• The Journal of the Korea Contents Association
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• v.7 no.12
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• pp.123-130
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• 2007

The purpose of this paper is to capture risk profiles of smaller-sized Korean firms $vis-{\grave{a}}-vis$ larger-sized firms during the Asian financial crisis. For this purpose, risk profiles are provided by estimating expected default risks and by tracking how these have changed during this period with respect to their magnitude, volatility, and sensitivity measures. Methodology used in this study employs the Black-Scholes-Merton model for producing estimates of default risks. And the conventional trans-log function is utilized for obtaining sensitivity measures of the estimated default risks. According to empirical evidence obtained here, it is revealed that contractions of corporate loans associated with IMF austerity policy was the main factor responsible for the drastic change in the default risk profile of Korean firms after occurrence of the Asian financial crisis.

• The Korean Journal of Applied Statistics
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• v.24 no.2
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• pp.253-268
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• 2011

In this paper, we estimate systematic risk from credit migration (or transition) matrices under "Asymptotic Single Risk Factor" model. We analyzed transition matrices issued by KR(Korea Ratings) and concluded that systematic risk implied on credit migration somewhat coincide with the real economic cycle. Especially, we found that systematic risk implied on credit migration is better than that implied on the default rate. We also emphasize how to conduct a stress test using systematic risk extracted from transition migration. We argue that the proposed method in this paper is better than the usual method that is only considered for the conditional probability of default(PD). We found that the expected loss critically increased when we explicitly consider the change of credit quality in a given portfolio, compared to the method considering only PD.

• Korean Journal of Construction Engineering and Management
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• v.13 no.4
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• pp.60-68
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• 2012

The past IMF foreign exchange crisis and subprime financial crisis had a big influence on variability of macroeconomics, even if the origin of its occurrence might be different. This not only had a significant infrequence on the overall industries, but also produced many insolvent companies by being closely linked with a management environment of an individual construction company leading the construction industry. Actually, the level of default risk of construction companies before and after fluctuation of macroeconomics gets to experience a rapid changing process, and a difference in reaction against shock exists according to each company. Accordingly, the purpose of this paper is to confirm the fluctuation process of the default risk of construction companies under the fluctuation of macroeconomics such as the IMF financial crisis and the subprime mortgage crisis. As an analysis result, it is judged that the subprime financial crisis gave bigger shock to construction companies than the foreign exchange crisis, and it is expected that this would have a relation with the construction market before shock of macroeconomics. In addition, it was analyzed that when comparing insolvent companies with normal companies, the recovery speed of normal companies is faster. It is judged that this was affected by a difference of internal business capacity between insolvent companies and normal companies.

• The Journal of the Korea Contents Association
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• v.16 no.3
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• pp.81-90
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• 2016

This study aims to investigate the association between stock performance and credit ratings, and credit rating changes using a sample of 1,691 KRX firm-years that acquire equity in the form of long-term bonds from 2002 to 2013. Previous U.S. literature is mixed with regard to the relation between credit ratings and stock price. On one hand, there is evidence of a positive relation between credit ratings and stock prices, an anomaly established in U.S. studies. On the other hand, the CAPM model suggests a negative relation between stock prices and credit ratings, implying that investors expect financial rewards for bearing additional risk. To our knowledge, we are the first to examine the relationship between stock price and default risk proxied by credit ratings in period t+1. We find a negative (positive) relation between credit ratings (risk) in period t+1 and stock returns in period t, suggesting that credit rating agencies do not consider stock returns as a metric with the potential to influence default risk. Our results suggest that market participants may prefer firms with higher credit risk because of expected higher returns.

• The Journal of the Korea Contents Association
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• v.15 no.7
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• pp.531-543
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• 2015

Benjamin, Lusht, and Shilling(1998) suggested that the level of deposit can be used as a tool to resolve the problem of adverse selection by the leaseholder under the circumstance of information asymmetry. In this respect, this research aims to verify how the level of deposit and monthly rent mitigate the problem of information asymmetry existing in the office market in Seoul. So far, the analysis of the office market in Seoul has been difficult due to the fixed rate of deposit and monthly rent. This research attempts to adopt the concept of occupancy cost, a global standard indicator that would replace the default risk of monthly payment for analyzing the market. As a result of a series of empirical analysis, the lessors tend to add about 9 percent of risk premium to the occupancy cost to hedge against the default risk of monthly payment. It allows for estimating at what extent one should reflect the leaseholder's default risk of monthly payment for operating deposit and monthly rent in the office building lease market.

