• Information Systems Review
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• v.4 no.2
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• pp.361-376
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• 2002

This paper proposes a framework for integrated credit risk management system in domestic bank financial institutions. Credit evaluation system, loan processing system, credit monitoring system, and credit risk management system are integrated for efficient and effective risk-adjusted performance management in this framework. Risk exposures, not only for each credit, but also for bank's whole credit portfolio need to be measured and analyzed through the concept of Value-at-Risk (VaR). The effects of changes in credit ratings of individual loaners on bank's credit risk exposure are also considered. We tried to model this integrated credit risk management system by using object-oriented modeling language, UML.

• Management & Information Systems Review
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• v.29 no.4
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• pp.207-223
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• 2010

One of the important prudential regulations is the capital regulation. The current domestic and international capital regulation sets the minimum capital requirement according to the size of risk which is the simple sum of market risk and credit risk. However the portfolio theory suggests that, due to the effect of diversification, the total risk is less than the summation of market and credit risk. This paper investigates and does empirical test to verify the diversification effect in measuring financial firm's integrated risk. We verify the diversification effect between the market risk and credit risk. This paper's contribution is to present the empirical evidence that, considering the relationship between market and credit risk, the integrated risk is less than sum of them. This implication is that the surplus capital may be used for the other purposes, therefore enhancing capital allocation efficiency in view of society as a whole.

• Management & Information Systems Review
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• v.30 no.4
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• pp.359-383
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• 2011

One of the representative prudential regulations is the capital regulation. The current regulation and international criteria are just simply adding up the market risk and credit risk. According to the portfolio theory due to diversification effect the total risk is less than the summation of market and credit risk. This paper investigates to verify the existence of diversification effect in measuring the integrated risk of financial firm by the copula function, which is combine the different distribution maintain their propriety. The result of the test shows that in measuring the integrated risk not only the correlation and but also the proprieties of market and credit risk distribution are very important. And the tail of risk distribution is important when measuring the economic capital, especially the external impact to the financial market. This paper's contribution is that the empirical evidence in considering the relationship between market and credit risk the integrated risk is less than sum of them.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.1 no.1
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• pp.91-100
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• 2000

In 1997 the recession of Korean economy brought about the bankruptcy of large corporations and the large size of non-Performing financial assets which led to IMF financial crisis. One of the major reasons for IMF financial crisis was poor loan management of domestic financial institutions . During the restructuring process of financial institutions since the IMF financial crisis, the importance of the loan management has been recognized. Especially. financial institutions' credit allocation had been concentrated on a few big conglomerates and their subsidies as well as some specific business areas. Hence, risk-diversifying portfolio effects were not reflected in any loan portfolios. The IMF financial crisis in 1997 has clearly showed that credit-risk management is essential not only for individuals' loan but also for portfolios consisting of various loans The main objective of this paper is to provide some suggestions on the direction for financial institutions in Korea to improve their loan portfolio management. Particularly, for the effective management of loan portfolios, this paper introduces quantitative credit-risk management schemes such as KMV models and CreditMetrics which are commonly used in financial institutions in advanced countries. Financial institutions in Korea should make their best efforts to establish a more scientific as well as quantitative loan portfolio management.

• Journal of Service Research and Studies
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• v.7 no.4
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• pp.139-150
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• 2017

Open economy tightly works with foreign economy. This paper investigates the effect of the shock of foreign bond yield on the credit spreads of domestic corporate bonds in Korea. Foreign bond is referred to as US treasury bond. Credit spreads are defined with the difference between log yields of domestic corporate bonds and log yield of Korea treasury bond. With the data of monthly three-year AA- and BBB- corporate bond yields- ratings, monthly three-year Korean treasury bond yields, monthly US dollar foreign exchange rates, and monthly three-year US Treasury bond yields during the period from October 2000 to September 2014 including global financial crisis period, the paper documents the results as follow. First of all, the yield of Korean treasury and the credit spreads are very sensitive to the increase in the level and the volatility of the yield of the US treasury bond. Changes in the level and the volatility little affect the change of the exchange rate. Second, the change in the level and the volatility negatively affect the level of Korean treasury bond yields but lead to the increase in the level of Korean treasury bond yields at the same time. Third, there exist time lags of the increases of credit spreads by the increase in the level and the volatility. These imply that credit spreads and bond yields are very sensitive to the change in the yields of foreign bonds such as US treasury bond.

