The risk management for technology credit guarantee fund

H. J. Jeon, So Young Sohn

Research output: Contribution to journalArticle

10 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)1624-1632
Number of pages9
JournalJournal of the Operational Research Society
Volume59
Issue number12
DOIs
Publication statusPublished - 2008 Dec 1

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Risk management
Industry
Credit guarantee
Probability of default

All Science Journal Classification (ASJC) codes

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

Cite this

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The risk management for technology credit guarantee fund. / Jeon, H. J.; Sohn, So Young.

In: Journal of the Operational Research Society, Vol. 59, No. 12, 01.12.2008, p. 1624-1632.

Research output: Contribution to journalArticle

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