Earticle

초록

영어

This paper examines how alternative coupon recovery assumptions—no-coupon recovery (NCR) versus full-coupon recovery (FCR)—affect default probability estimates and their empirical performance in the Korean corporate bond market. Specifically, we compare the NCR model of Hilscher, Jarrow, and van Deventer (2025) (HJD) with the FCR model of Jarrow and Turnbull (1995) (JT) to assess how differences in coupon recovery assumptions translate into variation in discriminatory power for actual credit events. Using daily corporate bond data for publicly listed firms from the FnPricing database over the period 2015–2024, we analyze the behavior of model-implied default probabilities around credit events. The results show that default probabilities derived from the HJD model—which excludes recovery on post-default coupons—respond more sensitively to market-implied measures of credit risk than those from the JT model. Overall, the findings provide evidence that coupon recovery assumptions play a critical role in determining the ability of default probability measures to identify realized credit events.

목차

Abstract
Ⅰ. Introduction
Ⅱ. Data and variable description
1. Sample selection
2. Estimating default probability
3. Descriptive statistics
Ⅲ. Empirical results
1. Profile analysis
2. Logistic regression analysis
3. Type I-Type II error analysis
Ⅳ. Conclusion
References
<부록>

키워드

저자

• JinGi Ha [ Assistant Professor, Soongsil University ] Corresponding Author
• HeeYeon Kim [ Assistant Manager, FnPricing ]
• Changeun Kim [ Assistant Manager, FnPricing ]
• JongHyun Lim [ Manager, FnPricing ]

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