The risk management for technology credit guarantee fund

被引:19
作者
Jeon, H. J. [1 ]
Sohn, S. Y. [1 ]
机构
[1] Yonsei Univ, Seoul 120749, South Korea
关键词
technology credit guarantee fund; exposure at default; probability of default; losses given default; risk management; BASEL II;
D O I
10.1057/palgrave.jors.2602506
中图分类号
C93 [管理学];
学科分类号
12 ; 1201 ; 1202 ; 120202 ;
摘要
Technology credit guarantee Fund (TCGF) supports many small and medium companies with high degree of growth potential in technology. Generally, the performance of technology credit guarantee has been evaluated focusing on the probability of default (PD) on the fund recipient companies. But PD itself does not reflect the amount of loss. In this paper, we suggest the way to find the expected loss using the PD, Exposure at Default and Loss Given Default for risk management of the TCGF. Unlike general credit measure, we use the competing risk model in order to estimate the PD for various types of defaults. It is expected that our study can contribute to provide the efficient credit risk management for TCGF and the lending institution.
引用
收藏
页码:1624 / 1632
页数:9
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