2023 Fiscal Year Final Research Report
Establishment of credit risk assessment methods reflecting various bankruptcy factors
| Project/Area Number |
21K01563
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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 | Aoyama Gakuin University |
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Principal Investigator |
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| Project Period (FY) |
2021-04-01 – 2024-03-31
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| Keywords | 信用リスク |
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| Outline of Final Research Achievements |
This study presents the credit risk model that can treat not only insolvency, but also cash-short as a bankruptcy state, under the structural-type approach. We also developed the credit risk assessment model with a long-short term memory (LSTM). Through the performance test of the model, we confirmed that financial statement time-series data is useful in credit risk assessment. Furthermore, we constructed a model that predicts the bankruptcy counts based on the business sentiment of corporate managers.
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| Free Research Field |
定量的金融リスク管理，金融工学，確率系解析
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| Academic Significance and Societal Importance of the Research Achievements |
本研究によって，信用リスク評価の理論的アプローチである構造型信用リスク評価モデルが対象とする倒産事象が拡大した．また，信用リスク評価にあたって，中長期の財務時系列データを用いることの有効性が確認された．これらの成果は，実務における企業評価の高度化に寄与する可能性を有する．
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