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Quantitative Analysis on Company Rankings Using Neural Network

Research Project

Project/Area Number 20530289
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionKinki University

Principal Investigator

KATSUDA Hideki  Kinki University, 経営学部, 教授 (70434850)

Co-Investigator(Renkei-kenkyūsha) TANAKA Katsuaki  摂南大学, 経営情報学部, 教授 (20155120)
HAGIWARA Motohiro  明治大学, 商学部, 教授 (40314348)
Project Period (FY) 2008 – 2010
Project Status Completed (Fiscal Year 2010)
Budget Amount *help
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2010: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2009: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2008: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
Keywordsファイナンス / ニューラル・ネットワーク / 格付 / 決定構造 / 定量分析 / ニューラルネットワーク / 説明変数の数
Research Abstract

The purpose of this research was to conduct positive analysis on whether a neural network can function well enough as a method of analyzing the decision structure of ranking. A neural network was used to analyze the determinants of the decision structure of ranking in Moody's Investors Service and Standard & Poor's Corp. of the United States or the ranking research institute and the rating and investment information center of Japan, aiming to elucidate the decision structure of ranking, and was also used to analyze the manufacturing industry. These analyses provided highly accurate information that was found to be much more accurate than the information obtained with the existing analysis method. However, the characteristics of this information in the finance business have not been clarified yet. I would like to continue to research financial institutions using this method in the future.

Report

(4 results)
  • 2010 Annual Research Report   Final Research Report ( PDF )
  • 2009 Annual Research Report
  • 2008 Annual Research Report
  • Research Products

    (28 results)

All 2011 2010 2009 2008 Other

All Journal Article (9 results) (of which Peer Reviewed: 7 results) Presentation (16 results) Book (2 results) Remarks (1 results)

  • [Journal Article] ニューラル・ネットワークによる格付付与構造の解明のための説明変数の数について2010

    • 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: 25-38

    • NAID

      110008138662

    • Related Report
      2010 Final Research Report
    • Peer Reviewed
  • [Journal Article] Which rating agency achieved rating stability, Moody's and R & I?2010

    • Author(s)
      萩原統宏、勝田英紀、田中克明、斉藤進
    • Journal Title

      INSTITUTE FOR OPERATIONAL RESEARCH,SYSTEMS DESIGN AND FINANCIAL SERVICES

      Pages: 57-77

    • Related Report
      2010 Final Research Report
    • Peer Reviewed
  • [Journal Article] Which rating agency achieved rating stability, Moody's and R&I?2010

    • Author(s)
      萩原統宏、勝田英紀、田中克明、斉藤進
    • Journal Title

      INSTITUTE FOR OPERATIONAL RESEARC H, SYSTEMS DESIGN AND FINANCIAL SERVICES

      Volume: 2号 Pages: 57-77

    • Related Report
      2010 Annual Research Report
    • 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解明のための説明変数の数について2010

    • Author(s)
      田中克明、勝田英紀、萩原統宏
    • Journal Title

      経営情報研究

      Volume: 第18巻2号 Pages: 25-38

    • NAID

      110008138662

    • Related Report
      2010 Annual Research Report
    • 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

      摂南大学経営情報学部誌

      Pages: 17-32

    • NAID

      110007335920

    • Related Report
      2010 Final Research Report
    • Peer Reviewed
  • [Journal Article] Empirical Study on Bond Ratings Structure by Neural Networks2009

    • Author(s)
      田中克明, 萩原統宏, 勝田英紀
    • Journal Title

      Eastern Finance Association 電子ジャーナル

      Pages: 1-20

    • Related Report
      2009 Annual Research Report
    • 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 第17巻1号

      Pages: 17-32

    • NAID

      110007335920

    • Related Report
      2009 Annual Research Report
  • [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

    • Related Report
      2010 Final Research Report
    • 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

    • Related Report
      2010 Final Research Report
  • [Presentation] On the Time Consistency of Rating Structure -Empirical Study using an Artificial Neural Network2010

    • Author(s)
      田中克明
    • Organizer
      International Conference OPEATIOS RESEARCH MUNICH 2010
    • Place of Presentation
      Munches, Germany
    • Year and Date
      2010-09-03
    • Related Report
      2010 Final Research Report
  • [Presentation] On the Time Consistency of Rating Structure -Empirical Study using an Artificial Neural Network2010

    • Author(s)
      田中克明、勝田英紀、萩原統宏
    • Organizer
      International Conference OPEATIOS RESEA RCH MUNICH 2010
    • Place of Presentation
      ドイツ ミュンヘン
    • Year and Date
      2010-09-03
    • Related Report
      2010 Annual Research Report
  • [Presentation] Which rating agency achieved rating stability, Moody's and R & I?2010

    • Author(s)
      萩原統宏
    • Organizer
      The 2nd International Conference on Applied Operational Research
    • Place of Presentation
      Finland
    • Year and Date
      2010-08-29
    • Related Report
      2010 Final Research Report
  • [Presentation] Which rating agency achieved rating stability, Moody's and R&I?2010

