{"created":"2021-03-01T07:02:08.214684+00:00","id":42271,"links":{},"metadata":{"_buckets":{"deposit":"309c5f1e-413f-4068-80a0-d8a4a427457d"},"_deposit":{"id":"42271","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42271"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042271","sets":["62:7433:7437","9:7435:7436"]},"item_8_alternative_title_1":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"A Structural Approach without Path Dependency"}]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2007-06","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-J-179","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-J"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"This paper proposes a structural model to price credit risk of firms with short-term and long -term debts. In Ikeda, Kobayashi, and Takahashi (2005), since it assumed that the short-term debt is refunded by issuing a new short-term debt only, the future face value of the short-term debt depends on the path of asset value, which makes analysis very complicated. In order to avoid the problem, we build a new model without path dependency by assuming the future face values of short term debts to be fixed. Furthermore, by the improvement of the model, we show that the model can apply to the pricing of credit derivatives, and present the example of the pricing of a convertible bond.","subitem_description_type":"Abstract"},{"subitem_description":"この論文は、企業の信用リスク評価の構造型アプローチに、短期負債と長期負債の区別を取り込むフレームワークを提示する。池田・小林・高橋（2005）では短期負債の償還をすべて新たな短期負債の発行によって行うと仮定したため、将来の負債残高が資産価値の経路に依存しモデルが複雑になる問題点があった。本論文では、その問題点を回避するため、将来の負債額面を一定と仮定することにより経路依存性のないモデルに改良した。モデルの改良により、クレジット・デリバティブのプライシングへの応用が可能になり、その例として転換社債のプライシングを行った。","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"97271","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Ikeda, Ryoichi"}]},{"nameIdentifiers":[{"nameIdentifier":"97272","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Kobayashi, Takao"}]}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2007/2007cj179ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11451834","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"330","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"東京大学大学院経済学研究科"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"池田, 亮一"}],"nameIdentifiers":[{"nameIdentifier":"97269","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"小林, 孝雄"}],"nameIdentifiers":[{"nameIdentifier":"97270","nameIdentifierScheme":"WEKO"}]}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"非経路依存型バランスシートアプローチ","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"非経路依存型バランスシートアプローチ"}]},"item_type_id":"8","owner":"1","path":["7436","7437"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-06-03"},"publish_date":"2013-06-03","publish_status":"0","recid":"42271","relation_version_is_last":true,"title":["非経路依存型バランスシートアプローチ"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:27.757796+00:00"}