Earticle

초록

영어

In this study, we estimate term structures of default probabilities for private rms using Korean data comprising 1,440 default events from 29,894 rms between 1999 and 2011. We then study whether the reported interest expenses are re
ective of the estimated default term structure. Each private rm's default likelihood is characterized by a forward intensity model employing both macro risk factors and rm-specic attributes derived from nancial statements. Although private rms have no traded stock prices, we devise a way of obtaining a public-rm equivalent distance-to-default by projection which references the distance-to-defaults of public rms with comparable rm attributes. Statistical tests indicate that the tted model provides accurate multiperiod forecasts of defaults for both nancial and non-nancial private rms. Our methodology can be directly applied by commercial lenders in charging appropriate interest rates upon lending decisions for dierent future periods.

목차

Abstract
 1 Introduction
 2 Modeling framework
 3 Data and sample
  3.1 Default and accounting data sources
  3.2 Sample construction
  3.3 Covariates
  3.4 Public-rm equivalent distance-to-default
  3.5 Implied interest rate and proxy maturity
 4 Empirical analysis
  4.1 Calibrating the forward intensity model
  4.2 Parameter estimates
  4.3 Forecasting accuracy analysis
  4.4 Relationship between interest expense and default risk
 5 Conclusion
 References
 Table

저자

• Jin-Chuan Duan [ Risk Management Institute and Department of Finance, National University of Singapore. ]
• Baeho Kim [ Korea University Business School ] Corresponding Author.
• Changki Kim [ Korea University Business School ]
• Woojin Kim [ Seoul National University Business School. ]
• Donghwa Shin [ Department of Operational Research and Financial Engineering, Princeton University. ]

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발행기관

간행물

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• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330