한국 모기지시장의 채무불이행 및 조기상환 분석

방두완 ( Doo Won Bang ),박세운 ( Sae Woon Park ),박연우 ( Yun Woo Park ) 한국금융연구원 2010 금융연구 Vol.24 No.4

The purpose of this study is to investigate the default and the prepayment behaviors in the Korean mortgage markets. In particular, we examine the factors that play major roles in determining default and prepayment, investigate the seasoning effect in the default and the prepayment, and explore whether there is any difference between Seoul (hot housing market) and Pusan (cold housing market). We use 145,782 mortgage loans, which KHFC (Korea Housing Finance Corporation) securitized from January 2004 to December 2007. Of these there are 21,069 mortgage loans originated in Seoul and 12,503 mortgage loans in Pusan. The KHFC mortgages in the sample have the maximum maturity of 20 years and the maximum LTV of 70%. The average LTV of the overall sample is 60.3%; the average LTV is 57.8% in Seoul while the average LTV is 60.9% in Pusan. The initial loan amount is KRW 74 million in the overall sample, KRW 111 million in Seoul and KRW 66 million in Pusan. The prepayment penalties of KHFC mortgages are 2% if prepayment occurs within 1 year, 1.5% within 3 years and 1% within 5 years. We use 90 days arrears as the proxy for loan default consistent with the Basel II. Contrary to our expectation that the default rate in the regional market as such Pusan would be higher than that in Seoul, which experienced a sharp price run-up during the study period, we find that the default rate in Seoul is higher and the difference is statistically significant. During the study period of 2004~2007 the cumulative default rate is 0.78% in the overall markets, 1.40% Seoul and 1,10% in Pusan. We find that the default is higher, lower the credit rating, lower the past house price increase, higher the mark-to-market loan-to-value ratio (MLTV), and higher the DTI. The self-employed borrowers show a lower default rate. These findings are consistent with economic theories and findings reported in other markets. We find little difference in the factors that influence the mortgage default between Seoul and Pusan. The prepayment rate rises as the mortgage rate drops below the contract mortgage rate. It rises right after the 12 months and 36 months of loan age to coincide with the reduction in the prepayment penalty. The prepayment rate is higher, higher the MLTV and higher the mortgage balance. We find little difference in the factors that influence the mortgage prepayment between Seoul and Pusan. During the study period, the prepayment rate is 20.06% in the overall markets, 20.55% in Seoul and 17.73% in Pusan. From the CDR(conditional default rate) and the CPR(conditional prepayment rate) we estimate using the Kaplan-Meier product limit method, we find that the seasoning effect exists in the Korean mortgage markets as in the US mortgage markets. Therefore, using the US benchmark default model (SDA) and the US benchmark prepayment model (PSA) the estimated CDR is approximately 50~100% SDA in the overall markets and in Seoul and 50~150% SDA in Pusan while the estimated CPR is approximately 150~250% PSA in the overall markets and Seoul and 100~200% PSA. The estimated CDR and CPR statistical models, which express the CDR and CPR as a function of the age of the mortgage loan respectively, provide a valuable benchmark for practitioners. Financial institutions carrying a significant amount of mortgage loan assets would find the estimated default model useful for the credit risk management while the estimated prepayment model provides useful information for the duration management of the mortgage loan assets and the MBS that are based on these assets.

판별분석을 이용한 도시재생뉴딜사업장 예비평가분석 연구

방두완(Doo-Won Bang),한승욱(Seoung-Uk Han),권혁신(Hyuck-Shin Kwon) 한국주택학회 2021 주택연구 Vol.29 No.4

본 연구에서는 도시재생 사업장 100곳(우수 29곳, 미흡 71곳)을 대상으로 판별분석을 실시하였다. 분석결과 우수와 미흡 사업장에 대한 세부사업, 거버넌스, 가점 변수의 평균 차이는 통계적으로 유의적인 것으로 분석되었다. 단계별 선택법을 이용해서 최종 판별함수를 분석한 결과 세부사업, 거버넌스 변수가 최종 판별함수로 선정되었다. 판별점수와 집단 간의 관련성 정도를 나타내는 정준 상관관계(canonical correlation) 분석결과는 0.906으로 나타나 본 연구에서 제안한 판별함수의 판별력이 매우 우수한 것으로 분석되었다. 결론적으로 본 연구에서 제안한 판별함수를 이용하면, 도시재생 사업장 효율적 관리를 위한 기초 평가자료로 활용할 수 있을 것으로 기대된다. 추가적으로 판별분석의 기준항목을 조정하고 종료된 도시재생사업의 평가결과를 점수화한 후, 판별분석 기법을 적용하면 사전 사업성 평가단계에서 우수 도시재생사업장을 예비평가할 수 있을 것으로 기대된다. 하지만 사업장 수가 부족하여 광역시나 도 등의 지역별 특성을 고려한 판별함수를 제안하지 못하였다. 따라서 향후 충분한 도시재생 사업장 자료가 확보되면, 지역별 특성을 고려한 추가 연구가 필요하다고 보여진다. In this study, we proposed a method to classify urban regeneration projects into excellent and poor projects. To this end, we used the evaluation data for each detailed item under the urban regeneration projects, and estimated a discriminant function that could help us pre-classify projects as excellent or poor. We examined a total of 100 projects (29 excellent projects and 71 poor projects). After analyzing the discriminant function, detailed projects and governance variables were selected as the final discriminant function. Moreover, the result of the canonical correlation analysis, which indicates the degree of relevance between discriminant scores and groups, was 0.906, showing that the power of the discriminant function proposed in this study was very good. The financial data of construction companies, project feasibility evaluation data, and promotion results of existing similar projects were evaluated. Then, if we would apply the discriminant analysis method by using the scores at the pre-project feasibility evaluation stage, we would expect that the method could identify excellent projects and good constructors in advance.

