{"created":"2023-05-15T09:32:24.357863+00:00","id":4140,"links":{},"metadata":{"_buckets":{"deposit":"ffde4ecb-6c32-413c-ba8d-fffefed5a123"},"_deposit":{"created_by":14,"id":"4140","owners":[14],"pid":{"revision_id":0,"type":"depid","value":"4140"},"status":"published"},"_oai":{"id":"oai:icu.repo.nii.ac.jp:00004140","sets":["12:26:19:429"]},"author_link":["5472"],"item_10002_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2016-03-31","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"81","bibliographicPageEnd":"28","bibliographicPageStart":"17","bibliographic_titles":[{"bibliographic_title":"社会科学ジャーナル","bibliographic_titleLang":"ja"}]}]},"item_10002_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"In this paper, the author proposes a new approach for credit risk management\nby applying standard method. As a matter of fact, almost all financial institutions\nin Japan are using standard method which is called as Gaussian copula for their\ncredit risk management. They estimate losses from their credit portfolio under the\nstressed economic scenario and confirm that the losses are able to be covered by\ntheir own capital margin. Especially after Lehman crisis in September 2008,\nmany researchers have been pointing out insufficiency of the standard method\nand started to propose new approaches because losses based on standard were not\nenough conservative. Common points in these approaches are their utilizing fattail\ndistributions so as to let the correlations between assets work effectively for\nhaving satisfactory number of simultaneous defaults. They are t-copula, Gumbelcopula,\nClayton-copula, and so on. The new approach in this paper is completely\ndifferent from these in terms of following points. Firstly, it considers randomness\nof correlations in view of actual market fluctuations. Secondly, it can be regarded\nas an improved version of standard method to preserve its tractability, transparency,\nand simpleness, which are strongly recommended in the current Basel committee\nreports. Thirdly, the new approach can output reasonable losses with concise\nsystem. In this paper, the author explains the theoretical aspects of this approach\nand the results from numerical experiments with actual financial market data.","subitem_description_language":"en","subitem_description_type":"Abstract"}]},"item_10002_identifier_registration":{"attribute_name":"ID登録","attribute_value_mlt":[{"subitem_identifier_reg_text":"10.34577/00004030","subitem_identifier_reg_type":"JaLC"}]},"item_10002_publisher_8":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"国際基督教大学","subitem_publisher_language":"ja"}]},"item_10002_source_id_9":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"04542134","subitem_source_identifier_type":"ISSN"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"open access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_abf2"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"金子, 拓也","creatorNameLang":"ja"}],"nameIdentifiers":[{"nameIdentifier":"5472","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2016-04-14"}],"displaytype":"detail","filename":"81号_A2金子拓也.pdf","filesize":[{"value":"1.6 MB"}],"format":"application/pdf","licensetype":"license_11","mimetype":"application/pdf","url":{"label":"相関係数の変動性を考慮した、信用リスク管理方法について —相関係数をランダム行列化したガウシアンコピュラモデルの提案(1)(2)—","url":"https://icu.repo.nii.ac.jp/record/4140/files/81号_A2金子拓也.pdf"},"version_id":"58e82c78-326f-4895-89c4-69efd82fcfc0"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"相関係数の変動性を考慮した、信用リスク管理方法について —相関係数をランダム行列化したガウシアンコピュラモデルの提案(1)(2)—","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"相関係数の変動性を考慮した、信用リスク管理方法について —相関係数をランダム行列化したガウシアンコピュラモデルの提案(1)(2)—","subitem_title_language":"ja"},{"subitem_title":"A New Framework for Credit Risk Management with the Randomness of Correlation Matrix","subitem_title_language":"en"}]},"item_type_id":"10002","owner":"14","path":["429"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2016-04-14"},"publish_date":"2016-04-14","publish_status":"0","recid":"4140","relation_version_is_last":true,"title":["相関係数の変動性を考慮した、信用リスク管理方法について —相関係数をランダム行列化したガウシアンコピュラモデルの提案(1)(2)—"],"weko_creator_id":"14","weko_shared_id":-1},"updated":"2023-10-02T04:59:06.437923+00:00"}