日本と韓国のソブリン格付に関する検証  [in Japanese] Assessment on the Sovereign Ratings of Japan and the Republic of Korea  [in Japanese]

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Abstract

90 年代の終わりから 2002 年にかけてムーディーズ社が日本の国債(負債)の格付を継続的に引き下げ,大きな社会的問題となった.本研究では,まず,ソブリン(国の)格付を,自国通貨建て格付と外貨建て格付に区別する.次に,社債に関する倒産確率の計量モデルである Merton モデルを,自国通貨建てと外貨建ての相違点を反映したソブリンリスクの計量に効果的に適用する手法を示す.提案手法を用いて大手格付機関が与えるソブリン格付に関する特徴,妥当性などを検討する際には,アジアの中で日本と発展段階が比較的近い韓国を取り上げて日本との比較もあわせて行う.分析結果によれば,日本のソブリン格付はおおむね妥当と思われる.From late 1990's to 2002, Moodys Inc. consecutively lowered Japanese sovereign rating and it became a big issue among not only the people in financial industry but also the politicians and the bureaucrats. In this research, we discuss the validity of the sovereign ratings of Japan assuming that the sovereign rating on the debt with Yen could be totally different from that on the debt with other currencies. For the discussion, we effectively utilize the famous Merton model, which is often adopted in the valuation of the default risk in corporate bonds to capture the default risk in both of the sovereign debts. When we examine the feature and the validity of the sovereign ratings by several major rating agencies based on the proposed method, we also analyze the sovereign risk of the Republic of Korea, which is in the same development stage as Japan in Asian countries and compare the results with those in the case of Japan. In our discussion, the sovereign ratings of Japan seem to be reasonable.

From late 1990's to 2002, Moodys Inc. consecutively lowered Japanese sovereign rating and it became a big issue among not only the people in financial industry but also the politicians and the bureaucrats. In this research, we discuss the validity of the sovereign ratings of Japan assuming that the sovereign rating on the debt with Yen could be totally different from that on the debt with other currencies. For the discussion, we effectively utilize the famous Merton model, which is often adopted in the valuation of the default risk in corporate bonds to capture the default risk in both of the sovereign debts. When we examine the feature and the validity of the sovereign ratings by several major rating agencies based on the proposed method, we also analyze the sovereign risk of the Republic of Korea, which is in the same development stage as Japan in Asian countries and compare the results with those in the case of Japan. In our discussion, the sovereign ratings of Japan seem to be reasonable.

Journal

  • 情報処理学会論文誌数理モデル化と応用(TOM)

    情報処理学会論文誌数理モデル化と応用(TOM) 48(SIG15(TOM18)), 1-10, 2007-10-15

    Information Processing Society of Japan (IPSJ)

References:  14

Codes

  • NII Article ID (NAID)
    110006419277
  • NII NACSIS-CAT ID (NCID)
    AA11464803
  • Text Lang
    JPN
  • Article Type
    Article
  • ISSN
    1882-7780
  • NDL Article ID
    8951624
  • NDL Call No.
    Z74-C192
  • Data Source
    CJP  NDL  NII-ELS  IPSJ 
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