초록

구조모형을 이용하면 차주가 상장회사인 경우, 주식시장 자료로부터 LGD에 대한 자료 없이 PD를 구할 수 있다. 한편 축약모형을 이용하면 역시 같은 차주가 발행하는 회사채 유통수익률과 국고채 수익률 자료를 이용하여 신용위험이 있는 회사채의 EL을 구할 수 있다. 본 논문은 구조모형과 축약모형이 같은 차주의 PD와 EL을 추정한다는 점에 착안하여 그로부터 LGD를 내재적으로 추정하는 방법을 제시한다. 이 LGD는 시장자료로부터 추론된 위험중립 내재LGD라고 할 수 있다. 내재LGD는 LGD에 대한 역사적 자료가 존재하지 않더라도 증권시장에서 정보를 획득할 수 있으면 내재LGD 추론이 가능한 장점을 가진다. 이 모형의 적합성을 평가하기 위해 2005년부터 2007년까지 기간동안 국내 상장회사를 대상으로 내재LGD를 추정한 결과, 평균 LGD는 3.87%로 추정된다. 이는 직관적인 수치에 비해 과소한 것으로 사료된다. 구조모형으로 추정한 EDF가 과대추정되거나 채권시가평가에 의해 추정된 신용스프레드가 과소추정되는 것이 원인으로 추정된다. 내재LGD를 결정하는 기업의 횡단면적인 재무요인을 분석한 결과, 기업요인으로서 총자산, 부채비율과 산업요인으로서 산업평균 매출액성장률이 유의한 것으로 나타난다.

키워드

부도시손실율, 예상손실, 부도확률, 결합모형, 결정요인

참고문헌(49)open

  1. [학위논문] 강호정 / 2000 / ?법정관리의 부의 이전효과 및 효율성?

  2. [단행본] 정완호 / 2003 / 주가와 채권수익률을 이용한 기업도산 예측의 비교 / 증권학회 학술발표논문집

  3. [기타] Acharya, V. V. / 2003 / Understanding the Recovery Rates on Defaulted Securities”, Working Paper, London Business School

  4. [기타] Acharya, V. V. / 2007 / Does Industry-wide Distress Affect Defaulted Firms? ? Evidence from Creditor Recoveries”, Journal of Political Economy

  5. [학술지] Aharoney, J. / 1996 / Additional evidence on the information-based contagion effects of bank failures / Journal of Business 56 (3) : 305 ~ 322

  6. [학술지] Altman, E. / 1977 / ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations / Journal of Banking & Finance 1 (1) : 29 ~ 54

  7. [단행본] Altman, E. / 2005 / Recovery Risk: The Next Challenge in Credit Risk Management / Riskbooks London

  8. [학술지] Altman, E. / 2005 / The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications / Journal of Business 78 (6) : 2203 ~ 2227

  9. [기타] Altman, E. / 2006 / Are Historically Based Default and Recovery Models Still Relevant in Today’s Credit Environment”, NYU Salomon Center Special Report, October

  10. [기타] Altman, E. / 2007 / The High-Yield Bond Default and Return Report: Third-Quarter 2006 Review”, NYU Salomon Center Special Report, January

  11. [학술지] Asarnow, E. / 1995 / Measuring Loss on Defaulted Bank Loans: a 24 year Study / Journal of Commercial Bank Lending 77 (7) : 11 ~ 23

  12. [기타] Basel Commission on Bank Regulation / 2004 / International Convergence on Capital Measurement and Capital Standards, Bank of International Settlement, June

  13. [기타] Basel Commission on Bank Regulation / 2005 / Guidance on Paragraph 468 of the Framework Document, Bank of International Settlement, July

  14. [단행본] Baltagi, B. / 2005 / Econometric Analysis of Panel Data / John Wiley & Sons, Ltd.

  15. [학술지] Black, F. / 1976 / Valuing Corporate Securities: Some Effects of Bond Indenture Provisions / Journal of Finance 31 : 351 ~ 367

  16. [기타] Carty, L. V. / 1996 / Defaulted bank loan recoveries?, Global Credit Research, Special report. Moody‘s Investors Service

  17. [기타] Credit Suisse Financial Products / 1997 / CreditRisk+: A Credit Risk Management Framework?, Technical Document

  18. [단행본] Crosbie, P. J. / 1999 / Modeling Default Risk / mimeo, KMV Corporation

  19. [학술지] Crouhy, M. / 1994 / The interaction between the financial and investment decisions of the firm: The case of issuing warrants in a levered firm / Journal of Banking and Finance 18 : 861 ~ 880

