In this study, we estimate term structures of default probabilities for private firms using Korean data comprising 1,440 default events from 29,894 firms between 1999 and 2011. We then study whether the reported interest expenses are reective of the estimated default term structure. Each private firm's default likelihood is characterized by a forward intensity model employing both macro risk factors and
rm-speci c attributes derived from nancial statements. Although private firms have no traded stock prices, we devise a way of obtaining a public-firm equivalent distance-to-default by projection which references the distance-to-defaults of public firms with comparable firm attributes. Statistical tests indicate that the tted model provides accurate multiperiod forecasts of defaults for both nancial and non-financial private rms. Our methodology can be directly applied by commercial lenders in charging appropriate interest rates upon lending decisions for different future periods.
학술대회/행사
학술대회 및 야외답사
학술대회/행사
[2013년 제 2차] Default Probabilities and Interest Expenses of Priv
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게시일 :
2013-06-05