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: | Jeon H J, Sohn S Y |
Keywords: | risk |
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.