The risk management for technology credit guarantee fund

The risk management for technology credit guarantee fund

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Article ID: iaor20097327
Country: United Kingdom
Volume: 59
Issue: 12
Start Page Number: 1624
End Page Number: 1632
Publication Date: Dec 2008
Journal: Journal of the Operational Research Society
Authors: ,
Keywords: risk
Abstract:

Technology credit guarantee Fund (TCGF) supports many small and medium companies with high degree of growth potential in technology. Generally, the performance of technology credit guarantee has been evaluated focusing on the probability of default (PD) on the fund recipient companies. But PD itself does not reflect the amount of loss. In this paper, we suggest the way to find the expected loss using the PD, Exposure at Default and Loss Given Default for risk management of the TCGF. Unlike general credit measure, we use the competing risk model in order to estimate the PD for various types of defaults. It is expected that our study can contribute to provide the efficient credit risk management for TCGF and the lending institution.

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