  20. [기타] De Carvalho, N. / 2003 / Bank loan losses-given-default ? empirical evidence", Working Paper, INSEAD

  21. [학술지] Duffee, G. R. / 1999 / Estimating the Price of Default Risk / Review of Financial Studies 12 (1) : 197 ~ 225

  22. [기타] Duffie, D. / 1998 / Defaultable Term Structure Models with Fractional Recovery of Par”, Graduate School of Business, Stanford University

  23. [학술지] Duffie, D. / 1999 / Modeling the Term Structures of Defaultable Bonds / Review of Financial Studies 12 : 687 ~ 720

  24. [기타] Eales, R. / 1998 / Severity of Loss in the Event of Default in Small Business and Large Consumer Loans”, The Journal of Lending and Credit Risk management / The Journal of Lending and Credit Risk management,May : 58 ~ 65

  25. [기타] Emery, K. / 2004 / Recovery Rates on North American Syndicated Bank Loans, 1989-2003", Moody’s Investors Service

  26. [기타] Emery, K. / 2003 / Moody’s Loan Default Database as of November 2003", Moody’s Investors Service

  27. [기타] Frye, J. / 2000a / Collateral Damage”, Risk : 91 ~ 94

  28. [기타] Frye, J. / 2000b / Collateral Damage Detected”, Working Paper, Emerging Issues Series, Federal Reserve Bank of Chicago : 1 ~ 14

  29. [학술지] Geske, R. / 1977 / The Valuation of Corporate Liabilities as Compound Options / Journal of Financial and Quantitative Analysis 12 : 541 ~ 552

  30. [학술지] Gropp, R. / 2002 / Equity and Bond Market Signals as Leading Indicators of Bank Fragility / Working Paper (150)

  31. [기타] Gupton, G. M. / 2002 / LossCalc: Moody’s Model for Predicting Loss Given Default (LGD)”, Moody’s KMV, New York

  32. [단행본] Gupton, G. M. / 1997 / CreditMetrics™-Technical Document? / JP Morgan & Co., New York

  33. [기타] Hamilton, D. T. / 2001 / Default and Recovery Rates of Corporate Bond Issuers: 2000”, Moody’s Investors Service, February

  34. [학술지] Hull, J. / 1995 / The Impact of Default Risk on the Prices of Options and Other Derivative Securities / Journal of Banking and Finance 19 : 299 ~ 322

  35. [학술지] Jarrow, R. A. / 2001 / Default Parameter Estimation Using Market Prices / Financial Analysts Journal 57 (5) : 75 ~ 92

  36. [학술지] Jarrow, R. A. / 1997 / A Markov Model for the Term Structure of Credit Risk Spreads / Review of Financial Studies 10 : 481 ~ 523

  37. [학술지] Jarrow, R. A. / 1995 / Pricing Derivatives on Financial Securities Subject to Credit Risk / Journal of Finance 50 : 53 ~ 86

  38. [학술지] Jones, E. / 1984 / Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation / Journal of Finance 39 : 611 ~ 627

  39. [학술지] Lando, D. / 1998 / On Cox Processes and Credit Risky Securities / Review of Derivatives Research 2 : 99 ~ 120

  40. [학술지] Longstaff, F. A. / 1995 / A Simple Approach to Valuing Risky Fixed and Floating Rate Debt / Journal of Finance 50 : 789 ~ 819

  41. [기타] Gupton, G. M. / 2005 / 「LossCalc v2: Dynamic Prediction of LGD?, Moody's|KMV

  42. [학술지] Madan, D. / 1995 / Pricing the Risks of Default / Review of Derivatives Research 2 : 121 ~ 160

  43. [학술지] Merton, R. C. / 1974 / On the Pricing of Corporate Debt: The Risk Structure of Interest Rates / Journal of Finance 2 : 449 ~ 471

  44. [학술지] Miu, P. / 2006 / Basel Requirements of Downturn Loss-Given- Default: Modeling and Estimating Probability of Default and LGD Correlations / Journal of Credit Risk 2 (2) : 43 ~ 68

  45. [기타] McQuown, J. A. / 1993 / A Comment on Market vs. Accounting Based Measures of Default Risk”, mimeo, KMV Corporation

  46. [기타] Nielsen, L. T. / 1993 / Default Risk and Interest Rate Risk: The Term Structure of Default Spreads”, Working Paper, INSEAD

  47. [기타] Vasicek, O. A. / 1984 / Credit Valuation", KMV Corporation, March

  48. [학술지] Wilson, T. / 1997a / Portfolio credit risk I / Risk 10 (9)

  49. [학술지] Wilson, T. / 1997b / Portfolio credit risk II / Risk 10 (10)