{"@context":{"@vocab":"https://cir.nii.ac.jp/schema/1.0/","rdfs":"http://www.w3.org/2000/01/rdf-schema#","dc":"http://purl.org/dc/elements/1.1/","dcterms":"http://purl.org/dc/terms/","foaf":"http://xmlns.com/foaf/0.1/","prism":"http://prismstandard.org/namespaces/basic/2.0/","cinii":"http://ci.nii.ac.jp/ns/1.0/","datacite":"https://schema.datacite.org/meta/kernel-4/","ndl":"http://ndl.go.jp/dcndl/terms/","jpcoar":"https://github.com/JPCOAR/schema/blob/master/2.0/"},"@id":"https://cir.nii.ac.jp/crid/1390282680732843136.json","@type":"Article","productIdentifier":[{"identifier":{"@type":"DOI","@value":"10.15807/torsj.54.23"}},{"identifier":{"@type":"NDL_BIB_ID","@value":"023468824"}},{"identifier":{"@type":"URI","@value":"http://id.ndl.go.jp/bib/023468824"}},{"identifier":{"@type":"URI","@value":"https://ndlsearch.ndl.go.jp/books/R000000004-I023468824"}},{"identifier":{"@type":"URI","@value":"https://www.jstage.jst.go.jp/article/torsj/54/0/54_KJ00007756658/_pdf"}},{"identifier":{"@type":"NAID","@value":"110008913790"}}],"dc:title":[{"@language":"ja","@value":"企業価値変動モデルとCVaRを用いた与信ポートフォリオ最適化問題とその効率的解法"},{"@language":"en","@value":"CREDIT RISK OPTIMIZATION VIA CVAR AND ITS SOLUTION"},{"@language":"ja-Kana","@value":"キギョウ カチ ヘンドウ モデル ト CVaR オ モチイタ ヨシンポートフォリオ サイテキ カ モンダイ ト ソノ コウリツテキカイホウ"}],"dc:language":"ja","description":[{"type":"abstract","notation":[{"@language":"en","@value":"Credit risk is the risk of loss stemming from borrower's default. We consider the credit risk minimization problem and propose an optimization method for minimizing the risk measured by Conditional Value-at-Risk (CVaR) criterion. Default of firms is modeled by the corporate valuation model and the factor analysis of time series data of TOPIX Sector Indices, scenarios of defaults are generated, and then CVaR minimization problem is solved. By varying the number of factors incorporated in the model as well as the coefficient that determines the impact of factors peculiar to industry type, we observe how economic trend, industry type and rating of the firms influence the defaults and the credit risk. A large number of scenarios are required to obtain a reliable implication; however, the CVaR minimization problem becomes harder to solve. We propose a simple but effective pre-treatment of the scenarios and also a solution technique. We solved the problem with a hundred thousand scenarios in about 7 seconds and that with half a million scenarios in about 35 seconds."},{"@language":"ja","@value":"本論文では,東証業種別株価指数の推移データに因子分析を施した結果を用いて企業価値変動モデルを構築し,それに基づいてデフォルトのシナリオを発生させ,リスク尺度としてConditional Value-at-Riskを用いて与信の最適化を行った.これにより経済動向を示す共通因子の影響を,「共通因子の個数」と「共通因子と個別因子の影響の比を決めるパラメータ」の両者を変化させて観察した.解くべき最適化問題の規模はシナリオの個数に影響を受けるため,多数のシナリオを用いて問題を解くことは易しくないが,問題の構造を利用して,簡単な前処理と解法の工夫によって10万シナリオの問題を7秒程度で,50万シナリオの問題を35秒程度で解くことに成功した."