ESTIMATION OF CHAIN REACTION BANKRUPTCY STRUCTURE BY CHANCE DISCOVERY METHOD- WITH TIME ORDER METHOD AND DIRECTED KEYGRA

Chain reaction bankruptcy is regarded as common phenomenon and its effect is to be taken into account when credit risk portfolio is analyzed. But consideration and modeling of its effect leave much room for improvement. That is mainly because method for grasping relations among companies with limited data is underdeveloped. In this article, chance discovery method is applied to estimate industrial relations that are to include companies' relations that transmit chain reaction of bankruptcy.Time order method and directed KeyGraph are newly introduced to distinguish and express the time order among defaults that is essential information for the analysis of chain reaction bankruptcy. The steps for the data analysis are introduced and result of example analysis with default data in Kyushu,Japan, 2005 is presented. The structure estimated by the new method is compared with the structure of actual account receivable holders of bankrupted companies for evaluation.

作 者： Shinichi GODA Yukio OHSAWA   作者單位： School of Engineering,The University of Tokyo,113-8656 Japan  刊 名： 系統科學與系統工程學報（英文版）  英文刊名： JOURNAL OF SYSTEMS SCIENCE AND SYSTEMS ENGINEERING  年，卷(期)： 2007 16(4)  分類號： N94  關鍵詞： Chance discovery   credit risk   chain reaction   bankruptcy  

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