京都大学 / 新制・課程博士 / 博士(理学) / 甲第25092号 / 理博第4999号 / 新制||理||1714(附属図書館) / 京都大学大学院理学研究科数学・数理解析専攻 / (主査)教授 池田 保, 教授 市野 篤史, 准教授 伊藤 哲史 / 学位規則第4条第1項該当 / Doctor of Agricultural Science / Kyoto University / DFAM

Let V( ) denote a local system of weight on X = A2;n(C), where X is the moduli space of principle polarized abelian varieties of genus 2 over C with xed n-level structure. The inner cohomology of X with coe cients in V( ), H3 ! (X;V( )), has a Hodge ltration of weight 3. Each term of this Hodge ltration can be presented as space of cuspidal automorphic representations of genus 2. We consider the purely non-holomorphic part of H3 ! (X;V( )) denoted by H3 Ends(X;V( )). First of all we show that there is a non-zero subspace of H3 Ends(X;V( )) denoted by V (K), where K is an open compact subgroup of GSp(4;A), such that elements of V (K) are obtained by the global theta lifting of cuspidal automorphic representations of GL(2) GL(2)=Gm. This means that there is a non-zero part of H3 Ends(X;V( )) which is endoscopic. Secondly, we consider the local theta correspondence and nd an explicit answer for the level of lifted cuspidal automorphic representations to GSp(4; F) over a non-archimedean local eld F. Therefore, we can present an explicit way for nding a basis for V (K) for a xed level structure K. ii There is a part of the Hodge structure that only contributes in H(3;0) ! (X;V( )) H(0;3) ! (X;V( )). This part is endoscopic and coming from the Yoshida lift from O(4). Finally, in the case X = A2, if eendo(A2;V( )) denotes the motive corresponded to the strict endoscopic part (the part that contributes only in non-holomorphic terms of the Hodge ltration), then we have eendo(A2;V( )) = s 1+ 2+4S[ 1 2 + 2]L 2+1; (1) where = ( 1; 2) and is far from walls. Here S[k] denotes the motive corresponded to Sk, the space of cuspidal automorphic forms of weight k and trivial level, and sk = dim(Sk). ii

Let V( ) denote a local system of weight on X = A2;n(C), where X is the moduli space of principle polarized abelian varieties of genus 2 over C with xed n-level structure. The inner cohomology of X with coe cients in V( ), H3 ! (X;V( )), has a Hodge ltration of weight 3. Each term of this Hodge ltration can be presented as space of cuspidal automorphic representations of genus 2. We consider the purely non-holomorphic part of H3 ! (X;V( )) denoted by H3 Ends(X;V( )). First of all we show that there is a non-zero subspace of H3 Ends(X;V( )) denoted by V (K), where K is an open compact subgroup of GSp(4;A), such that elements of V (K) are obtained by the global theta lifting of cuspidal automorphic representations of GL(2) GL(2)=Gm. This means that there is a non-zero part of H3 Ends(X;V( )) which is endoscopic. Secondly, we consider the local theta correspondence and nd an explicit answer for the level of lifted cuspidal automorphic representations to GSp(4; F) over a non-archimedean local eld F. Therefore, we can present an explicit way for nding a basis for V (K) for a xed level structure K. ii There is a part of the Hodge structure that only contributes in H(3;0) ! (X;V( )) H(0;3) ! (X;V( )). This part is endoscopic and coming from the Yoshida lift from O(4). Finally, in the case X = A2, if eendo(A2;V( )) denotes the motive corresponded to the strict endoscopic part (the part that contributes only in non-holomorphic terms of the Hodge ltration), then we have eendo(A2;V( )) = s 1+ 2+4S[ 1 2 + 2]L 2+1; (1) where = ( 1; 2) and is far from walls. Here S[k] denotes the motive corresponded to Sk, the space of cuspidal automorphic forms of weight k and trivial level, and sk = dim(Sk). ii

Neste trabalho estudamos o célebre Teorema de Klaus F. Roth para aproximações diofantinas, também conhecido como Teorema de Thue-Siegel-Roth. Nossos objetivos consistem em fazer um estudo abrangente da evolução do problema, que se iniciou com um resultado de Liouville em 1844, e chegar à completa compreensão das ideias e das técnicas utilizadas na demonstração do Teorema de Roth. / In this work we study the celebrated Klaus F. Roth\'s Theorem in Diophantine approximations, also known as the Thue-Siegel-Roth Theorem. Our goals are to make a comprehensive study of the evolution of the problem that started with a result of Liouville in 1844 and achieve full understanding of ideas and techniques used in the proof of the Roth\'s Theorem.

