재무연구 제 권 호 (2009년 5월)
Asian Review of Financial Research, Vol., No..
pp.382~409
pp.382~409
Predicting Default with Firm-specic Macroeconomic Exposures
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
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-specic 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.
ChoongOh Kang
Sung-Tae Kim
Phil Sang Lee
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-specic 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.
