Stress test for a technology credit guarantee fund based on survival analysis

Yonghan Ju, So Young Sohn

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

A technology credit guarantee policy has been established to provide financial support to technology-based SMEs with a limited asset base. For an effective technology credit guarantee policy, risk management is essential. In this paper, we investigate a survival model that predicts start-up SMEs' loan default probability at a given time based on technology attributes along with the economic environment and the firm's characteristics at the time of the technology credit guarantee fund application. This, in turn, is used for the estimation of the technology fund risk along with a stress test. Our work is expected to contribute to reducing the risks associated with technology financing.

Original languageEnglish
Pages (from-to)463-475
Number of pages13
JournalJournal of the Operational Research Society
Volume66
Issue number3
DOIs
Publication statusPublished - 2015 Mar 5

Fingerprint

Credit guarantee
Survival analysis
Stress test
Risk management
Economics
Small and medium-sized enterprises
Firm characteristics
Survival model
Loans
Assets
Financial support
Start-up
Default probability
Economic environment
Financing

All Science Journal Classification (ASJC) codes

  • Management Information Systems
  • Strategy and Management
  • Management Science and Operations Research
  • Marketing

Cite this

@article{afe4b06922ff49af9a40e29748002fca,
title = "Stress test for a technology credit guarantee fund based on survival analysis",
abstract = "A technology credit guarantee policy has been established to provide financial support to technology-based SMEs with a limited asset base. For an effective technology credit guarantee policy, risk management is essential. In this paper, we investigate a survival model that predicts start-up SMEs' loan default probability at a given time based on technology attributes along with the economic environment and the firm's characteristics at the time of the technology credit guarantee fund application. This, in turn, is used for the estimation of the technology fund risk along with a stress test. Our work is expected to contribute to reducing the risks associated with technology financing.",
author = "Yonghan Ju and Sohn, {So Young}",
year = "2015",
month = "3",
day = "5",
doi = "10.1057/jors.2014.10",
language = "English",
volume = "66",
pages = "463--475",
journal = "Journal of the Operational Research Society",
issn = "0160-5682",
publisher = "Palgrave Macmillan Ltd.",
number = "3",

}

Stress test for a technology credit guarantee fund based on survival analysis. / Ju, Yonghan; Sohn, So Young.

In: Journal of the Operational Research Society, Vol. 66, No. 3, 05.03.2015, p. 463-475.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Stress test for a technology credit guarantee fund based on survival analysis

AU - Ju, Yonghan

AU - Sohn, So Young

PY - 2015/3/5

Y1 - 2015/3/5

N2 - A technology credit guarantee policy has been established to provide financial support to technology-based SMEs with a limited asset base. For an effective technology credit guarantee policy, risk management is essential. In this paper, we investigate a survival model that predicts start-up SMEs' loan default probability at a given time based on technology attributes along with the economic environment and the firm's characteristics at the time of the technology credit guarantee fund application. This, in turn, is used for the estimation of the technology fund risk along with a stress test. Our work is expected to contribute to reducing the risks associated with technology financing.

AB - A technology credit guarantee policy has been established to provide financial support to technology-based SMEs with a limited asset base. For an effective technology credit guarantee policy, risk management is essential. In this paper, we investigate a survival model that predicts start-up SMEs' loan default probability at a given time based on technology attributes along with the economic environment and the firm's characteristics at the time of the technology credit guarantee fund application. This, in turn, is used for the estimation of the technology fund risk along with a stress test. Our work is expected to contribute to reducing the risks associated with technology financing.

UR - http://www.scopus.com/inward/record.url?scp=84959858227&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84959858227&partnerID=8YFLogxK

U2 - 10.1057/jors.2014.10

DO - 10.1057/jors.2014.10

M3 - Article

AN - SCOPUS:84959858227

VL - 66

SP - 463

EP - 475

JO - Journal of the Operational Research Society

JF - Journal of the Operational Research Society

SN - 0160-5682

IS - 3

ER -