À繫¿¬±¸ Á¦ ±Ç È£ (2013³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.182~218
pp.182~218
Default Probabilities and Interest Expenses of Privately Held Firms
Jin-Chuan Duan Risk Management Institute and Department of Finance, National University of Singapore.
Baeho Kim Korea University Business School
Changki Kim Korea University Business School
Woojin Kim Seoul National University Business School.
Donghwa Shin Department of Operational Research and Financial Engineering, Princeton University.
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-specic 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.
Jin-Chuan Duan
Baeho Kim
Changki Kim
Woojin Kim
Donghwa Shin
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-specic 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.