Loss given default estimation for small companies using big database of recovery
Project/Area Number |
21530323
|
Research Category |
Grant-in-Aid for Scientific Research (C)
|
Allocation Type | Single-year Grants |
Section | 一般 |
Research Field |
Public finance/Monetary economics
|
Research Institution | The Institute of Statistical Mathematics |
Principal Investigator |
|
Project Period (FY) |
2009 – 2012
|
Project Status |
Completed (Fiscal Year 2012)
|
Budget Amount *help |
¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000)
Fiscal Year 2012: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2011: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2010: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2009: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
|
Keywords | 信用リスク / 回収率 / LGD / 新BIS規制 / 代位弁済 / 回収行動 / 担保 / 保証制度 / 債権回収率 / 担保・保証 / 多層ロジットモデル / 正常復帰確率 / 統合データベース / ビッグデータ |
Research Abstract |
This study have made efficient statistical models for estimating credit risk, especially simultaneous estimating both default probability and recovery rate. Fore assignments as bellow are done. 1. Sophisticating models of estimating default probability and credit rating 2. Developing models of estimating recovery rate 3. Standardization for recovery rate database 4. Developing credit risk models to consider business cycle.
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Report
(5 results)
Research Products
(31 results)