• Proceedings of the Korea Society of Information Technology Applications Conference
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• 2007.05a
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• pp.190-197
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• 2007

외환위기 이후 우리나라 금융기관은 상대적으로 위험성이 높은 기업대출보다, 높은 수익성을 가지는 가계 대출에 관심을 기울이게 되었다. 가계대출이 증가함에 따라 개인신용평가의 중요성이 부각되고, 이에 많은 신용평가시스템이 개발되어 왔다. 하지만 기존의 신용평가시스템은 대출 신청 당시의 데이터 및 과거의 데이터를 가지고 개인의 신용을 평가하기 때문에, 미래 상황에 대한 예측은 고려하지 못한다. 시스템 다이나믹스는 시간의 흐름에 따른 각 요인의 변화를 살펴봄으로써 미래 상황에 대한 예측이 가능한 분석 방법이다. 이에 본 연구에서는 시스템 다이나믹스 방법론을 활용하여 개인 신용 상태에 대한 미래의 동태적인 변화를 예측하여, 그 결과를 반영한 신용평가모델을 개발하고자 한다. 이를 위하여, 먼저 신용평점 영향을 주는 변수들을 선정하고, 이 변수들 간의 인과관계를 밝혀낸 후, 인과관계를 토대로 분석 모델을 구축한 뒤, 컴퓨터 시뮬레이션을 실행함으로써, 대출 희망자의 미래의 신용상태 변화 모양을 예측해 본다. 이러한 시뮬레이션 결과를 신용평가에 반영하게 되면, 금융기관의 신용 대출의 위험을 줄이는 데 기여할 것으로 기대된다.

• The Journal of the Korea Contents Association
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• v.16 no.3
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• pp.81-90
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• 2016

This study aims to investigate the association between stock performance and credit ratings, and credit rating changes using a sample of 1,691 KRX firm-years that acquire equity in the form of long-term bonds from 2002 to 2013. Previous U.S. literature is mixed with regard to the relation between credit ratings and stock price. On one hand, there is evidence of a positive relation between credit ratings and stock prices, an anomaly established in U.S. studies. On the other hand, the CAPM model suggests a negative relation between stock prices and credit ratings, implying that investors expect financial rewards for bearing additional risk. To our knowledge, we are the first to examine the relationship between stock price and default risk proxied by credit ratings in period t+1. We find a negative (positive) relation between credit ratings (risk) in period t+1 and stock returns in period t, suggesting that credit rating agencies do not consider stock returns as a metric with the potential to influence default risk. Our results suggest that market participants may prefer firms with higher credit risk because of expected higher returns.

• Proceedings of the Korean Information Science Society Conference
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• 2002.04a
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• pp.886-888
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• 2002

인터넷 상의 주문 결재로부터 생성되어지는 수백만의 결제로 인해 축적되어진 레코드들을 이용하고, 아울러 고객이 제공하는 데이터 등을 가지고 고객이 실제 카드 소지자인지를 판별하는 전자결제 신용카드 사기방어시스템 (Anti-Fraud System(AFS))을 제안하였다. 고객은 거래 콤포넌트에 의한 보안 메시징 프로토콜을 사용해서 인터넷에서의 서비스 요구를 시작한다. 거래의 위험도를 결정하기 하기 위해서 데이터마이닝 기법을 이용한 하이브리드 모델링기법을 사용하여 이와 같은 요구에서 생성되는 트랜잭션 정보의 위험도를 계산한 후, 미리 결정된 위험수위와 비교하여 부가적 신용 정보의 필요성을 판단하게 된다.

• Proceedings of the Korean Statistical Society Conference
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• 2003.10a
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• pp.285-288
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• 2003

신용위험 관리에서 필수적인 방법론이 스코어 카드이며 이를 작성하는 데에 있어서 널리 쓰이는 방법 중의 하나가 로지스틱 회귀분석이다. 본 논문에서는 로지스틱 회귀 방법에 기초한 스플라인 방법론을 소개하고자 한다. 최종 스코어 카드는 연속형 변수를 범주형 변수화 하므로 조각 선형 스플라인을 채택하였다. 모의 실험을 통하여 제안된 방법의 성 능을 규명 하였다.

• The Korean Journal of Applied Statistics
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• v.18 no.3
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• pp.543-553
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• 2005

Linear logistic regression is one of the most widely used method for credit scoring in credit risk management. This paper deals with credit scoring using splines based on Logistic regression. Linear splines and an automatic basis selection algorithm are adopted. The final model is an example of the generalized additive model. A simulation using a real data set is used to illustrate the performance of the spline method.