| Measuring Default Correlation with Firm-Specific Macroeconomic Exposures |
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Sung Tae Kim, Choong Oh Kang, Phil Sang Lee |
| 기업별 거시위험 민감도를 반영한 부도상관관계의 측정 |
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김성태, 강충오, 이필상 |
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| Abstract |
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To measure default correlations more accurately, we introduce a new hazard model to estimate default probability allowing for firm-specific exposures on common factors. Empirical tests using Korean corporate default data from 1993 to 2005 show that the model produces higher default correlations than previous hazard models. This result shows that the common belief that the default correlations from hazard models are too low compared to those from cohort methods is wrong. Also, we show that the hazard model with firmspecific macroeconomic exposures is useful to measure firm-by-firm default correlations as well as to model the relationship between default correlations and business cycle. |
| Key Words:
거시위험민감도,부도상관관계,신용위험,해저드 모형,해저드율,Credit Risk,Default Correlation,Hazard model,Hazard Rate,Macroeconomic Exposure |
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