2004 Fiscal Year Final Research Report Summary
Credit Risk Estimation and Model Validation of Small Companies
| Project/Area Number |
14530122
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | The Institute of Statistics Mathematics |
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Principal Investigator |
YAMASHITA Satoshi The Institute of Statistics Mathematics, Associate Professor, 統計科学情報センター, 助教授 (50244108)
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| Project Period (FY) |
2002 – 2004
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| Keywords | credit risk / small company / BIS regulation / loss given default / デフォルト時損失率 / LGD |
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| Research Abstract |
In this study, we develop models which estimate the credit risk coefficient and the loss given default of small companies using actual credit database. We solve some problems in order to apply statistical process model called the reduced form model to credit data instead of statistical models. The conclusion of this study contribute that Bank of International Settlement and Japanese Financial Service Agency establish the financial trading rules.
The contribution is as follows,
1. Development of credit risk coefficient model
Credit risk coefficient is needs to estimate to risk of credit portfolio. Up to this day, estimating the efficient is difficult by statistical models. In this study, we solve the difficulties to use reduced form model to statistical process and bond market data.
2. Development of loss given default model
Credit risk is broken down the probability of default (PD) and the loss given default (LGD). Many kinds of models to estimate the PD exists. However, there was no practical LGD model because of lack of LGD database in Japan. We submit new type LGD model which doesn't take the LGD database. This model makes estimating LGD a real possibility.
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