The Quantitative Structure in Accounting Data of Japanese Manufacturing Companies and Its Relation to the Risk Management.

本研究旨在以日本制造企业的会计信息为基础，揭示日本制造企业的风险结构。研究分为两个部分：1.对日本企业数据进行实证研究；2.建立风险度量模型，并将其应用于数据。1的结果被合并到2中，作为选择解释变量的理由。我们没有明确地描述市场和公司财务状况之间的关系，而是采用了“间接方法”。也就是说，市场和财务状况之间的关系是通过可观察的解释变量或风险因素的相互依赖结构来捕捉的。这种相互依赖的结构实际上被建模为随机依赖。由于经典的方差-协方差方法不足以描述复杂的相互依赖结构，因此进行了局部线性逼近。使用Copulas是未来研究的另一种可能方法。

This research is aimed at revealing the risk structure of Japanese manufacturing companies on the basis of their accounting information.The research is devided into the following two parts : 1. conducting empirical studies on Japanese companies data, and 2. developing the risk measurement model and applying it on data. The results of 1 are incorporated in 2 as a reasoning for explanatory variable selection.Instead of describing the relationship between the markets and a company's financial status explicitly, we adopted the "indirect approach". That is, the relationship between the markets and the fiancial status is captured through the inter-dependent structure of observable explanatory variables or risk factors. The inter-dependent structure is in fact modeled as stochastic dependance. Since classical variance-covariance approach is insufficient to describe the complex inter-dependent structure, a local linear approximation was conducted. Using Copulas is another possible approach for future research.