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Probability of default validation in a corporate credit rating model
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국내모회사와 해외자회사 신용평가모형의 적합성 검증 연구

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Type
Academic journal
Author
Journal
The Korean Data and Information Science Society Journal of the Korean Data And Information Science Society Vol.28 No.3 KCI Excellent Accredited Journal
Published
2017.5
Pages
605 - 615 (11page)

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Probability of default validation in a corporate credit rating model
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Recently, financial supervisory authority of Korea and international credit rating agencies have been concerned about a stand-alone rating that is calculated without incorporating guaranteed support of parent companies. Guaranteed by parent companies, most foreign subsidiaries keeps good credit rate in spite of weak financial status. However, what if the parent companies stop supporting the foreign subsidiaries, they could have a probability to go bankrupt. In this paper, we have validated a credit rating model through statistical measurers such as performance, calibration, and stability for Korean companies owning foreign subsidiaries.
#credit rating model #리스크관리 #지급보증 #기업신용평가모형 #리스크과학 #부도율 #Risk science #parent company guarantee #probability of default #risk management

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[학술지(정기간행물)] - Centor, R. / 1991 / Signal detectability : The use of ROC curve and their analysis / Medical Decision Making 11 : 102 ~ 106 google schola [학술지(정기간행물)] - 하정철 / 2015 / 기준값 변화에 따른 기업신용평가모형 성능 비교 / 한국데이터정보과학회지 26 (6) : 1207 ~ 1216 dbpia [학술지(정기간행물)] - 홍종선 / 2011 / ROC 함수 추정 / 응용통계연구 24 (6) : 987 ~ 994 google schola [학술지(정기간행물)] - Je, H. / 2013 / / Trade Focus 12 : 1 ~ 19 google schola [학술대회논문] - Joseph, M. P / 2005 / A PD validation framework for Basel II internal ratings-based systems / Credit Scoring and Credit Control IV google schola

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UCI(KEPA) : I410-ECN-0101-2018-041-001369459