Earticle

초록

영어

In this paper, we propose a new hazard model for default prediction. In the model, macroeconomic exposures are formed to be linear functions of observable rm characteristics. With this feature, the model allows not only time-varying but also rm-specic exposures on macroeconomic risk factors. Empirical tests are performed in Korean market using the default data from 1993 to 2005. Our model outperforms alternative models with regard to the power of forecasting default of rms. We also nd that IT, health care and consumer companies are more exposed to changes in USD/KRW exchange rate volatility. Also, high credit quality rms are found to be more sensitive to macroeconomic eects, which is consistent with previous researches.

목차

Abstract
 1 Introduction
 2 Hazard Model
 3 Incorporating Macroeconomic Eects
 4 Empirical Analysis
  4.1 Data
  4.2 Model Specication
  4.3 Estimation
  4.4 Forecast Accuracy
  4.5 Firm-specic Macroeconomic Exposures
 5 Conclusion
 References
 Table
 Appendix

키워드

저자

• ChoongOh Kang [ Adjunct Professor, College of Economics and Finance, Hanyang University ]
• Sung-Tae Kim [ Doctoral Student, Korea University Business School ]
• Phil Sang Lee [ Professor of Finance, Korea University Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330