Current accounts of Japanese airports

The paper examines the current account of 41 major airports. When we exclude depreciation costs, only seven airports are profitable. When depreciation is excluded, only three airports are making profits. Airports managed by local governments are very difficult to sustain financially without subsidies. Airports with more than 5.2 million passengers are profitable when depreciation is taken into account, however most local airports have fewer than 2.5 million passengers. When depreciation costs are excluded, airports need at least 2.7 million passengers to be viable.     

An Estimation Model for the Term Structure of Yield Spread

An estimation model for term structure of yield spread has become an extremely important subject to evaluate securities with default risk. By Duffie and Singleton model, yield spread was explained by two factors, namely collection rate and default probability. An estimation of the collection rate is given from historical earnings data, but estimation of default probability is known to be a remaining problem.There are some approaches to express default probability. One of them is to describe it through hazard process, and the other is to represent it by risk neutral transition probability matrix of credit-rating class. Some models that use Gaussian type hazard process or Vasicek type hazard process have already constructed.An advantage of evaluation using a rating transition probability matrix is that it is easy to obtain an image of movement of the credit-rating class. We do not need to show the calculation basis of the threshold or an assumption for distribution of prospective yield spread. But the model that uses the risk neutral transition probability matrix has not established yet, because of the computational difficulty required to estimate large number of the parameters.At first, for the purposes of this article, we will estimate the term structure of credit spreads results from the possibility of future defaults. It is assumed that credit risk is specified as a discrete-state Markov chain. And we construct a model which can be used to estimate the baseline transition matrix of the credit-rating class, risk-adjusting factors, industrial drift factors, corporate drift factors and recovery ratio, from yield spreads for individual bond. This enables us to compute the implied term structure from market data. We are capable of computing the implied term structure from market date by this process. Next, we will provide a valuation model for the term structure of yield spread.