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 |
Section | 一般 |
Research Field |
Public finance/Monetary economics
|
Research Institution | Kanagawa University |
Principal Investigator |
|
Project Period (FY) |
2011 – 2013
|
Project Status |
Completed (Fiscal Year 2013)
|
Budget Amount *help |
¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
Fiscal Year 2013: ¥260,000 (Direct Cost: ¥200,000、Indirect Cost: ¥60,000)
Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2011: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
|
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 / 信用スコアリング / Hodrick-Prescottフィルター |
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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Report
(4 results)
Research Products
(19 results)