{"created":"2023-05-15T11:42:33.267860+00:00","id":1975,"links":{},"metadata":{"_buckets":{"deposit":"667b67e9-5513-49a4-914a-b75f05ce4f5e"},"_deposit":{"created_by":1,"id":"1975","owners":[1],"pid":{"revision_id":0,"type":"depid","value":"1975"},"status":"published"},"_oai":{"id":"oai:kanagawa-u.repo.nii.ac.jp:00001975","sets":["74:79:108:148"]},"author_link":["3745","3746"],"item_3_alternative_title_20":{"attribute_name":"その他の言語のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"Decision of Number of Systematic Factors Based on Principal Component Analysis when Factor Model is Introduced"}]},"item_3_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2011-03-31","bibliographicIssueDateType":"Issued"},"bibliographicPageEnd":"116","bibliographicPageStart":"107","bibliographicVolumeNumber":"41","bibliographic_titles":[{"bibliographic_title":"国際経営論集"}]}]},"item_3_description_4":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"信用ポートフォリオ･リスクを評価する際、一般に、各債務者の資産収益率を複数の市場変動要因（システマティック･リスクファクター）と1つの債務者固有の変動要因の線型和でモデル化するが、ファクター間の依存構造を所与としたとき、ファクター数とリスク量の関係を調べることは、リスク管理上重要な課題である。本稿では、主成分分析に基づくファクター数決定モデルにより、独立なファクターの数とリスク量との関係を調べる。また、比較として、ファクター間の相関を考慮したモデルを用いて、依存構造の違いがリスク量に与える影響を調べる。","subitem_description_type":"Abstract"}]},"item_3_description_40":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"subitem_description":"Article","subitem_description_type":"Other"}]},"item_3_description_5":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"研究論文","subitem_description_type":"Other"}]},"item_3_publisher_33":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"神奈川大学経営学部"}]},"item_3_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN10153220","subitem_source_identifier_type":"NCID"}]},"item_3_source_id_8":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"0915-7611","subitem_source_identifier_type":"ISSN"}]},"item_3_version_type_16":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_version_resource":"http://purl.org/coar/version/c_970fb48d4fbd8a85","subitem_version_type":"VoR"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"菅野, 正泰"}],"nameIdentifiers":[{"nameIdentifier":"3745","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Kanno, Masayasu"}],"nameIdentifiers":[{"nameIdentifier":"3746","nameIdentifierScheme":"WEKO"}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2018-11-16"}],"displaytype":"detail","filename":"41-12.pdf","filesize":[{"value":"4.6 MB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"41-12.pdf","url":"https://kanagawa-u.repo.nii.ac.jp/record/1975/files/41-12.pdf"},"version_id":"1076cedc-16a0-40df-be1c-5255c844e76c"}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"信用ポートフォリオ･リスク評価","subitem_subject_scheme":"Other"},{"subitem_subject":"システマティック･リスクファクター","subitem_subject_scheme":"Other"},{"subitem_subject":"主成分分析","subitem_subject_scheme":"Other"}]},"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":"departmental bulletin paper","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_title":"ファクターモデル導入時の主成分分析に基づくシステマティック･ファクター数の決定","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"ファクターモデル導入時の主成分分析に基づくシステマティック･ファクター数の決定"}]},"item_type_id":"3","owner":"1","path":["148"],"pubdate":{"attribute_name":"公開日","attribute_value":"2011-11-09"},"publish_date":"2011-11-09","publish_status":"0","recid":"1975","relation_version_is_last":true,"title":["ファクターモデル導入時の主成分分析に基づくシステマティック･ファクター数の決定"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-05-15T16:51:27.112282+00:00"}