}],"abstractLicenseFlag":"disallow"}],"creator":[{"@id":"https://cir.nii.ac.jp/crid/1420845751150498176","@type":"Researcher","personIdentifier":[{"@type":"KAKEN_RESEARCHERS","@value":"40334031"},{"@type":"NRID","@value":"1000040334031"},{"@type":"NRID","@value":"9000410270491"},{"@type":"NRID","@value":"9000412378690"},{"@type":"NRID","@value":"9000413479794"},{"@type":"NRID","@value":"9000002359873"},{"@type":"NRID","@value":"9000002761458"},{"@type":"NRID","@value":"9000045458504"},{"@type":"NRID","@value":"9000019215813"},{"@type":"NRID","@value":"9000290819668"},{"@type":"NRID","@value":"9000264874069"},{"@type":"RESEARCHMAP","@value":"https://researchmap.jp/read0078311"}],"foaf:name":[{"@language":"ja","@value":"後藤 順哉"},{"@language":"en","@value":"Gotoh 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祐一"},{"@language":"en","@value":"Takano Yuichi"}],"jpcoar:affiliationName":[{"@language":"en","@value":"Tokyo Institute of Technology"},{"@language":"ja","@value":"東京工業大学"}]},{"@id":"https://cir.nii.ac.jp/crid/1030003658421192320","@type":"Researcher","personIdentifier":[{"@type":"KAKEN_RESEARCHERS","@value":"00119033"},{"@type":"NRID","@value":"1000000119033"},{"@type":"CINII_AUTHOR_ID","@value":"DA1043705X"},{"@type":"URI","@value":"https://ci.nii.ac.jp/author/DA1043705X#entity"},{"@type":"URI","@value":"https://viaf.org/viaf/NII%7CDA1043705X"},{"@type":"NRID","@value":"9000003790318"},{"@type":"NRID","@value":"9000005097879"},{"@type":"NRID","@value":"9000413487734"},{"@type":"NRID","@value":"9000277058466"},{"@type":"NRID","@value":"9000310331280"},{"@type":"NRID","@value":"9000364101195"},{"@type":"NRID","@value":"9000006375370"},{"@type":"NRID","@value":"9000004837830"},{"@type":"NRID","@value":"9000243752562"},{"@type":"NRID","@value":"9000258161398"},{"@type":"NRID","@value":"9000006877710"},{"@type":"NRID","@value":"9000009297130"},{"@type":"NRID","@value":"9000415395789"},{"@type":"NRID","@value":"9000401706670"},{"@type":"NRID","@value":"9000415395793"},{"@type":"NRID","@value":"9000244920250"},{"@type":"NRID","@value":"9000279914853"},{"@type":"NRID","@value":"9000413488166"},{"@type":"NRID","@value":"9000317156544"},{"@type":"NRID","@value":"9000369330718"},{"@type":"NRID","@value":"9000014661944"},{"@type":"NRID","@value":"9000240537922"},{"@type":"NRID","@value":"9000311491985"},{"@type":"NRID","@value":"9000243912038"},{"@type":"NRID","@value":"9000413537216"},{"@type":"NRID","@value":"9000046009966"},{"@type":"NRID","@value":"9000413531860"},{"@type":"NRID","@value":"9000413528446"},{"@type":"RESEARCHMAP","@value":"https://researchmap.jp/read0018266"}],"foaf:name":[{"@language":"ja","@value":"山本 芳嗣"},{"@language":"en","@value":"Yamamoto Yoshitsugu"}],"jpcoar:affiliationName":[{"@language":"en","@value":"University of Tsukuba"},{"@language":"ja","@value":"筑波大学"}]},{"@id":"https://cir.nii.ac.jp/crid/1410282680732843138","@type":"Researcher","personIdentifier":[{"@type":"NRID","@value":"9000018817271"}],"foaf:name":[{"@language":"ja","@value":"和田 保乃"},{"@language":"en","@value":"Wada Yasuno"}],"jpcoar:affiliationName":[{"@language":"en","@value":"Mizuho-DL FT"},{"@language":"ja","@value":"みずほ第一FT(株)"}]}],"publication":{"publicationIdentifier":[{"@type":"PISSN","@value":"13498940"},{"@type":"LISSN","@value":"13498940"},{"@type":"EISSN","@value":"21888280"},{"@type":"NDL_BIB_ID","@value":"000007602106"},{"@type":"ISSN","@value":"13498940"},{"@type":"NCID","@value":"AA11998080"}],"prism:publicationName":[{"@language":"en","@value":"Transactions of the Operations Research Society of 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