントリスクと資産価格理論
Grant number：24K00270 2024.4 - 2027.3
日本学術振興会 科学研究費助成事業 基盤研究(B)
大橋 和彦, 本多 俊毅, 中村 信弘
Grant amount：\9750000 （ Direct Cost: \7500000 、 Indirect Cost：\2250000 ）
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経済危機を「自然実験」とした本邦企業による流動性保有の実体的効果の実証分析
Grant number：21H00728 2021.4 - 2024.3
日本学術振興会 科学研究費助成事業 基盤研究(B)
服部 正純, 安田 行宏, 大橋 和彦, 藤谷 涼佑
Grant amount：\17160000 （ Direct Cost: \13200000 、 Indirect Cost：\3960000 ）
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Effects of hierarchical volatility, co-skewness and covariance on asset prices
Grant number：21H00727 2021.4 - 2024.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (B) Grant-in-Aid for Scientific Research (B)
Grant amount：\8970000 （ Direct Cost: \6900000 、 Indirect Cost：\2070000 ）
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高次モーメント（ボラティリティ・スキューネス）を用いた資産価格と投資運用の分析
2018.4 - 2021.3
日本学術振興会 科学研究費助成事業 基盤研究(B)
大橋和彦
Authorship：Principal investigator Grant type：Competitive
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Analysis of Structural Changes in Financial Markets and the Macroeconomy and Asset Allocation
Grant number：25285097 2013.4 - 2016.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (B)
Hayashi Fumio, OHASHI Kazuhiko, HONDA Toshiki
Grant amount：\17420000 （ Direct Cost: \13400000 、 Indirect Cost：\4020000 ）
Before and after the Lehman crisis, there have been notable developments in financial markets. Among them are the introduction of commodity futures indexes and the arrival of the zero-interest rate monetary policy. We empirically analyzed the connection between those developments and the structure of returns for major asset markets and the behavior of macro variables. We do so by utilizing time-series techniques that allow for structural changes in the short and long runs and also a portfolio-choice theory with uncertain parameters. The returns we analyzed are for commodity futures, government bonds, Japanese stocks and stock mutual funds.
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Grant number：22330094 2010.4 - 2013.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Scientific Research (B)
Kazuhiko Ohashi
Authorship：Principal investigator Grant type：Competitive
We analyzed asset prices and returns by incorporating linkages and relations among financial and physical asset markets. More precisely, we investigate theoretically and empirically the return characteristics of crude oil, heating oil, electricity, natural gas, emission allowance, several emerging currencies, interest rates, the global minimum variance portfolio, SRI and stock markets, short- and long-term bonds of several countries, and crude oil and price index of clean energy companies, by explicitly incorporating their interdependencies.
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Grant number：19330068 2007.4 - 2010.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Scientific Research (B)
Kazuhiko Ohashi
Authorship：Principal investigator Grant type：Competitive
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On optimal security design and financial contract
Grant number：17330041 2005.4 - 2007.3
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Scientific Research (B)
Kazuhiko Ohashi
Authorship：Principal investigator Grant type：Competitive
In this research project, we investigate several aspects of optimal security design and financial contract empirically and theoretically. First, using the data of publicly placed Japanese ABSs (asset backed securities), we analyze the effect of adverse selection (i.e., sellers/issuers of ABSs have more precise information than buyers/investors) on swap spreads of the ABSs, and find significantly negative relationship between excess subordination by issuers and swap spreads at the issuance. We also investigate the effect of asymmetric information and design of trading system on stock prices by using the data of stock lending fees in Tokyo Stock Exchange, and show that short-sales constraints reduce the adjustment speed of stock prices to negative information.
Second, we theoretically analyze several problems in risk sharing through security design (optimal risk transfer, optimal consumption, optimal investment policy, and so on) in the setting where agents have stochastic differential utilities (SDU). We show that the optimal policies are characterized as solutions of forward-backward stochastic differential equations (FBSDE) and obtain the necessary and sufficient conditions for optimal policies. We also analyze the case where timing of risk-transfer is uncertain, and investigate risk transfer in the Knightian economy by using the robust utility maximization method proposed by Hansen and Sargent.
In addition, we develop a model to describe stochastic movements of electricity prices and demands, and investigate desirable design of weather derivatives for electricity companies to hedge the risks of uncertain electricity prices and demands. Moreover, as an issue of financial contracting, we survey the relation between fund managers' fee schedule and their incentives, and investigate the relation between capital structures and stock returns to evaluate the benchmark for fund managers' performance measure. -
Managing new type of risks - Electricity, weather, and insurance risks and their derivatives-
Grant number：13430024 2001 - 2002
Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (B)
MIURA Ryozo, HONDA Toshiki, NAKAMURA Nobuhiro, OHASHI Kazuhiko, NAGAYAMA Izumi
Grant amount：\14100000 （ Direct Cost: \14100000 ）
In this research project, we developed basic theories for managing new types of risks such as electricity, weather, and insurance. The main results that we obtained so far are as follows.
The first is the derivation of pricing formula for "Edokko Options." The Edokko Option is a generalization of the alpha-percentile (or quintile) option. This formula gives us the price of an option whose payoff is determined by the frequency that the underlying asset price is less than a certain critical value in a certain period of time. We may apply this formula to price a weather derivatives whose payoff depends on the number of rainy days in a certain period of time e.g., between June 1 and July 31.
The second is the analysis of optimal portfolio strategies in incomplete markets with price jump. Electricity prices sometimes jump, which is called price "spikes" and is an important characteristics of this market. Our second result provides a way to manage such discontinuous "jump" risks. This analysis enables us to calculate the premium of the insurance for such jump risks.
The third is the analysis of liquidity of financial products to trade new (and not well known) risks. Taking CAT insurance futures and reinsurance markets as an example, we analyzed how the asymmetric information about the risks between the seller and the buyers affects the trade of the products. We obtain conditions under which new risks eventually can be traded as securities. -
2000.4 - 2002.3
科学研究費助成事業 奨励研究(A)
大橋
Grant type：Competitive
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1997.4 - 1999.3
科学研究費助成事業 奨励研究（A)
大橋和彦
Authorship：Principal investigator Grant type：Competitive
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1996.4 - 1997.3
科学研究費助成事業 奨励研究(A)
大橋和彦
Authorship：Principal investigator Grant type：Competitive