| Project/Area Number |
13630113
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | CHUO UNIVERSITY (2002-2004)
Takachiho University (2001) |
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Principal Investigator |
TAKAHASHI Toyoharu Chuo University, Faculty of Commerce, Professor, 商学部, 教授 (10211343)
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| Project Period (FY) |
2001 – 2004
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| Project Status |
Completed (Fiscal Year 2004)
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| Budget Amount *help |
¥3,400,000 (Direct Cost: ¥3,400,000)
Fiscal Year 2004: ¥800,000 (Direct Cost: ¥800,000)
Fiscal Year 2003: ¥800,000 (Direct Cost: ¥800,000)
Fiscal Year 2002: ¥800,000 (Direct Cost: ¥800,000)
Fiscal Year 2001: ¥1,000,000 (Direct Cost: ¥1,000,000)
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| Keywords | risk management / loan / loan examination / credit rating / credit risk / corporate bond / LIBOR spread |
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| Research Abstract |
New regulations for the capital requirement for market risk imposed by the Bank for International Settlements (BIS) in 1993 made great strides in developing and testing Value at Risk (VaR) methodologies. Since then, numerous financial institutions made an effort to search of alternative "internal model" approaches to measuring the credit risk of a loan or portfolio of loans. This has led to a raging debate over whether internal models can replace regulatory models, and which areas of credit risk measurement and management are most amenable to internal models. Until now, much of this interesting debate, however, has been focused mainly on marketable instruments, rather than loans and loan portfolios.
These recent development caused great gap between traditional credit risk measurement mainly used by practitioners for the loan examination, and new internal approach. Our research contains:
1. investigating the credit risk measurement approach include:
・Credit rating approach
・Credit scoring approach
・Value at Risk approach
・Option approach (applying option pricing theory on loans and bonds)
2. integrating cash flow valuation model and credit risk
3. applying asset swap concept and measuring LIBOR spread
We can find lower credit rating widen LIBOR spread volatility in Japanese government and corporate bond market This may indicate simple credit rating approach or credit scoring approach on loan examination cause riskier loan portfolio to financial institutions.
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