FAVAR를 이용한 지역별 아파트 경기지수 전이효과 분석

방두완(Doo-Won Bang),권혁신(Hyuck-Shin Kwon),김명현(Myeong-Hyeon Kim) 한국주택학회 2019 주택연구 Vol.27 No.3

구는 FAVAR 모형을 이용하여 지역별 아파트 경기지수를 작성하고, 아파트 경기지 수의 적정성을 검증하고, 작성된 아파트 경기지수를 이용하여 지역별 아파트 경기의 전이 효과를 분석하였다. 실증분석결과, FAVAR 모형을 이용하여 작성한 전국아파트 경기지수와 통계청에서 발표 하는 경기동행지수 순환변동과 유사한 움직임을 보이며, 특히 2008년 금융위기와 그 이후의 경제 충격을 전국 아파트 경기지수가 잘 트레이싱(tracing)하는 것으로 분석되었으며, 전국 아파트 경기지수는 경기동행 순환변동을 약 4-5개월 정도 선행하는 것으로 나타났다. 지역별 아파트 경기지수 분석결과, 2008년 세계금융위기의 영향을 공통적으로 받은 것을 확인되었지만, 금융위기 이후에는 지역별 아파트 경기지수가 차이를 보이는 것으로 분석되었다. 이러한 결과는 중앙정부에서 시행한 부동산 정책에 대한 효과가 지역별로 다르게 나타날 수 있다는 것이며, 이는 부동산 정책을 시행할 때, 지역별 특성과 영향을 고려해야 함을 시사하는 것이다. 지역별 경기지수 전이효과를 종합하면, 아파트 경기지수는 서울과 수도권이 상호 영향을 주고 받으며, 부산에도 상당한 영향을 미치는 것을 확인할 수 있지만, 부산에서 서울과 수도권에 미치는 영향은 상대적으로 미미하다고 할 수 있다. We used the FAVAR model in order to estimate the regional apartment business cycles. We also analyzed the regional spillover effects by using the methodology suggested by Diebold and Yilmaz (2009, 2012). Based on this analysis, a similarity was found between the national apartment business cycle and the coincident composite index. In addition, the national apartment business cycle can be traced back to the 2008 financial crisis and subsequent economic shocks. The national apartment business cycle also led the coincident composite index by about 4-5 months. The analysis of the regional apartment business cycles showed that the regional apartment business cycles were commonly affected by the 2008 global financial crisis. However, the regional apartment business cycles varied after the financial crisis. These results indicate that the real estate policies of the government should be differentiated by region. Moreover, there is a difference between the economic environment of each region. We conclude that when implementing real estate policies, regional characteristics and impacts need to be considered. The analysis result of the transition effect of regional economic indexes showed that the apartment business cycles have a significant influence on both Busan and Seoul. However, Busan has a relatively small impact on Seoul and the metropolitan area.We estimate that the variation in Seoul’s apartment business cycle is only about 0.291 due to the change within Seoul, and that 0.709 of the transition effect is explained by the change in the other regions. Meanwhile, the transfer effect of Incheon to the other regions was 0.819.

