Study on Japanese corporate ratings by Rating agencies with Artificial Neural Network and Self-organizing Maps

• Project/Area Number: 19530374
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Business administration
• Research Institution: Setsunan University
• Principal Investigator: TANAKA Katsuaki Setsunan University, 経営情報学部, 教授 (20155120)
• Co-Investigator(Kenkyū-buntansha): KATSUDA Hideki 近畿大学, 経営学部, 教授 (70434850) ; 竹田 英二 大阪大学, 大学院・経済学研究科, 教授 (80106624)
• Project Period (FY): 2007 – 2009
• Project Status: Completed (Fiscal Year 2009)
• Budget Amount: ¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000); Fiscal Year 2009: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000); Fiscal Year 2008: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000); Fiscal Year 2007: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
• Keywords: 格付 / ニューラル / ネットワーク / 自己組織化マップ / クラスター分析 / 格付け / 格付機関 / ニューラル・ネットワーク / 主成分分析 / ニューラルネットワーク / 回帰分析

Research Abstract

We tried to verify that artificial neural network will be stronger tool to simulate only using quantitative variables the corporate ratings that was determined by the corporate agencies using quantitative and qualitative variables in Japan. We are able to make clear the factors that make strong results to the corporate ratings. In order to raise the accuracy, We expected and tried to use the Cluster analysis and self organizing map. But we were not able to get better results.

Research Products

• [Journal Article] ニューラル・ネットワークによる格付付与構造の安定性について (2009)
  • Author(s): 田中克明、勝田英紀、萩原統宏
  • Journal Title: 摂南大学経営情報学部誌 Pages: 17-32
  • NAID: 110007335920
  • Peer Reviewed
• [Journal Article] ニューラルネットワークによる格付付与構造の安定性について (2009)
  • Author(s): 田中克明, 勝田英紀, 萩原統宏
  • Journal Title: 経営情報研究 17巻 Pages: 17-32
  • NAID: 110007335920
  • Peer Reviewed
• [Journal Article] Empirical Study on Bond Ratings Structure with Artificial Neural Network (2009)
  • Author(s): Hagiwara, Katsuda Tanaka
  • Journal Title: Eastern Finance Association online 1 Pages: 1-26
  • Peer Reviewed
• [Journal Article] ニューラル・ネットワークを用いた格付機関の付与する安定性に関する実証分析 (2008)
  • Author(s): 勝田英紀、田中克明、萩原統宏
  • Journal Title: 証券経済学会年報 Pages: 41-54
  • Peer Reviewed
• [Journal Article] バーゼルII導入における新格付手法としてニューラル・ネットワーク法 (2008)
  • Author(s): 勝田英紀、田中克明
  • Journal Title: 大阪大学経済学会誌 Pages: 32-45
• [Journal Article] ニューラル・ネットワークを用いた格付機関の付与する格付の安定性に関する実証分析 (2008)
  • Author(s): 勝田英紀, 田中克明, 萩原統宏
  • Journal Title: 証券経済学会年報 第43号 Pages: 41-54
  • NAID: 40016167402
  • Peer Reviewed
• [Journal Article] バーゼルII導入における新格付手法としてのニューラル・ネットワーク法 (2008)
  • Author(s): 田中 克明, 勝田 英紀
  • Journal Title: 大阪大学経済学 57 Pages: 13-26
• [Journal Article] Exploitation Procedure based on Eigenvector Revisited: The Concept of WeightedPreference Flows in Multicriteria Outranking Analysis (2008)
  • Author(s): Chenayah, S.A.Periathamby and E.Takeda
  • Journal Title: Cybernetics and Systems, An International Journal 39 Pages: 61-78
  • Peer Reviewed
• [Journal Article] ニューラル・ネットワークを用いた格付の定量分析 (2007)
  • Author(s): 勝田英紀、田中克明
  • Journal Title: 日本経営財務研究学会誌 Pages: 38-53
  • Peer Reviewed
• [Journal Article] 日米格付機関の格付け決定要因の比較分析 (2006)
  • Author(s): 勝田英紀、田中克明、俣野義則
  • Journal Title: 近畿大学商経学会誌 Pages: 135-150
  • Peer Reviewed
• [Presentation] Empirical Study on the stability of Japanese Corporate Ratings with Neural network (2009)
  • Author(s): 田中克明
  • Organizer: 23rd European Conference On Operational Research, 2009
  • Place of Presentation: Bonn Germany Saarbrucken、Germany
  • Year and Date: 2009-07-06
• [Presentation] Empirical Study on Stability of Japanese Corporate ratings with Artificial Neural Network (2009)
  • Author(s): 田中克明, 勝田英紀, 萩原統宏
  • Organizer: EURO23
  • Place of Presentation: Bonn Germany
  • Year and Date: 2009-07-06
• [Presentation] Empirical Study on Bond Ratings Structure with Neural networks, Eastern Finance Association (2009)
  • Author(s): 田中克明
  • Organizer: 45th Annual Meeting 2009
  • Place of Presentation: Washington U S. A
  • Year and Date: 2009-05-01
• [Presentation] Quantitative Analysis on Japanese Corporate Ratings by Neural Networks (2008)
  • Author(s): 田中克明
  • Organizer: INFORMS Washington D.C. 2008
  • Place of Presentation: Washington U.S.A.
  • Year and Date: 2008-10-15
• [Presentation] Qunatitative analysis on Japanese Corporate ratings by Neural Networks (2008)
  • Author(s): 田中克明, 勝田英紀, 萩原統宏
  • Organizer: INFORMS Washington D. C. 2008
  • Place of Presentation: 米国ワシントンD. C. Marriott Wardman Park
  • Year and Date: 2008-10-15
• [Presentation] Empirical Study on the structural stability of Corporate Ratings by Neural networks in Japan (2008)
  • Author(s): 田中克明
  • Organizer: International Conference Operations Research 2008
  • Place of Presentation: Augsburg Germany
  • Year and Date: 2008-09-04
• [Presentation] Empirical study on the structural stabbility of Corporate ratings by Neural Networks approach in Japan (2008)
  • Author(s): 田中克明, 勝田英紀, 萩原統宏
  • Organizer: Operations Research 2008
  • Place of Presentation: ドイツ連邦共和国アウクスブルク大学
  • Year and Date: 2008-09-04
• [Presentation] Neural networks approach to the stability of Corporate Ratings by rating agencies (2007)
  • Author(s): 田中克明
  • Organizer: International Conference Operations Research 2007
  • Place of Presentation: Saarbrucken, Germany
  • Year and Date: 2007-09-06
• [Presentation] Neural networks approach to the stability of Corporate Ratings by rating agencles (2007)
  • Author(s): 田中 克明, 竹田 英二, 勝田 英紀
  • Organizer: Operations Research 2007
  • Place of Presentation: Universitat des Saarlandes
  • Year and Date: 2007-09-06