• Journal of the Korean Data and Information Science Society
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• v.26 no.6
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• pp.1417-1426
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• 2015

We develop the high risk group predictive model for loan default by utilizing the direct loan data from 2012 to 2014 of the Korea Student Aid Foundation. We perform the decision tree analysis using the data mining methodology and use SAS Enterprise Miner 13.2. As a result of this model, subject types were classified into 25 types. This study shows that the major influencing factors for the loan default are household income, national grant, age, overdue record, level of schooling, field of study, monthly repayment. The high risk group predictive model in this study will be the basis for segmented management service for preventing loan default.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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• pp.665-673
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• 2021

Default has become an extreme concern in the current world due to the financial crisis. The previous prediction of companies' bankruptcy exhibits evidence of decision assistance for financial and regulatory bodies. Notwithstanding numerous advanced approaches, this area of study is not outmoded and requires additional research. The purpose of this research is to find the best classifier to detect a company's default risk and bankruptcy. This study used secondary data from the Pakistan Stock Exchange (PSX) and it is time-series data to examine the impact on the determinants. This research examined several different classifiers as per their competence to properly categorize default and non-default Pakistani companies listed on the PSX. Additionally, PSX has remained consistent for some years in terms of growth and has provided benefits to its stockholders. This paper utilizes machine learning techniques to predict financial distress in companies listed on the PSX. Our results indicate that most multi-stage mixture of classifiers provided noteworthy developments over the individual classifiers. This means that firms will have to work on the financial variables such as liquidity and profitability to not fall into the category of liquidation. Moreover, Adaptive Boosting (Adaboost) provides a significant boost in the performance of each classifier.

• Journal of Digital Convergence
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• v.16 no.12
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• pp.175-183
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• 2018

This study analyzes determinants of bond returns in terms of systematic risk versus idiosyncratic risk by examining relationship among those factors. First we examined the cross-sectional determinants of corporate bond returns with Korean bond market data from 2001 to 2014. This paper uses term factor and default factor for systematic risk, and duration factor and credit rating factor for idiosyncratic risk. The empirical result shows that systematic risk can explain cross-sectional differences of bond returns rather than idiosyncratic risk which is the same result in advanced markets(US or Europe). This result is different from the previous Korean studies which showed that idiosyncratic risk is more important than systematic risk in Korean bond market. The reason for the different result may be the longer sample period which includes the most recent period. It is insisted that Korean bond market is getting more synchronized with the advanced bond market. In conclusion, this empirical result implies that Korean bond portfolio managers should focus on systematic risk, which is contrary to current system in Korean asset management industry.

• Journal of Family Resource Management and Policy Review
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• v.22 no.1
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• pp.63-78
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• 2018

This study examined the insolvency of debtors using multiple-indicator approaches and compared the outcomes across income levels with the 2016 'Household Financial and Welfare Survey'. This study used (1) the total debt to total assets ratio (DTA), (2) the total debt service ratio (DSR), and (3) the Household Default Risk Index (HDRI) recently developed by the Bank of Korea. Households in the lowest income quintile were more likely to be insolvent than any other income group. Demographics, such as age and gender of the household head, and most of the financial variables significantly increased the likelihood of insolvency based on the DTA. The number of household members and job status increased the likelihood of insolvency based on the DSR. Also, age, gender of the household head, and most of the financial variables increased the likelihood of household insolvency based on the HDRI after controlling for other demographics and financial variables.

• Journal of the military operations research society of Korea
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• v.22 no.2
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• pp.73-89
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• 1996

This paper suggests the new IP, SIMIP(Simple Mobile IP), which supports a continuous mobility between a static host and a mobile host in the static TCP/IP LAN environment where mobile hosts are overlayed with cells. For designing a mobile protocol, routing optimization is very important, and it is directly related to the management mechanism of a mobile host's location information. When the mobile hosts' location information are centralized, the network has high risk when a centralized device fails. On the other hand, when they are distributed, the above problems are solved. But it requires complicated techniques in order to search the encapsulated addresses. SIMP centralizes mobile hosts' location information, minimizes the risk by automatically substituting the failed default mobile router with one of the multiple general mobile routers, and supports the optimal routing path through "default mobile router path alternation" Then since SIMIP isn't reasonable the operations informations to the chief in military operations room.ions room.