각 복사하기 버튼을 이용하여 블로그나 카페에 붙여넣기 하실 수 있습니다.
 
분야 : 사회과학 > 법학
발행기관 : 한국금융연구원
간행물정보 : 금융연구, 2011 pp.~31 (총 32pages)
 
 
국문초록
신바젤협약의 시행과 대출의 증권화 현상 등의 이유로 최근 대출회수율에 관한 연구가 꾸준히 전개되고 있다. 하지만 대출회수율에 대한 국내연구는 아직까지 기술적 분석 수준에 머물러 있다. 본 논문은 신용보증 부실대출금액의 회수자료를 이용해 대출회수율의 분포와 기초적 특성을 살펴보고, 기존연구에서 검증된 주요 요인을 중심으로 일반화 선형 모형을 통해 대출회수율의 결정요인을 분석하였다. 분석결과 대출회수율은 우측으로 긴 꼬리를 갖으며 최하위와 최상위에서 높은 빈도를 갖는 쌍봉분포를 시현하여 대다수 선행연구 결과를 지지한다. 다만, 국내에서는 낮은 회수율에서 최빈치를 갖는다는 점이 기존 연구와 차이가 있다. 산업별 회수율은 중위수로 평가할 때 건설업이 가장 높았고 경공업이 가장 낮았다. 회수율의 결정요인 분석결과 대출규모, 담보, 기업의 업력이 회수율에 매우 유의적인 영향을 미치고 있다. 담보와 기업의 업력은 회수율과 정의 상관, 대출규모는 회수율과 부의 상관을 보여주었다. 특히 대출규모가 클수록 회수금액은 증가하지만 대출규모에 비례적으로 회수금액이 증가하지는 않았다.
 
 
영문초록
While the modelling of the probability of default-henceforth PD-has been at the center of credit risk studies over the last several decades, a burgeoning literature on bank loan recovery rate only has emerged lately in line with the advent of new Basel Capital Accord capital guidelines, the prevalence of loan securitization, and the growth of credit derivative market. A majority of empirical studies concerning bank loan recovery rate-henceforth BLRr-could be fallen into one of two fields: the effect of negative correlation between PD and BLRr on credit loss of loan portfolio and the determinants of BLRr. However, to the best of our knowledge, a few reports are released to show basic characteristics of BLRr in Korea lending market, such as descriptive statistics of recovery rate. The aim of this paper is to empirically investigate the determinants of BLRr in Korea. The factors affecting BLRr documented from existing research can be classified into four categories: contract-specific characteristics, firm-specific characteristics, industry conditions, and macroeconomic conditions. None of those but collateral has drawn a consistent conclusion on BLRr. The variety of the empirical results shows that BLRr depends to a high degree on the dataset utilized, the differentiation between the practices of loan, and the calculation method, etc. In this context, after describing mean value and quantiles of BLRr in Korea lending market, we shed further light on the impact of collateral, the volume of loan, the size of firm, the state of the economy, the creditworthiness of the company, the age of firm, the intensity of the client relationship, and financial characteristics on the BLRr in Korea lending market. Our sample is from the Korea Credit Guarantee Fund`s recovery database. The data coverage is Korea small and medium sized enterprise default event of loan guaranteed. The dataset employed contains information about 30,797 companies, which are defaulted and recovered in the years from 1997 to 2008. Recovery rate is calculated as the nominal amount of recovery divided by the amount of defaulted loan. First of all, similarly to Calabrese and Zenga (2010), we found out a bi-modal distribution with peaks at the intervals from 0 to 0.05 and from 0.95 to 1. The fraction of recovery rate very close to 0 is the highest. By industry, the mean recovery rate of construction and service sectors is higher than that of manufacturing sectors. Meanwhile, as a result of analyzing factors influencing the recovery rate with the use of generalized linear regression model, dummy variable indicating whether the creditor has the collateral right on debtor`s asset or not appears to have a significantly positively effect on the recovery rate. The ratio of tangible asset to total asset as proxy variable for collateral is closely related to BLRr. This result reveals that collateral plays a dominant role in determining BLRr. In addition, we find that there is the negative relationship between the volume of loan and the recovery rate. On the contrary, the bigger the loan size is, the more the recovery amount is. This result implies that the recovery amount doesn`t necessarily increase in proportion to the loan size. A larger size of firm leads to a higher recovery amount. The size of firm is defined as the logarithm of total asset recorded on the most recent balance sheet before default. The age of firm is significantly positively related to BLRr and the amount of the recovery. Even though the impact of the intensity of client relationship on BLRr isn`t statistically significant, in view of positive correlation between client relationship and the age of firm, companies with intense client relationship with financial institution exhibits a higher recovery rate. It also appears to be the positive relationship between leverage and BLRr. Whereas, both PD and GDP growth rate do not have a significant effect on BLRr. We caution that these findings might be specific to the nature of our sample and this question is worth further examination on alternative samples in the future.
 
 
회수율, 쌍봉분포, 일반화 선형 모형, 대출규모, 담보, Recovery Rate, Bi-modality, Generalized Linear Model, Loan Size, Collateral
 
다운로드 94737617.pdf