• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to previous page

The Quantitative Structure in Accounting Data of Japanese Manufacturing Companies and Its Relation to the Risk Management.

Research Project

Project/Area Number 10430029
Research Category

Grant-in-Aid for Scientific Research (B).

Allocation TypeSingle-year Grants
Section一般
Research Field Accounting
Research InstitutionHITOTSUBASHI UNIVERSITY

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)

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)
Project Period (FY) 1998 – 2000
Project Status Completed (Fiscal Year 2000)
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)
KeywordsFinancial 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
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.

Report

(4 results)
  • 2000 Annual Research Report   Final Research Report Summary
  • 1999 Annual Research Report
  • 1998 Annual Research Report
  • Research Products

    (19 results)

All Other

All Publications (19 results)

  • [Publications] Ryozo Miura,Shingo Oue: "Statistical Methodologies for the Market Risk Management"Asia-Pacific Financial Markets. 7. 305-319 (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] 松浦良行: "リスクベースの資本維持と財務会計システム"森田哲彌 編著『簿記と企業会計の新展開』. 235-247 (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] 松浦良行: "BIS規制と有価証券含み益の脆弱性の金融機関への影響"産業経理. 60・3. 50-60 (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] 松浦良行: "リース活動と二つの財務諸表の存在意義"會計. 158・6. 51-66 (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] 中野誠: "企業年金会計におけるABO対PBOの実証研究"企業会計. 52・5. (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] Ryozo Miura,Masahiro Ishii: "A Mathematical Structure of the Firm Value"Hitotsubashi Journal of Commerce and Management. 34・1. 15-49 (1999)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] Ryozo Miura and Shingo Oue: "Statistical Methodologies for the Market Risk Management"Asia-Pacific Financial Markets. vol.7. 305-319 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] Ryozo Miura and Masahiro Ishii: "A Mathematical Structure of the Firm Value"Hitotsubashi Journal of Commerce and Management. vol.34, no.1. 15-49 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2000 Final Research Report Summary
  • [Publications] Ryozo Miura,Shingo Oue: "Statistical Methodologies for the Market Risk Management"Asia-Pacific Financial Markets. 7. 305-319 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] 松浦良行: "リスクベースの資本維持と財務会計システム"森田哲彌 編著『簿記と企業会計の新展開』. 235-247 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] 松浦良行: "BIS規制と有価証券含み益の脆弱性の金融機関への影響"産業経理. 60・3. 50-60 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] 松浦良行: "リース活動と二つの財務諸表の存在意義"會計. 158・6. 51-66 (2000)

    • Related Report
      2000 Annual Research Report
  • [Publications] 松浦 良行: "証券市場におけるリース情報の利用状況"會計. 3月号. (1999)

    • Related Report
      1999 Annual Research Report
  • [Publications] Ryozo Miura,Masahiro Ishii: "A Mathematical Structure of the Firm Value"Hitotsubashi Journal of Commerce and Management. 34・1. 15-49 (1999)

    • Related Report
      1999 Annual Research Report
  • [Publications] 中野 誠: "企業年金会計におけるABO対PBOの実証研究"企業会計. 52・5. (2000)

    • Related Report
      1999 Annual Research Report
  • [Publications] 三浦 良造: "デリバティブの数理"サイエンス社. 112 (2000)

    • Related Report
      1999 Annual Research Report
  • [Publications] 三浦 良造: "バリュー・アット・リスク計測における統計的方法" 一橋論叢. 120・5. 18-41 (1998)

    • Related Report
      1998 Annual Research Report
  • [Publications] 大上 慎吾: "比例ハザードモデルを使った倒産確率推定の問題について" 一橋論叢. 120・5. 101-110 (1998)

    • Related Report
      1998 Annual Research Report
  • [Publications] 中野 誠: "企業価値評価と年金ファクター : P/Lモデルによる実証分析" 企業会計. 50・5. (1998)

    • Related Report
      1998 Annual Research Report

URL: 

Published: 1998-04-01   Modified: 2016-04-21  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi