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Studies on the Valuation of Credit Risk and Firm Value Considering Macroeconomic Variation

Research Project

Project/Area Number 23530385
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Public finance/Monetary economics
Research InstitutionKanagawa University

Principal Investigator

KANNO Masayasu  神奈川大学, 経営学部, 准教授 (00551061)

Project Period (FY) 2011 – 2013
Project Status Completed (Fiscal Year 2013)
Budget Amount *help
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2013: ¥260,000 (Direct Cost: ¥200,000、Indirect Cost: ¥60,000)
Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2011: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
Keywordsファイナンス / リスク管理 / 景気循環サイクル / 信用サイクル / 信用格付 / ストレステスト / プロビットモデル / 多段階反応モデル / 信用スコアリング / Hodrick-Prescottフィルター
Research Abstract

We analyzed the effect that business variation affects the credit cycle for companies, and found that a model with trend and cycle terms derived by a filtering decomposition of macroeconomic variables has more default predictive power than a model with original variables. In addition, we developed a model that transforms a macro-stress scenario into risk parameters of a credit portfolio risk model, the use of which enabled us to evaluate portfolio credit risk and firm-values, considering macroeconomic variables and correlations between industries. Our research outcomes are published in two peer-reviewed journals.

Report

(4 results)
  • 2013 Annual Research Report   Final Research Report ( PDF )
  • 2012 Research-status Report
  • 2011 Research-status Report
  • Research Products

    (19 results)

All 2014 2013 2012 Other

All Journal Article (4 results) (of which Peer Reviewed: 3 results) Presentation (13 results) Book (2 results)

  • [Journal Article] マクロストレスシナリオをリスクパラメーターに変換するための信用リスクモデル2014

    • Author(s)
      菅野正泰
    • Journal Title

      FSAリサーチ・レビュー

      Volume: 8巻 Pages: 1-37

    • URL

      http://www.fsa.go.jp/frtc/nenpou/08.html

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] マクロストレスシナリオをリスクパラメーターに変換するための信用リスクモデル2014

    • Author(s)
      菅野正泰
    • Journal Title

      FSAリサーチ・レビュー

      Volume: 8 Pages: 1-37

    • Related Report
      2013 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Default Forecasting Considering Correlation Between Business and Credit Cycles2012

    • Author(s)
      Masayasu Kanno
    • Journal Title

      Journal of Applied Finance & Banking

      Volume: vol.2, no.5 Pages: 275-305

    • Related Report
      2013 Final Research Report 2012 Research-status Report
    • Peer Reviewed
  • [Journal Article] 景気循環と信用サイクルの相関を考慮した信用リスク評価モデル2012

    • Author(s)
      菅野正泰
    • Journal Title

      ワーキングペーパー

      Volume: なし Pages: 1-26

    • Related Report
      2011 Research-status Report
  • [Presentation] Transforming Macro Stress Scenarios into Risk Parameters of Credit Portfolio Models2014

    • Author(s)
      Masayasu Kanno
    • Organizer
      21st Annual Global Finance Conference
    • Place of Presentation
      アラブ首長国連邦(ドバイ・JWマリオット・マーキス・ホテル・ドバイ)
    • Year and Date
      2014-03-31
    • Related Report
      2013 Final Research Report
  • [Presentation] Credit Migration Forecasting and Correlation Between Business and Credit Cycles2013

    • Author(s)
      Masayasu Kanno
    • Organizer
      The 3rd International Conference of the Financial Engineering and Banking Society
    • Place of Presentation
      フランス(パリ・ESCPキャンパス)
    • Related Report
      2013 Final Research Report
  • [Presentation] Credit Migration Forecasting and Correlation Between Business and Credit Cycles2013

    • Author(s)
      Masayasu Kanno
    • Organizer
      The 3rd International Conference of the Financial Engineering and Banking Society
    • Place of Presentation
      フランス(パリ・ESCPキャンパス)
    • Related Report
      2012 Research-status Report
  • [Presentation] Credit Risk Valuation Considering Relation Between Credit Cycle and Business Cycle2012

    • Author(s)
      Masayasu Kanno
    • Organizer
      the 7th Bachelier Finance Society World Congress 2012 (BFS2012)
    • Place of Presentation
      オーストラリア(シドニー・ヒルトンホテル)
    • Related Report
      2013 Final Research Report
  • [Presentation] Default Model Selection Considering Correlation Between Business and Credit Cycles2012

    • Author(s)
      Masayasu Kanno
    • Organizer
      International Research Journal of Applied Finance Conference
    • Place of Presentation
      アメリカ(プロビデンス・ロードアイランドコンベンションセンター)
    • Related Report
      2013 Final Research Report
  • [Presentation] Forecasting of Credit Migration Considering Correlation Between Business and Credit Cycles2012

    • Author(s)
      Masayasu Kanno
    • Organizer
      25th Australasian Finance and Banking Conference
    • Place of Presentation
      オーストラリア(シドニー・シャングリラホテル)
    • Related Report
      2013 Final Research Report
  • [Presentation] Credit Risk Valuation Considering Relation Between Credit Cycle and Business Cycle2012

    • Author(s)
      Masayasu Kanno
    • Organizer
      Bacherier Finance Society 7th World Congress
    • Place of Presentation
      オーストラリア(シドニー・ヒルトンホテル)
    • Related Report
      2012 Research-status Report
  • [Presentation] Default Model Selection Considering Correlation Between Business and Credit Cycles2012

    • Author(s)
      Masayasu Kanno
    • Organizer
      International Research Journal of Applied Finance Conference
    • Place of Presentation
      アメリカ(プロビデンス・ロードアイランドコンベンションセンター)
    • Related Report
      2012 Research-status Report
  • [Presentation] Forecasting of Credit Migration Considering Correlation Between Business and Credit Cycles2012

    • Author(s)
      Masayasu Kanno
    • Organizer
      25th Australasian Finance and Banking Conference
    • Place of Presentation
      オーストラリア(シドニー・シャングリラホテル)
    • Related Report
      2012 Research-status Report
  • [Presentation] The challenge to financial risk management complicated more2012

    • Author(s)
      菅野 正泰
    • Organizer
      2012 3rd International Conference on Financial Theory and Engineering(ICFTE2012)(招待講演)
    • Place of Presentation
      シンガポール
    • Related Report
      2011 Research-status Report
  • [Presentation] Credit Risk Valuation Considering Relation Between Credit Cycle and Business Cycle2012

    • Author(s)
      菅野 正泰
    • Organizer
      the 7th Bachelier Finance Society World Congress 2012 (BFS2012)
    • Place of Presentation
      シドニー
    • Related Report
      2011 Research-status Report
  • [Presentation] Credit Migration Forecasting and Correlation Between Business and Credit Cycles

    • Author(s)
      菅野正泰
    • Organizer
      3rd International Conference of the Financial Engineering and Banking Society
    • Place of Presentation
      フランス(パリ・ESCPキャンパス)
    • Related Report
      2013 Annual Research Report
  • [Presentation] Transforming Macro Stress Scenarios into Risk Parameters of Credit Portfolio Models

    • Author(s)
      菅野正泰
    • Organizer
      21st Annual Global Finance Conference
    • Place of Presentation
      アラブ首長国連邦(ドバイ・JWマリオット・マーキス・ホテル・ドバイ )
    • Related Report
      2013 Annual Research Report
  • [Book] 入門金融リスク資本と統合リスク管理第2版2014

    • Author(s)
      菅野正泰
    • Total Pages
      302
    • Publisher
      金融財政事情研究会
    • Related Report
      2013 Final Research Report
  • [Book] 入門 金融リスク資本と統合リスク管理 第2版2014

    • Author(s)
      菅野正泰
    • Total Pages
      302
    • Publisher
      金融財政事情研究会
    • Related Report
      2013 Annual Research Report

URL: 

Published: 2011-08-05   Modified: 2019-07-29  

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