    • Author(s)
      萩原統宏、勝田英紀、田中克明、斉藤進
    • Organizer
      The 2nd International Conference on Applied Operational Research
    • Place of Presentation
      フィンランド テュルク
    • Year and Date
      2010-08-29
    • Related Report
      2010 Annual Research Report
  • [Presentation] Quantitative Analysis on Japanese Corporate Ratings with Artificial Neural Network2010

    • Author(s)
      田中克明
    • Organizer
      EURO XXIV LISBON
    • Place of Presentation
      Lisbon, Portugal
    • Year and Date
      2010-07-15
    • Related Report
      2010 Final Research Report
  • [Presentation] Quantitative Analysis on Japanese Corporate Ratings with Artificial Neural Network2010

    • Author(s)
      田中克明、勝田英紀、萩原統宏、斉藤進
    • Organizer
      EURO XXIV LISBON
    • Place of Presentation
      ポルトガル リスボン
    • Year and Date
      2010-07-15
    • Related Report
      2010 Annual Research Report
  • [Presentation] Empirical Study on thestability of Japanese Corporate Ratings with Neural network2009

    • Author(s)
      田中克明
    • Organizer
      23^<rd> European Conference On Operational Research, 2009
    • Place of Presentation
      Bonn Germany
    • Year and Date
      2009-07-06
    • Related Report
      2010 Final Research Report
  • [Presentation] Empirical study on stability of Japanese corporate ratings with arti_cial neural network2009

    • Author(s)
      田中克明
    • Organizer
      23^<rd> Eurpoean Conference on Operational Research
    • Place of Presentation
      Maritim Hotel in Bonn, Germany
    • Year and Date
      2009-07-06
    • Related Report
      2009 Annual Research Report
  • [Presentation] Empirical Study on Bond Ratings Structure with Neural networks2009

    • Author(s)
      田中克明
    • Organizer
      Eastern Finance Association 45^<th> Annual Meeting 2009
    • Place of Presentation
      Washington U.S.A
    • Year and Date
      2009-05-01
    • Related Report
      2010 Final Research Report
  • [Presentation] Empirical Study on Bond Ratings Structure by Neural Networks2009

    • Author(s)
      萩原統宏
    • Organizer
      Eastern Finance Association
    • Place of Presentation
      Grand Hyatt, Washington, USA
    • Year and Date
      2009-05-01
    • Related Report
      2009 Annual Research Report
  • [Presentation] Quantitative Analysis on Japanese Corporate Ratings by Neural Networks2008

    • Author(s)
      勝田英紀
    • Organizer
      日本貿易学会関西部会
    • Year and Date
      2008-11-29
    • Related Report
      2010 Final Research Report
  • [Presentation] Quantitative Analysis on Japanese Corporate Ratings2008

    • Author(s)
      勝田英紀
    • Organizer
      日本貿易学会 第3回西部部会
    • Place of Presentation
      近畿大学
    • Year and Date
      2008-11-29
    • Related Report
      2008 Annual Research Report
  • [Presentation] Quantitative Analysis on Japanese Corporate Ratings by Neural Networks2008

    • 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
    • Related Report
      2010 Final Research Report
  • [Presentation] Quantitative Analysis on Japanese Corporate Ratings by Neural Networks2008

    • Author(s)
      田中克明
    • Organizer
      INFORMS Annual Meeting 2008
    • Place of Presentation
      Washington, DC, USA
    • Year and Date
      2008-10-07
    • Related Report
      2008 Annual Research Report
  • [Presentation] Empirical Study on thestructural stability of Corporate Ratings by Neural networks in Japan2008

    • Author(s)
      田中克明
    • Organizer
      International Conference Operations Research 2008
    • Place of Presentation
      Augsburg Germany
    • Year and Date
      2008-09-04
    • Related Report
      2010 Final Research Report
  • [Presentation] Empirical Study on the structural stability of corporate ratings by Neural networks approach2008

    • Author(s)
      田中克明
    • Organizer
      International Conference Operations Research 2008
    • Place of Presentation
      University of Augsburg, Germany
    • Year and Date
      2008-09-04
    • Related Report
      2008 Annual Research Report
  • [Book] 格付の研究 -信用リスク分析の評価-2011

    • Author(s)
      勝田英紀、萩原統宏、田中克明
    • Total Pages
      248
    • Publisher
      中央経済社
    • Related Report
      2010 Final Research Report
  • [Book] 格付の研究-信用リスク分析の評価-2011

    • Author(s)
      勝田英紀、田中克明、萩原統宏
    • Total Pages
      248
    • Publisher
      中央経済社
    • Related Report
      2010 Annual Research Report
  • [Remarks]

    • URL

      http://rais.itp.kindai.ac.jp/researchdb/

    • Related Report
      2008 Annual Research Report

URL: 

Published: 2008-04-01   Modified: 2016-04-21  

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