Credit risk modeling incorporating business potential and business risk

2021 Fiscal Year Final Research Report

• Project/Area Number: 18K12818
• Research Category: Grant-in-Aid for Early-Career Scientists
• Allocation Type: Multi-year Fund
• Review Section: Basic Section 07060:Money and finance-related
• Research Institution: Aoyama Gakuin University (2020-2021); Musashino University (2018-2019)
• Principal Investigator: Yamanaka Suguru 青山学院大学, 理工学部, 准教授 (90804526)
• Project Period (FY): 2018-04-01 – 2022-03-31
• Keywords: 金融リスク管理 / 信用リスク / 事業性評価

Outline of Final Research Achievements

In this study, we present a method for assessing corporate credit risk that takes both business potential and business risk into account. First, as a theoretical result, a new framework for purchase-order-based structural credit risk assessment was proposed by combining the structural credit risk assessment model, which is a conventional theoretical model for credit risk assessment, and purchase-order information, which captures business potential and risk. We then developed a practical evaluation model based on this framework and demonstrated its usefulness with numerical examples. We also developed a credit risk assessment model using bank account information, which is highly accessible to financial institutions, and demonstrated its effectiveness.

Free Research Field

金融工学

Academic Significance and Societal Importance of the Research Achievements

企業の取引関係が倒産に与える影響を明示的に表現する形で、信用リスク評価理論の拡張を実現した。理論的な枠組みだけでなく具体的な評価モデルを構築したことは、実務利用に資する評価手法の原型を示したという点で意義があったと言える。また、実企業の評価事例を通して、金融実務において従来よりも即時性の高い融資先支援等が実現し得ることを示した。