Credit risk evaluation of real estate market data
| Project/Area Number |
23530378
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Chiba Institute of Technology |
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Principal Investigator |
ANDO MASAKAZU 千葉工業大学, 社会システム科学部, 准教授 (00462169)
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| Project Period (FY) |
2011 – 2013
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| Project Status |
Completed (Fiscal Year 2013)
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| Budget Amount *help |
¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
Fiscal Year 2013: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2011: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Keywords | 投資法人債 / ファイナンス / 不動産 / ヘドニックアプローチ / 状態空間モデル / 大規模データベース / カルマンフィルタ / 金融論 / 統計数学 / 経済統計学 / J-REIT |
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| Research Abstract |
We use the straight coupon bond cross-sectional market (SCBCSM) corporate bond price evaluation model proposed by Tsuda (2006) to estimate a price evaluation model for investment corporation bonds. Investment corporations disclose information (property acquisition prices, NOI, etc.) about owned properties that serve as collateral assets, we attempted to estimate the recovery rate from this information. We have analyzed using a state space model the real estate market value.
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Report
(4 results)
Research Products
(11 results)
