건설보증 위험 및 가격 결정방법에 관한 연구
A Study on Construction Guarantee Risk and Pricing System
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
건설보증은 실무계에서 오랜 역사적 활용례를 보여왔고 근대에 와서 각국의 공공인프라 건설에 투입되는재정을 지키는 담보장치로서 제도적 근거를 확보해 왔다. 건설자본 구축에 일정한 시간이 소요되면서 목적물을 완성하기까지 다양한 채권-채무관계가 발생하는데 건설보증은 채권자에게 채무불이행을 보호할 수 있는담보이자, 채무자에게 부족한 신용을 보강하여 거래 성사를 촉진한다. 건설보증의 다양한 활용에도 불구하고그 적정가격에 관한 연구가 충분치 않은 가운데 본고는 조건부청구권의 속성을 갖는 보증위험과 최근 행동경제학적 방법으로 확인된 보증료 영향요인을 바탕으로 전통적인 경제변수 중심의 부도율추정 모델과 이를보완하여 정성적 요인을 중심으로 한 부도모형을 결합한 융합 모델을 제시하였다. 이를 위해 2008년~2019년간 우리나라 건설기업의 재무데이터 (약 87,293개사) 기반으로 부도율 추정모델로서 구조형모델을 추정하였고외부표본에 의해 그 추정력을 검증하였다. 아울러 이렇게 추정된 부도율모형의 한계를 보완할 수 있도록 건설금융 및 건설보증분야 전문가 10명을 대상으로 FGI(Focus Group Interview)를 진행하여 정성적 요인 중심의사전·사후 기업평가 요소를 바탕으로 별도의 평가체계를 제안하였다.
Abstract
Construction guarantees have shown historical use cases for a long time in the working world, and in modern times, they have secured institutional grounds as a security device to protect the finances invested in each country’s public infrastructure construction. As it takes a certain amount of time to build the construction capi- tal, various bond-debt relationships occur during the time to complete the object. Construction guarantees are collateral that can protect the debts in case of default on the creditors, and promote the completion of trans- actions by reinforcing insufficient credit for the debtors. Despite the various uses of construction guarantees, there were not enough studies on the appropriate price. Research so far has evolved from a default risk approach based on the contingent claim of a guarantee to a behavioral economic method. Based on this, in this paper, a convergence model that combines the default model centered on traditional economic variables and the default model centered on qualitative factors is presented as a complement to it. To this end, the structural model was estimated as a default rate estimation model based on financial data of Korean construction companies (about 87,293 companies) from 2008 to 2019, and the estimation power was verified by external samples. In addition, to complement the limitations pointed out in reflecting the simultaneity and complexity of economic activities of the estimated default rate, FGI (Focus Group Interview) was conducted with 10 experts in the field of construction finance and construction guarantee to focus on qualitative factors. A separate evaluation system was proposed based on the pre- and post-company evaluation factors.
참고문헌 (41)
- 강원철, "경기변동이 신용리스크에 미치는 영향에 대한 실증적 연구", 석사, 통계조사학, pp.2008
- 김갑진, "건설보증론" (2010), 건설공제조합
- 김갑진, "거시경제요인을 고려한 건설보증의 신용리스크 측정에 대한 실증분석 : 건설공제조합의 건설보증을 중심으로", 석사, 금융, pp.2010
- 김갑진, "건설경제의 어제와 오늘, 우리가 사는 집과 도시" (2019), 지식과 감성
- 김갑진, "건축물 하자담보책임제도에 관한 관련법령 및 실태분석을 통한 개선방안", 부동산분석, 7(2), pp.117~139 (2021), 한국부동산원[DOI]
- 김용재, "은행법원론" (2019), 박영사
- 보증보험의 리스크 특성 분석과 그에 따른 시사점, "김진호", 서울보증보험, ~ (2010)
- 보증기관의 위험관리 및 보증한도 운영에 관한 연구, "류근옥", 건설산업연구원, ~ (2006)
- 박덕환, "계약보증보험 요율산출의 합리적 방안에 관한 연구", 리스크관리연구, 28(3), pp.81~118 (2017), 한국리스크관리학회[DOI]
- 엄근용, "건설보증이 국민경제에 미치는 효과: 건설공제조합을 중심으로", 학술발표논문집, 2016, pp.169~181 (2016)
- 오세경, "다변량 판별분석모형과 주식옵션모형을 이용한 기업도산 예측", 산은조사월보, (549), pp.1~29 (2001)
- 이경룡, "보험학원론" (2009), 영지문화사
- 이희연, "고급통계분석론" (2017), 문우사
- 전현철, "건설보증의 종류와 법률관계", 법학논총, 22, pp.213~249 (2009), 법학연구소
