Statistical analysis of real-estate market data using a large-scale database
| Project/Area Number |
21730271
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Chiba Institute of Technology (2010)
The Institute of Statistical Mathematics (2009) |
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Principal Investigator |
ANDO Masakazu Chiba Institute of Technology, 社会システム科学部, 准教授 (00462169)
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| Co-Investigator(Renkei-kenkyūsha) |
TSUDA Hiroshi 同志社大学, 理工学部, 教授 (90450163)
TANOKURA Youko 統計数理研究所, リスク解析戦略研究センター, 研究員 (60425832)
SATO Seisho 統計数理研究所, データ科学研究系, 准教授 (60280525)
KITAGAWA Genshiro 大学共同利用機関法人情報・システム研究機構, 機構長 (20000218)
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| Project Period (FY) |
2009 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2010: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2009: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
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| Keywords | ファイナンス / 金融論 / 経済統計学 / 統計数学 / 不動産データベース / J-REIT / 投資法人債 / 信用リスク |
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| Research Abstract |
The objective of this study was to have developed the method of selecting the data item that contributes to the solution of the problem from a large-scale database. As an example, what factor influenced the pricing based on the information of the real-estate property that the J-REIT investment corporation owned was analyzed by using a variety of statistical methods. How the credit risk was reflected by paying attention to the financial data of the corporation that issued the investment corporation bonds as an approach for the credit risk evaluation, and estimating the implied default probability and the recovery rate based on the market price was clarified.
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Report
(3 results)
Research Products
(9 results)
