北朝鮮リスクの日本株式市場への影響-AIベースのリスクモデルは何を語るのか？
2017 年 2017 巻 FIN-019 号 p. 24-
詳細
2017 年 2017 巻 FIN-019 号 p. 24-
We analyze Japan equity portfolios for their risk exposures to North Korea geopolitical destabilization effects over the past few months, by using an implementation of the EM algorithm integrated with a GARCH process. The model identifies which latent factors in the Japan equity market relate to North Korea and predicts their risk impact for the near future.
