Evaluation of Credit Risk Model Incorporating Out-of-Court Restructuring in Japanese Listed Companies
Project/Area Number |
16K17174
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Research Category |
Grant-in-Aid for Young Scientists (B)
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Allocation Type | Multi-year Fund |
Research Field |
Management
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Research Institution | Osaka University of Economics and Law (2017-2018) Osaka City University (2016) |
Principal Investigator |
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Project Period (FY) |
2016-04-01 – 2019-03-31
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Project Status |
Completed (Fiscal Year 2018)
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Budget Amount *help |
¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2017: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
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Keywords | 信用リスク / 企業倒産 / 債務免除 / 失敗予測 / リスク管理 |
Outline of Final Research Achievements |
This study estimates the credit risk model taking out-of-court restructuring into consideration in addition to legal bankruptcy, focusing on firms that received debt forgiveness and those that were delisted for rescue merger. The main results are follows. This study reveals that the predictive accuracy of hazard model is higher than that of other well-known models. Also, we find important variables for estimating the firm's credit risk during the crisis. Moreover, the results indicate that it is important to incorporate firms that received debt forgiveness and those that were delisted for rescue merger in estimating the credit risk model.
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Academic Significance and Societal Importance of the Research Achievements |
信用リスクを推計するモデルの予測精度を高めることは、株主、債権者、金融機関のリスク管理に関する実務的な問題に加えて、信用リスクと資産価格 (特に株式リターン) との関係性といった学術的な問題においても重要である。本研究は、主に債務免除を受けた企業や救済合併によって退出した企業を信用リスクモデルに組み込むことの重要性について示した。これらの成果は、今後私的整理を含めたモデルをさらに精緻化することで、信用リスクモデルの予測精度の向上や企業の信用リスク悪化の早期発見に繋がることが期待される。
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Report
(4 results)
Research Products
(4 results)