タイトル（掲載誌）CRR Working Paper, Series B
一般注記出版タイプ： NA
type:Technical Report
Institutional investors are supposed to assess credit risk by using a combination ofquantitative information such as option models and qualitative assessments. Althoughoption models can be easily constructed, they are not so suitable for the assessment of longtermcredit risk that is required by institutional investors. This is mainly because theprobability of bankruptcy varies so widely depending on the timing of assessment. Wepropose a new set of assessment models for long-term credit risk which does notnecessarily use stock prices and may incorporate business cycles. The new grand modelconsists of the two pillars: a long-term cash flow prediction model and a credit risk spreadassessment model. The calculated values derived from these models are effectively usablefor reasonable calculation of risk spreads. It is quite interesting to see that our investigationindicates that rating bias may exist in the credit risk assessment of the market.
identifier:CRR Working Paper, Series B, No. B-10, pp. 1-23
連携機関・データベース国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）