Teilw. zugl.: New York, University, Diss., 1986.

Neste trabalho estudamos o célebre Teorema de Klaus F. Roth para aproximações diofantinas, também conhecido como Teorema de Thue-Siegel-Roth. Nossos objetivos consistem em fazer um estudo abrangente da evolução do problema, que se iniciou com um resultado de Liouville em 1844, e chegar à completa compreensão das ideias e das técnicas utilizadas na demonstração do Teorema de Roth. / In this work we study the celebrated Klaus F. Roth\'s Theorem in Diophantine approximations, also known as the Thue-Siegel-Roth Theorem. Our goals are to make a comprehensive study of the evolution of the problem that started with a result of Liouville in 1844 and achieve full understanding of ideas and techniques used in the proof of the Roth\'s Theorem.

It always exists different methods/models to build a yield curve from a set of observed market rates even when the curve completely reproduces the price of the given instruments. To create an accurate and smooth interest rate curve has been a challenging all the time. The purpose of this thesis is to use the real market data to construct the yield curves by the bootstrapping method and the Smith Wilson model in order to observe and compare the performance ability between the models. Furthermore, the extended Nelson Siegel model is introduced without implementation. Instead of implementation I compare the ENS model and the traditional bootstrapping method from a more theoretical perspective in order to perceive the performance capabilities of them.

Dans cette thèse, nous étudions la mauvaise réduction de variétés de Shimura. Plus précisément, nous construisons un modèle local des schémas de Hilbert-Siegel de niveau Г₁(p) sur Spec Zq lorsque p est non-ramifié dans le corps totalement réel, où q est le cardinal résiduel au-dessus de p. Notre outil principal est une variante sur le petit topos de Zariski du complexe de Lie anneau-équivariant Aℓv_G défini par Illusie dans sa thèse, où A est un anneau commutatif et G est un schéma en A-modules.Nous montrons aussi une compatibilité entre le complexe de Lie de G équivariant par l’anneau A, et celui équivariant par le monoïde multiplicatif sous-jacent de A.Ce complexe nous permet de calculer le complexe de Lie Fq-équivariant d’un schéma en groupes de Raynaud, donc de relier le modèle entier et le modèle local. / In this thesis, we study the bad reduction of Shimura varieties. More precisely, we construct a local model of Hilbert-Siegel moduli schemes in level Г₁(p) over Spec Zq when p is unramified in the totally real field, where q is the residue cardinality over p. Our main tool is a variant over the small Zariski topos of the ring-equivariant Lie complex Aℓv_G defined by Illusie in his thesis, where A is a commutative ringand G is a scheme of A-modules. We also prove a compatibility result between thering-equivariant Lie complex and the Lie complex equivariant by the multiplicative monoid underlying this ring. With this complex, we calculate the Fq-equivariant Lie complex of a Raynaud group scheme, then relate the integral model and the local model.

