Earticle

초록

영어

Korean financial industry are experiencing rapid environmental changes since Asian financial crisis in late 90’s. Such environmental changes caused an increase of the need for measuring corporate credit risk or default probability Corporate default prediction is not a new theme and many prediction methods have been developed. So far, almost all of the methods are based on accounting informations or qualitative analysis of experts. So, the accuracy of the prediction can be affected by the transparency and the update timing of the accounting informations or the subjectivity of the experts. Recently, to overcome such limits of those prediction methods, some new models which are using investors’ expectations in financial markets are suggested. One of them is the EDF (expected default frequency) model , in which stocks are considered as a call option In this paper, we suggest an EDF model for Korean listed companies and examine whether the EDF model is useful in predicting corporate default in Korea, empirically. And we compare prediction results of the EDF model with other default prediction models The results of empirical tests in this paper show the EDF model is useful in predicting corporate default and in monitoring credit risk changes. And the results of the comparison with other models show that the EDF model provides more powerful and accurate predictive information on corporate default than other prediction models

목차

요약
 I. 서론
 II. 도산 예측 모형에 대한 고찰
 III. 옵션가격결정모형과 예상도산확률모형
  1. 옵션가격결정모형과 기업의 도산 가능성
  2. 예상도산확률모형을 통한 도산 가능성의 측정
 IV. 예상도산확률모형을 이용한 도산예측 결과
  1. 예상도산확률모형의 기업도산 예측능력
  2. 예상도산확률모형과 타 모형의 도산 예측능력 비교
 V. 결론
 참고문헌
 Abstract

키워드

저자

• 국찬표 [ Chan Pyo Kook | 서강대학교 경영학부 교수 ]
• 정완호 [ Wan Ho Jeong | 한국채권평가(주) 이사 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330