| Project/Area Number |
10430029
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| Research Category |
Grant-in-Aid for Scientific Research (B).
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Accounting
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| Research Institution | HITOTSUBASHI UNIVERSITY |
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Principal Investigator |
MIURA Ryozo Hitotsubashi University, Graduate School of International Corporate Strategy, Professor, 大学院・国際企業戦略研究科, 教授 (30107081)
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| Co-Investigator(Kenkyū-buntansha) |
MATSUURA Yoshiyuki Yamaguchi University, Faculty of Economics, Associate Professor, 経済学部, 助教授 (70274149)
OUE Shingo Hitotsubashi University, Graduate School of International Corporate Strategy, Associate Professor, 大学院・国際企業戦略研究科, 助教授 (90272765)
HACHIYA Toyohiko Tokyo Institute of Technology, Graduate School of Decision Science and Technology, Associate Professor, 社会理工学研究科, 助教授 (00251645)
NAKANO Makoto Yokohama City University, Faculty of Economics and Business Administration, Associate Professor, 商学部, 助教授 (00275017)
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| Project Period (FY) |
1998 – 2000
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| Project Status |
Completed (Fiscal Year 2000)
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| Budget Amount *help |
¥10,300,000 (Direct Cost: ¥10,300,000)
Fiscal Year 2000: ¥1,000,000 (Direct Cost: ¥1,000,000)
Fiscal Year 1999: ¥3,500,000 (Direct Cost: ¥3,500,000)
Fiscal Year 1998: ¥5,800,000 (Direct Cost: ¥5,800,000)
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| Keywords | Financial prototype / Market risk / Credit Risk / Indirect approach / Risk management / 企業価値 / 倒産確立 / オプション・アプローチ / 倒産確率 |
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| Research Abstract |
This research is aimed at revealing the risk structure of Japanese manufacturing companies on the basis of their accounting information.
The research is devided into the following two parts : 1. conducting empirical studies on Japanese companies data, and 2. developing the risk measurement model and applying it on data. The results of 1 are incorporated in 2 as a reasoning for explanatory variable selection.
Instead of describing the relationship between the markets and a company's financial status explicitly, we adopted the "indirect approach". That is, the relationship between the markets and the fiancial status is captured through the inter-dependent structure of observable explanatory variables or risk factors. The inter-dependent structure is in fact modeled as stochastic dependance. Since classical variance-covariance approach is insufficient to describe the complex inter-dependent structure, a local linear approximation was conducted. Using Copulas is another possible approach for future research.
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