For a long time, being able to model and mitigate financial risk has been a key success factor for institutions. Apart from an internal incentive, legal and regulatory requirements continue to develop which increases the need for extensive internal risk control. Interest rate risk in the banking book ("IRRBB") alludes to the cur- rent or prospective risk to the bank’s earnings and capital emerging from adverse movements in interest rates that influence the bank’s banking book positions. When interest rates change, the value but also the timing of future cash flows are affected. Thus, the underlying value of a bank’s liabilities and assets and other off-balance sheet items change as a consequence, and therefore its economic value. In 2004, the Basel Committee on Banking Supervision published a paper Principles for the Management and Supervision of Interest Rate Risk which later lead the European Banking Authority ("EBA") to publish a renewed framework in 2016. In December 2021, the EBA published a draft of an updated version of this framework. This paper investigates how banks and risk managers should model IRRBB under these new guidelines. This is achieved by constructing an IRRBB model which is then evaluated to see whether the IRRBB framework provided by the EBA is adequate and comprehensive. The IRRBB model by the EBA is fundamentally constructed by creating six different shock scenarios where the yield curve is stressed (parallel- , short rate-, and long rate shifts). Thereafter, one measures risk by investigating how these shifts affect the bank’s or financial institutions’ economic value and net interest income. In this paper, additional stressed scenarios were produced through Principal Component Analysis and Monte Carlo Simulations. This paper found that the framework by the EBA is adequate and formulates good methods. However, the framework is not fully standardized and comprehensive, and some computations and methods are left for the institution to decide. This is most likely due to the uniqueness of each institution and that it is hard to formulate methods that are pertinent for all. A more complete, standardized framework would however be advantageous for, on the one hand, governing agencies which would benefit from decreasing the number of resources needed when supervising institutions’ internal models. On the other, institutions would benefit from decreasing the probability of potentially overlooking some risk. Furthermore, this would help companies de- crease their capital requirement, which is desirable. / Att modellera och minska finansiella risker har under lång tid varit en nyckelfaktor för företags framgång. Förutom interna incitament fortsätter regulatoriska krav att utvecklas vilket ökar behovet av omfattande intern riskkontroll. Ränterisk i bankbo- ken ("IRRBB") anspelar på den nuvarande eller framtida risken till bankens intäkter och kapital som kommer från ogynnsamma rörelser i räntor som påverka bankens positioner i bankboken. När räntorna förändras påverkas värdet men också tid- punkten för framtida kassaflöden. Således förändras det underliggande värdet av en banks skulder och tillgångar och andra poster utanför balansräkningen som en konsekvens, och därmed dess ekonomiska värde. 2004 publicerade Basel Commit- tee on Banking Supervision ("BCBS") ett dokument Principles for Management and Supervision of Interest Rate Risk som senare ledde till att European Banking Authority ("EBA") publicerade ett förnyat ramverk 2016. I december 2021 publicerade EBA ett utkast till en uppdaterad version av detta ramverk. Denna rapport undersöker hur banker och riskhanterare bör modellera IRRBB i enlighet med dessa nya riktlinjer. Detta uppnås genom att konstruera en IRRBB-modell som sedan utvärderas för att se om det IRRBB-ramverk som tillhandahålls av EBA är adekvat och heltäckande. IRRBB-modellen av EBA är i grunden konstruerad genom att skapa sex olika chockscenarier där avkastningskurvan är stressad (parallell-, kort- och långränteskiften). Därefter mäts risk genom att undersöka hur dessa förskjutningar påverkar bankens eller finansiella institutioners ekonomiska värde och ränteinkomstnetto. I detta dokument har ytterligare stressade scenarier tagits fram genom Principalkomponentanalys och Monte Carlo Simuleringar. Detta dokument fann att EBA:s ramverk är adekvat och formulerar bra metoder. Ramverket är dock inte helt standardiserat och heltäckande och vissa beräkningar och metoder lämnas åt företagen att bestämma. Detta beror med största sannolikhet på varje institutions unika karaktär och att det är svårt att formulera metoder som är relevanta för alla. Ett mer komplett, standardiserat ramverk skulle dock vara fördelaktigt för å ena sidan styrande myndigheter som skulle gynnas av att minska mängden resurser som behövs när de övervakar institutionernas interna modeller. Å andra sidan skulle företag dra fördel av att att minska sannolikheten för att eventuellt förbise vissa risker. Dessutom skulle detta hjälpa företag att minska sitt kapitalkrav, vilket är önskvärt.

無 / Existing literature has shown that force of mortality has amazing resemblance of interest rate. It is then tempting to extend existing model of interest rate model context to mortality modeling. We apply the model in Diebold and Li (2006) and other models that belong to family of yield rate model originally proposed by Nelson and Siegel (1987) to forecast (force of) mortality term structure. The fitting performance of extended Nelson-Siegel model is comparable to the benchmark Lee-Carter model. While forecasting performance is no better than Lee-Carter model in younger ages, it is at the same level in elder ages. The forecasting performance increases for 5-year ahead forecast is better than 1-year ahead comparing to Lee-Carter forecast. In the end, the forecast outperforms Lee-Carter model when age dimension is trimmed to age 20-100.