Default Prediction Model using Asymmetric Distribution and the Default Structure Analysis
| Project/Area Number |
21330087
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Business administration
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| Research Institution | University of Tsukuba |
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Principal Investigator |
ONO Tadashi 筑波大学, ビジネスサイエンス系, 教授 (10527930)
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| Co-Investigator(Kenkyū-buntansha) |
TSUBAKI Hiroe 筑波大学, ビジネスサイエンス系, 教授 (30155436)
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| Project Period (FY) |
2009 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
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| Budget Amount *help |
¥7,150,000 (Direct Cost: ¥5,500,000、Indirect Cost: ¥1,650,000)
Fiscal Year 2011: ¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
Fiscal Year 2010: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
Fiscal Year 2009: ¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
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| Keywords | 非対称正規分布 / 信用リスク / Skew normal distribution / Hidden truncation / Skew Normal / Hidden Truncation / 生存時間分析 / ワイブル分布 / 二重指数分布 |
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| Research Abstract |
This research would like to show that default companies credit risk follows asymmetric distribution and the reason why. In the finance context, a company will be generally deemed to go bankrupt when its credit score exceeds a critical threshold. This research applies the skew-normal distribution to default company distribution. It assumes that credit decision and corporate credit score are both normally distributed and vary stochastically.
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Report
(4 results)
Research Products
(22 results)
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[Journal Article]2009
Author(s)
大野忠士・椿広計
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Journal Title
「公的統計の利用と統計的手法」第13章定量的リスク評価と定性的リスク評価との架橋(財団法人統計情報研究開発センター)
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