KMV 모형을 활용한 건설업체 부실화 측정에 관한 연구Measuring Default Risk of Construction Company Using KMV-model
- Other Titles
- Measuring Default Risk of Construction Company Using KMV-model
- Authors
- 최인식; 유승규; 김재준
- Issue Date
- Feb-2013
- Publisher
- 대한건축학회
- Keywords
- KMV Model; Expected Default Frequency; Insolvency; KMV 모형; 예상부도확률; 부실화
- Citation
- 대한건축학회논문집 구조계, v.29, no.2, pp.67 - 74
- Indexed
- KCI
- Journal Title
- 대한건축학회논문집 구조계
- Volume
- 29
- Number
- 2
- Start Page
- 67
- End Page
- 74
- URI
- https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/163432
- ISSN
- 1226-9107
- Abstract
- The purpose of this research is to confirm a level of the default risk of construction companies and its changing process by utilizing the KMV model developed on the basis of the Black & Scholes option pricing theory. This research has set construction companies listed to KOSPI/KOSDAQ for applying the KMV model and measuring the level of the default risk of construction companies(14 indolvent companies and 14 non-insolvent companies). As an analysis result, it could be confirmed that the EDF of inslovent companies is higher than the EDF of non-insolvent companies and that insolvent companies relatively show a more serious level of default risk than non-insolvent companies in the analysis period. As a result of this research, it was analyzed that if the EDF of the KMV model is measured, it does not only discern existence of bankruptcy, but also can effectively examine the level and fluctuation process of the default risk of construction companies. It is judged that this can provide meaningful decision-making indicators to investors or managers of companies in the risk management viewpoint.
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