定期預金のプリペイメント・リスク評価モデル  [in Japanese] Prepayment Valuation Model for Time Deposit  [in Japanese]

This paper constructs a valuation model of prepayment risk in time deposits from a viewpoint of financial institutions. There are two tasks to evaluate such risk; the first is how to estimate the subjective prepayment probability, and the second to calculate the option premium involved in it based on the estimated prepayment probability. For the first task, we apply the Cox proportional hazard model to estimate the prepayment probability. The aim of this model is to obtain the term structure which occurs by own characteristics of the financial product and to take it in the base line hazard function. For the second task, we use the Kijima-Nagayama lattice (1994) in order to calculate the prepayment risk premium by the extened Vasicek model.