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Establishment of credit risk assessment methods reflecting various bankruptcy factors

Research Project

Project/Area Number 21K01563
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Review Section Basic Section 07060:Money and finance-related
Research InstitutionAoyama Gakuin University

Principal Investigator

Yamanaka Suguru  青山学院大学, 理工学部, 准教授 (90804526)

Project Period (FY) 2021-04-01 – 2024-03-31
Project Status Completed (Fiscal Year 2023)
Budget Amount *help
¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2023: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2022: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2021: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
Keywords信用リスク / ファイナンス / 金融リスク管理 / 企業倒産 / 倒産
Outline of Research at the Start

債務超過、資金繰り難、さらに人手不足や取引先破綻などの様々な倒産要因を包括的に取り扱う倒産リスク評価手法の構築を目指す。まず、企業データ分析により倒産発生の特徴抽出を行う。次に、倒産発生のメカニズムを記述する数理モデルの構築を行う。数理モデルの有効性を企業倒産等の実績データとモデル出力値の比較を通して検証する。

Outline of Final Research Achievements

This study presents the credit risk model that can treat not only insolvency, but also cash-short as a bankruptcy state, under the structural-type approach. We also developed the credit risk assessment model with a long-short term memory (LSTM). Through the performance test of the model, we confirmed that financial statement time-series data is useful in credit risk assessment. Furthermore, we constructed a model that predicts the bankruptcy counts based on the business sentiment of corporate managers.

Academic Significance and Societal Importance of the Research Achievements

本研究によって,信用リスク評価の理論的アプローチである構造型信用リスク評価モデルが対象とする倒産事象が拡大した.また,信用リスク評価にあたって,中長期の財務時系列データを用いることの有効性が確認された.これらの成果は,実務における企業評価の高度化に寄与する可能性を有する.

Report

(4 results)
  • 2023 Annual Research Report   Final Research Report ( PDF )
  • 2022 Research-status Report
  • 2021 Research-status Report
  • Research Products

    (7 results)

All 2024 2023 2022 2021

All Journal Article (2 results) (of which Peer Reviewed: 2 results,  Open Access: 2 results) Presentation (5 results) (of which Int'l Joint Research: 1 results)

  • [Journal Article] Relationship between managerial sentiments and corporate bankruptcies2023

    • Author(s)
      Suguru Yamanaka , Takaya Ohsato
    • Journal Title

      JSIAM Letters

      Volume: 15 Issue: 0 Pages: 85-88

    • DOI

      10.14495/jsiaml.15.85

    • ISSN
      1883-0609, 1883-0617
    • Related Report
      2023 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Improvement of Credit Rating Classification Accuracy by using Financial Statements Time-Seriese Data ̃Validation by Long Short-Term Memory Model ̃2022

    • Author(s)
      門田 賢征、山中 卓
    • Journal Title

      Transactions of the Japan Society for Industrial and Applied Mathematics

      Volume: 32 Issue: 4 Pages: 133-154

    • DOI

      10.11540/jsiamt.32.4_133

    • ISSN
      2424-0982
    • Related Report
      2022 Research-status Report
    • Peer Reviewed / Open Access
  • [Presentation] Gross-revenue based structural credit risk model2024

    • Author(s)
      中川 秀敏, 山中 卓
    • Organizer
      日本応用数理学会 第20回 研究部会連合発表会
    • Related Report
      2023 Annual Research Report
  • [Presentation] Gross-revenue-based structural credit risk model2023

    • Author(s)
      Suguru Yamanaka, Hidetoshi Nakagawa
    • Organizer
      10th International Congress on Industrial and Applied Mathematics
    • Related Report
      2023 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Examining the Default Prediction Power of Corporate Managers' Sentiment2022

    • Author(s)
      山中卓,大里隆也
    • Organizer
      2021年度冬季JAFEE大会
    • Related Report
      2021 Research-status Report
  • [Presentation] 経営者センチメント指標を用いた倒産件数予測の試み2022

    • Author(s)
      山中卓,大里隆也
    • Organizer
      日本応用数理学会第18回研究部会連合発表会
    • Related Report
      2021 Research-status Report
  • [Presentation] 信用格付判別問題に対する回帰結合型ニューラルネットワークモデルの有効性検証2021

    • Author(s)
      門田賢征,山中卓
    • Organizer
      日本応用数理学会 2021年度 年会
    • Related Report
      2021 Research-status Report

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Published: 2021-04-28   Modified: 2025-01-30  

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