- 조하현, "신용리스크 측정과 관리" (2003), 세경사
- A survey of cyclical effects in credit risk measurement models, "Allen, L.", NYU, ~, pp.Working Paper, No. S-CDM-02-04 (2002)
- Altman, E. I., "Credit risk measurement : Developments over the last 20years", Journal of Banking and Finance, 21, pp.1721~1742 (1998)
- Altman, E., "The link between default and recovery rates : Theory, empirical evidence and implications", Journal of Business, 78, pp.2203~2228 (2005)
- Arrow, K., "The role of securities in the optimal allocation of risk-bearing", Review of Economic Studies, 31(2), pp.91~96 (1964)
- Bangia, A., "Rating migration and the Business cycle with applications to credit portfolio stress testing", Journal of Banking and Finance, 26, pp.445~474 (2002)
- Barrie, D. S., "Professional Construction management" (1992), McGraw-Hill Education
- Campbell, J. Y., "In search of distress risk", Journal of Finance, 63(6), pp.2899~2939 (2008)
- Cox, D. R., "Regression models and life tables(with discussion)", Journal of the Royal Statistical Society, 34(2), pp.187~220 (1972)
- Crosbie, P., "Modeling default risk" (2003), Moody’s KMV Company
- Cross, J. H., "Suretyship is not insurance", Insurance Counsel Journal, 30, pp.235~ (1963)
- Friedman, D., "Evolutionary games in economics", Econometrica, 59(3), pp.637~666 (1991)
- Gupton, G. M., "LOSSCALCTM: Model for predicting loss given default (LGD)" (2002), Moody’s KMV Company
- Hull, J. C., "Option, futures, and other derivatives" (2006), Pearson Education
- Youjin Jang, "Predicting Business Failure of Construction Contractors Using Long Short-Term Memory Recurrent Neural Network", Journal of Construction Engineering and Management, 145(11) (2019), American Society of Civil Engineers (ASCE)[DOI]
- Jing, J., "Default behaviors of contractors under surety bond in construction industry based on evolutionary game model", Sustainability, 12(21), pp.9162~ (2020)
- Jorion, P., "Value at risk" (2007), McGraw-Hill
- Kangari, R., "Financial performance analysis for construction industry", Journal of Construction Engineering and Management, 112(2), pp.349~361 (1992)
- Kim, J., "A stress test to incorporate correlation breakdown", Journal of Risk, 2(3), pp.5~19 (2000)
- Merton, R. C., "On the pricing of corporate debt : The risk structure of interest rates", Journal of Finance, 29(2), pp.449~470 (1974)
- Merton, R. C., "On the pricing of contingent claims and the modigliani-miller theorem", Journal of Financial Economics, 5, pp.241~249 (1977)
- Ohlson, J. A., "Financial ratios and the probabilistic prediction of bankruptcy", Journal of Accounting Research, 18(1), pp.109~131 (1980)
- Russel, "Surety bond for construction contract" (2000), ASCE Press
- Russell, J. S., "Predicting construction contractor failure prior to contract award", Journal of Construction Engineering and Management, 118(4), pp.791~811 (1992)
- Russell, J. S., "Predicting contractor failure using stochastic dynamics of economic and financial variables", Journal of Construction Engineering and Management, 122, pp.183~191 (1996)
- Shumway, T., "Forecasting bankruptcy more accurately : A simple hazard model", Journal of Business, 74(1), pp.101~124 (2001)
- Wambach, A., "Surety bonds with fair and unfair pricing", The Geneva Risk and Insurance Review, 36(1), pp.36~50 (2011)