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Generation of Corporate Risk Contents of Small Firms and Large Firms Using Financial Data for Enhancing International Competitiveness

국제경쟁력 강화를 위한 중소규모기업과 대기업간 부실예측 콘텐츠

  • 김영숙 (청주대학교 경상대학 경영학부)
  • Published : 2007.12.28

Abstract

The purpose of this paper is to capture risk profiles of smaller-sized Korean firms $vis-{\grave{a}}-vis$ larger-sized firms during the Asian financial crisis. For this purpose, risk profiles are provided by estimating expected default risks and by tracking how these have changed during this period with respect to their magnitude, volatility, and sensitivity measures. Methodology used in this study employs the Black-Scholes-Merton model for producing estimates of default risks. And the conventional trans-log function is utilized for obtaining sensitivity measures of the estimated default risks. According to empirical evidence obtained here, it is revealed that contractions of corporate loans associated with IMF austerity policy was the main factor responsible for the drastic change in the default risk profile of Korean firms after occurrence of the Asian financial crisis.

Keywords

Sensitivity;Business Failure;International Competition

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