Earticle

초록

영어

This paper develops a new credit risk model for small and medium-sized enterprises (SMEs) based on the DSW model of stochastic default intensity and the dynamics of underlying time-varying covariates. In particular, our model incorporates the default probability with the probability of initial public offerings (IPOs) in the framework of a censored stopping-time model. Default stopping time comprises of such variables as total borrowings/total assets in the stability, ROA in the profitability, account payable/sales in the activity, and financial expenses/total cost in the etc. As for the IPO stopping time, the natural log of total assets in the stability, net income/net sales in the profitability, and cash flows from operating activities/ net sales in the etc. are significant for the IPO stopping time. It is found that our model based on DSW model outperforms the multi-period logit model consistently and robustiously according to various prediction horizons and lag orders of VAR for macro-variates because the continuous stopping-time framework emphasizing on the stochastic default intensity accurately calculates the default probability superior to the discrete-time model equivalently computing the survival and default probability. In addition, it captures countercyclically monthly-frequency movement of capital requirements in compliance with the new Basel Accord. The implication is that our model as the early warning system may help the financial supervisory authority to predict the expected loss due to the sudden collapse of economic fundamentals such as rapid transfer of debtors' credit risks.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. Reviews of Research Literature
  1. Default Prediction Studies
  2. IPO Studies
  3. SME Studies under Basel Accords
 Ⅲ. Default Prediction Model for SMEs
  1. Econometric Methodology
  2. SME Model Development
 Ⅳ. Capital Requirements for SMEs According to Basel Accord
  1. Internal Ratings-Based (IRB) Approach
  2. Countercyclical Capital Requirements for SMEs
 V. Conclusion
 References

키워드

저자

• Changwoo Nam [ Research Fellow, Department of Financial Policy, Korea Development Institute ]

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