2013 Fiscal Year Final Research Report
Studies on the Valuation of Credit Risk and Firm Value Considering Macroeconomic Variation
| Project/Area Number |
23530385
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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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| Research Field |
Public finance/Monetary economics
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| Research Institution | Kanagawa University |
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Principal Investigator |
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| Project Period (FY) |
2011 – 2013
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| Keywords | ファイナンス / リスク管理 / 景気循環サイクル / 信用サイクル / 信用格付 / ストレステスト / プロビットモデル / 多段階反応モデル |
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| Research Abstract |
We analyzed the effect that business variation affects the credit cycle for companies, and found that a model with trend and cycle terms derived by a filtering decomposition of macroeconomic variables has more default predictive power than a model with original variables. In addition, we developed a model that transforms a macro-stress scenario into risk parameters of a credit portfolio risk model, the use of which enabled us to evaluate portfolio credit risk and firm-values, considering macroeconomic variables and correlations between industries. Our research outcomes are published in two peer-reviewed journals.
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