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

Credit Risk Estimation and Model Validation of Small Companies

Research Project

Project/Area Number 14530122
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionThe Institute of Statistics Mathematics

Principal Investigator

YAMASHITA Satoshi  The Institute of Statistics Mathematics, Associate Professor, 統計科学情報センター, 助教授 (50244108)

Project Period (FY) 2002 – 2004
Project Status Completed (Fiscal Year 2004)
Budget Amount *help
¥2,600,000 (Direct Cost: ¥2,600,000)
Fiscal Year 2004: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 2003: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 2002: ¥1,400,000 (Direct Cost: ¥1,400,000)
Keywordscredit risk / small company / BIS regulation / loss given default / デフォルト時損失率 / LGD / 不良債権 / ロジットモデル / LISRELモデル / 潜在変数 / セグメント
Research Abstract

In this study, we develop models which estimate the credit risk coefficient and the loss given default of small companies using actual credit database. We solve some problems in order to apply statistical process model called the reduced form model to credit data instead of statistical models. The conclusion of this study contribute that Bank of International Settlement and Japanese Financial Service Agency establish the financial trading rules.
The contribution is as follows,
1. Development of credit risk coefficient model
Credit risk coefficient is needs to estimate to risk of credit portfolio. Up to this day, estimating the efficient is difficult by statistical models. In this study, we solve the difficulties to use reduced form model to statistical process and bond market data.
2. Development of loss given default model
Credit risk is broken down the probability of default (PD) and the loss given default (LGD). Many kinds of models to estimate the PD exists. However, there was no practical LGD model because of lack of LGD database in Japan. We submit new type LGD model which doesn't take the LGD database. This model makes estimating LGD a real possibility.

Report

(4 results)
  • 2004 Annual Research Report   Final Research Report Summary
  • 2003 Annual Research Report
  • 2002 Annual Research Report
  • Research Products

    (16 results)

All 2004 2003 2002 Other

All Journal Article (11 results) Publications (5 results)

  • [Journal Article] 関数データ解析の枠組みを利用した信用リスク評価モデル2004

    • Author(s)
      安道知寛, 山下智志
    • Journal Title

      ISM Research Memorandum 905

      Pages: 1-17

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] Credit risk evaluation models accounting the time dependence of financial ratios and its application to bankruptcy prediction2004

    • Author(s)
      安道知寛, 山下智志
    • Journal Title

      金融庁ディスカッションペーパー 15

      Pages: 1-57

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] Reduced Formアプローチを用いたPD・LGD同時推定2004

    • Author(s)
      山下智志, 木原隆夫
    • Journal Title

      ISM Research Memorandum 911

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] デフォルト相関係数のインプライド推計2004

    • Author(s)
      山下智志, 敦賀智裕
    • Journal Title

      FSA Research Review 1

      Pages: 62-81

    • NAID

      40007453848

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Annual Research Report 2004 Final Research Report Summary
  • [Journal Article] Credit risk evaluation models accounting the time dependence of financial ratios and its application to bankruptcy prediction2004

    • Author(s)
      Ando, Tomohiro, Yamashita, Satoshi
    • Journal Title

      Financial Research and Training Center Discussion Paper Series Vol.15

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Simulaneous estimation of implied PD and LDG2004

    • Author(s)
      Yamashita Satoshi, Kihara Takao
    • Journal Title

      ISM Research Memorandum No.911

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Credit risk evaluation models using functional data analysis framework2004

    • Author(s)
      Ando, Tomohiro, Yamashita, Satoshi
    • Journal Title

      ISM Research Memorandum

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Implied correlation of credit default2004

    • Author(s)
      Yamashita Satoshi, Turuga Tomohiro
    • Journal Title

      FSA Research Review Vol.1

      Pages: 62-81

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 信用リスクモデルの評価方法に関する考察と比較2003

    • Author(s)
      山下智志, 敦賀智裕, 川口昇
    • Journal Title

      金融庁ディスカッションペーパー 11

      Pages: 1-57

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Statistical credit risk model for huge size database2003

    • Author(s)
      Yamashita Satoshi, Turuga Tomohiro, Kawaguti Noboru
    • Journal Title

      Financial Research and Training Center Discussion Paper Series Vol.3

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 大規模データによる倒産確率の推定2002

    • Author(s)
      高橋久尚, 山下智志
    • Journal Title

      統計数理 50-2

      Pages: 241-258

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Publications] 山下智志, 木原隆夫: "Simultaneous estimation of implied PD and LGD"ISM Research Memorandum. 911. 1-17 (2004)

    • Related Report
      2003 Annual Research Report
  • [Publications] 山下智志, 敦賀智裕, 川口昇: "信用リスクモデルの評価方法に関する考察と比較"金融庁ディスカッションペーパー. 11. 1-57 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 高橋久尚, 山下智志: "大規模データによる倒産確率の推定"統計数理. 50-2. 241-258 (2002)

    • Related Report
      2002 Annual Research Report
  • [Publications] 山下智志, 川口昇: "大規模データベースを用いた信用リスク計測の問題点と対策"金融庁ディスカッションペーパー. 3. 1-44 (2003)

    • Related Report
      2002 Annual Research Report
  • [Publications] 山下智志, 川口昇: "信用リスクモデルの評価指標と評価方法に関する考察"金融庁ディスカッションペーパー. 4(未定). (2003)

    • Related Report
      2002 Annual Research Report

URL: 

Published: 2002-04-01   Modified: 2016-04-21  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi