The risk management for technology credit guarantee fund

H J Jeon and S Y Sohn ()
Additional contact information
H J Jeon: Yonsei University
S Y Sohn: Yonsei University

Journal of the Operational Research Society, 2008, vol. 59, issue 12, 1624-1632

Abstract: 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.

Keywords: technology credit guarantee fund; exposure at default; probability of default; losses given default; risk management; BASEL II (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jors.2602506 Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:jorsoc:v:59:y:2008:i:12:d:10.1057_palgrave.jors.2602506

Ordering information: This journal article can be ordered from
http://www.springer. ... search/journal/41274

DOI: 10.1057/palgrave.jors.2602506

Access Statistics for this article

Journal of the Operational Research Society is currently edited by Tom Archibald and Jonathan Crook

More articles in Journal of the Operational Research Society from Palgrave Macmillan, The OR Society
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().