2011 Fiscal Year Final Research Report
Default Prediction Model using Asymmetric Distribution and the Default Structure Analysis
| Project/Area Number |
21330087
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Business administration
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| Research Institution | University of Tsukuba |
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Principal Investigator |
ONO Tadashi 筑波大学, ビジネスサイエンス系, 教授 (10527930)
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| Co-Investigator(Kenkyū-buntansha) |
TSUBAKI Hiroe 筑波大学, ビジネスサイエンス系, 教授 (30155436)
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| Project Period (FY) |
2009 – 2011
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| Keywords | 非対称正規分布 / 信用リスク / Skew normal distribution / Hidden truncation |
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| Research Abstract |
This research would like to show that default companies credit risk follows asymmetric distribution and the reason why. In the finance context, a company will be generally deemed to go bankrupt when its credit score exceeds a critical threshold. This research applies the skew-normal distribution to default company distribution. It assumes that credit decision and corporate credit score are both normally distributed and vary stochastically.
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