2021 Fiscal Year Final Research Report
Synthetic Studies on Measurement of Credit Risk for Fluctuations in Financoal Asset Values using Cumulative Impulse Response in Different Fields of Business
| Project/Area Number |
18K01713
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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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| Review Section |
Basic Section 07060:Money and finance-related
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| Research Institution | Aichi Institute of Technology |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
水谷 聡志 愛知工業大学, 経営学部, 教授 (40469060)
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| Project Period (FY) |
2018-04-01 – 2022-03-31
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| Keywords | 信頼性 / 保全性 / リスク管理 / 確率過程 / 保全計画 / 損傷モデル |
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| Outline of Final Research Achievements |
In this study, we have proposed some theoretic models for measuring a credit risk of financial information systems in different fields of business, and verified to support their stability using a computer simulation. These models have been formed by applying the theory of stochastic processes. Some examples and discussions for such models have been done numerically and theoretically. Especially, from the view point of financial information systems, we have made the following assumption about some models: The investing and financing of business are regarded as one kind of impulses, and their cumulative impulses might affect seriously financial information systems. Some useful results have been obtained by applying optimization problems of computer resources in maintenance and reliability theory. It is now under consideration to apply these results to real financial problems. Our research results have been presented at many conferences and published in international journals.
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| Free Research Field |
信頼性理論
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| Academic Significance and Societal Importance of the Research Achievements |
本研究では，企業体組織の投資行動が経済に与える変動や経済波及効果によって，変動エネルギーが蓄積されると仮定した．企業の投資行動が金融情報システムに与える影響は業種によって変動特性が異なると仮定し，理論モデルを作成した．また，具体的なパラメータに対して数値例を示し，種々議論を行った．学術的意義として，新たな確率モデルの構築と解析法の提案が挙げられる．社会的意義として，これらの数値結果を実施の金融情報システムの適用することで，信用リスクを計測し安定化を支援することができる．また，企業における投資活動，資金調達活動，保全保守活動の最適な計画実施のためのシミュレーションモデルとして適用可能である．
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