2012 Fiscal Year Final Research Report
Loss given default estimation for small companies using big database of recovery
| Project/Area Number |
21530323
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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 Statistical Mathematics |
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Principal Investigator |
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| Project Period (FY) |
2009 – 2012
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| Keywords | 信用リスク / 回収率 / LGD / 新BIS規制 / 代位弁済 / 回収行動 / 担保 / 保証制度 |
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| Research Abstract |
This study have made efficient statistical models for estimating credit risk, especially simultaneous estimating both default probability and recovery rate. Fore assignments as bellow are done. 1. Sophisticating models of estimating default probability and credit rating 2. Developing models of estimating recovery rate 3. Standardization for recovery rate database 4. Developing credit risk models to consider business cycle.
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