구조모형과 축약모형을 결합한 내재 부도시손실율의 추정과 그 결정요인의 분석
Estimation of Implied Loss Given Default Combining Structural and Reduced-form Models and Analysis of Its Determinants
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초록
구조모형을 이용하면 차주가 상장회사인 경우, 주식시장 자료로부터 LGD에 대한 자료 없이 PD를 구할 수 있다. 한편 축약모형을 이용하면 역시 같은 차주가 발행하는 회사채 유통수익률과 국고채 수익률 자료를 이용하여 신용위험이 있는 회사채의 EL을 구할 수 있다. 본 논문은 구조모형과 축약모형이 같은 차주의 PD와 EL을 추정한다는 점에 착안하여 그로부터 LGD를 내재적으로 추정하는 방법을 제시한다. 이 LGD는 시장자료로부터 추론된 위험중립 내재LGD라고 할 수 있다. 내재LGD는 LGD에 대한 역사적 자료가 존재하지 않더라도 증권시장에서 정보를 획득할 수 있으면 내재LGD 추론이 가능한 장점을 가진다. 이 모형의 적합성을 평가하기 위해 2005년부터 2007년까지 기간동안 국내 상장회사를 대상으로 내재LGD를 추정한 결과, 평균 LGD는 3.87%로 추정된다. 이는 직관적인 수치에 비해 과소한 것으로 사료된다. 구조모형으로 추정한 EDF가 과대추정되거나 채권시가평가에 의해 추정된 신용스프레드가 과소추정되는 것이 원인으로 추정된다. 내재LGD를 결정하는 기업의 횡단면적인 재무요인을 분석한 결과, 기업요인으로서 총자산, 부채비율과 산업요인으로서 산업평균 매출액성장률이 유의한 것으로 나타난다.
Abstract
Using structural model, if an obligor is a listed company, we can estimate PD of the obligor without LGD from stock market data. Using reduced-form model, we can estimate EL of the same obligor from bond market data. We pay attention to the fact that both models provide PD and EL of the same obligor, and propose the alternative model combining structural and reduced-form models to estimate LGD of the obligor. We can call the LGD to be the risk-neutral implied one estimated from the market data. To validate the combined model, we execute the empirical analysis for the listed companies from 2005 to 2007. The average implied LGD is estimated to be 3.87%. I think it is underestimated from intuition. I think the reason is that the EDF from structural model is overestimated or credit spread from bond pricing agency is underestimated. I specify the cross-sectional financial variables which is significant for determining the implied LGD, and find that total asset, leverage ratio as firm factors and industrial average sales growth as industry factors are significant.
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