회사채 신용위험의 가격 추정과 Merton모형의 유효성
The Effectiveness of Merton Model and Pricing of Credit Risk of Corporate Bonds.
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초록
우리나라에서 채권시가평가제도가 도입된 이후 기업의 신용위험을 보다 정확히 측정할 수 있는 다양한 신용위험 평가모형의 개발과 이행의 필요성이 요구되게 되었다. 이에 본 연구는 우리나라 채권시장을 대상으로 신용위험가격의 특성과 구조모형의 기본모형인 Merton모형의 유효성을 실증적으로 분석하는데 목적을 두고 수행되었다. 본 분석은 2001년 상반기부터 2003년 하반기까지 각 반기를 대상으로 횡단면분석으로 수행되었다. 이러한 분석결과에서 발견된 사실을 요약하면 다음과 같다. 첫째, 실제 관찰된 신용위험의 시장가격은 신용등급의 평가에 크게 의존하고 있으나 등급내 가격차별이 크게 나타나고 있으며, 신용등급과 시장가격간의 비선형관계가 우리나라에서도 발견되고 있다. 둘째, 우리나라의 경우 기업가치 변동성과 부채비율의 관계로 인해 이론가격은 부채비율 및 신용등급의 변화에 따라 굴곡형이 나타날 수 있음이 본 분석에서 발견되고 있다. 셋째, Merton 모형의 이론가격은 시장가격에 비하여 과소 추정되는 현상이 우리나라의 경우에서도 발견되고 있으며 대체적으로 부채비율이 높고 신용등급이 낮을수록 유효성이 높게 나타나고 있다.
Abstract
The purpose of this study is to measure credit risk using Merton(1974) model on the basis of the precedent empirical study, to suggest the practical possibility for application of Merton model in Korea bond market. The test of effectiveness of Merton model was performed through cross-section analyses from the first half of 2001 to the second half of 2003. The main results of empirical analysis can be summarized as follows; First, the real credit spread-CS hereafter-has a systematic relationship with credit ratings. That is, as credit rating lowers, the more CS increase, it seems that the measurement of CS of corporate bond in Korea depends on credit ratings a lot. This analysis also find out the non-linear relationship between credit ratings and real CS observed. However, the measurement of CS using ratings shows the limitation as discrimination of CS within same ratings appears considerably. Second, even if CS estimated through Merton model doesn't show systematic relation with the real CS, on the whole, the phenomenon of underestimation compared with the real CS is found in this analysis. In particular, Merton model appears to be more effective as leverage ratio is high and credit rating is low. Third, in Korea, it shows there exists a negative relationship between volatility of firm value and leverage ratio, and the CS estimated can take on hump-shaped type by the change in leverage ratio and ratings even given maturity due to a negative relationship between both variables.
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