스트레스 테스트와 Monte Carlo 시뮬레이션을 통한 국내금융기관의 주택담보대출 신용위험분석

박연우(Yun-Woo Park),방두완(Doo-Won Bang) 한국주택학회 2011 주택연구 Vol.19 No.4

본고에서는 스트레스 테스트와 Monte Carlo 시뮬레이션 방법론을 사용하여 국내 금융기관의 주택담보대출의 예상손실을 추정한다. 스트레스 테스트는 이례적인 거시경제 충격으로 인한 금융기관의 예상손실을 측정하는 방법으로 본고에서는 거시경제의 충격으로 발생하는 스트레스 요인 중 주택가격 폭락과 차입자의 상환능력급락을 고려한다. 1998년 외환위기 당시 대표적인 부동산 시장지표인 국민은행 아파트가격지수 기준으로 서울, 강남, 전국 아파트 가격은 각각 17.8%, 17.6%, 14.9% 하락하였다. 이를 기초로 이례적인 경기침체상황이 발생한 경우 주택가격이 20%까지 하락하고 차입자의 신용등급이 3등급까지 하락할 때 발생하는 주택담보대출 손실규모를 산출한다. 본 논문의 특징은 지금까지 국내에 보고된 스트레스 테스트 논문과는 달리 거시경제에 이례적 충격이 발생했을 때 주택담보대출의 부도율과 부도대출손실률(loss given default; LGD)의 변화를 미시적 자료를 사용하여 실증적으로 추정하여 손실규모를 추정하였다는 것이다. 구체적으로 주택가격하락이 담보가치하락을 통해 부도율과 LGD에 미치는 영향을 추정하였다. 상환능력하락도 없고 주택가격도 변화하지 않을 때 주택담보대출 포트폴리오의 예상손실률은 0.27%; 상환능력하락 없이 주택가격만 10%, 20% 하락할 때 예상손실률은 0.34%, 0.44%; 주택가격이 20% 하락하고 상환능력하락이 1등급, 2등급, 3등급 하락할때 예상손실률은 1.50%, 2.32%, 3.49%로 각각 추정되었다. 그러나 주택가격이 30%, 40%, 50% 하락하고 신용등급 3등급 하락하는 스트레스 상황(미국의 경우와 같은 극심한 스트레스 상황과 유사) 하에서 예상손실률은 2.66%~3.41%로 증가하는 것으로 추정 되었다. Monte Carlo 시뮬레이션을 통한 분석결과 주택가격 20%하락과 신용등급 1등급, 2등급, 3등급 하락시 99.9% VaR(최대 손실예상치)는 각각 1.518%, 2.261%, 3.307%로, 99.99% VaR는 각각 1.678%, 2.421%, 3.466%로 추정되었다. 국내주택담보대출은 담보부 대출로 신용대출에 비해 안정성이 높은데다 국내금융기관들의 낮은 담보인정비율로 인해 주택가격하락 스트레스에는 높은 안정성을 보이나 가계의 상환능력하락 스트레스에는 취약함을 확인하였다. In this paper, we estimate the expected loss of mortgage loans held by Korean financial institutions using stress test as well as Monte Carlo simulation. Stress test attempts to measure the expected loss incurred by the financial institutions caused by an extraordinary level of shocks in the macro-economy. As macro-shocks we consider a dramatic fall in the house price and the impairment in the borrower's debt repayment ability. The Kookmin house price index for Seoul, Kangnam, and the whole country, fell by 17.8%, 17.6%, 14.9%, respectively, following the 1998 foreign exchange crisis in Korea. On the basis of this, we estimate the mortgage loan loss caused by the fall in the house price of 20% as well as up to 3 notch drop in the borrower's credit rating. The most salient aspect of this paper is the fact that unlike the other research papers which use the stress test methodology we estimate the default rate, LGD (loss given default) and the loan loss regression equations using micro data empirically. Specifically, we estimate the effect of the house price change, which reduces the value of the loan collateral, on the default rate and the LGD. We also model the impact of the reduction in the borrower ability to repay the loans on the default rate empirically. In the base case, where there is no macro-stress, the expected loan loss is 0.27%. When the house price falls by 10% and 20% and the borrower's credit rating does not fall, the expected loan losses are 0.34% and 0.44%, respectively. We find that when the house price falls by 20% and the borrower's credit rating falls by 1 notch, 2 notch, and 3 notch the expected loan losses are 1.50%, 2.32%, 3.49%, respectively. Furthermore, under more extreme stress conditions where the house price falls by 30%, 40% and 50% and the credit ratings of prime borrowers, middle credit risk borrowers as well as high credit risk borrowers drop by three notches (similar to the stress in the US), the expected mortgage loan loss rate rises to 2.66%-3.41%. On the other hand, the results of Monte Carlo simulation shows that when the house price falls by 20% and the borrower's credit rating falls by 1 notch, 2 notch, and 3 notch the expected loan loss is such that the 99.9% VaRs (value-at-risk) are 1.518%, 2.261%, 3.307%, respectively and the 99.99% VaRs (value-at-risk) are 1.678%, 2.421%, 3.466%, respectively. The Korean mortgages show a high stability in the face of the house price drop stress since the lending institutions apply a very low loan-to-value ratio in addition to the mortgage loans being collateralized with residential properties. On the other hand, they are sensitivie to the stress caused by the reduction in the borrowers repayment ability.

생존분석을 이용한 주택분양보증 부도요인 연구

권혁신(Hyuck Shin Kwon),방두완(Doo Won Bang),김명현(Myeong Hyeon Kim) 한국주택학회 2017 주택연구 Vol.25 No.4

In this study, we examine the economic factors causing insolvency among sites guaranteed by housing sale guarantee (hereinafter referred to as sites) by conducting the Cox PHM(proportional hazard model) and modeling the factors of the insolvency of sites considering the survival period. Our main empirical findings are 1) the default rate of sites in the Seoul metropolitan area is low and the default rate of construction companies with low credit ratings is high 2) there is a positive relationship between the increasing number of unsold pre-sale housings and the default rate 3) the initial pre-sale rate is key factor that affects the default of sites. We further analyze the effect of the initial pre-sale rate and the regional analysis by dividing the Seoul metropolitan area and the non-Seoul metropolitan area. Analysis based on initial pre-sale rate shows that initial pre-sale rate less than 40%, 40-50%, and 50-60% is statistically significantly associated with the default rate, which leads to the conclusion that the probability of default of sites with a pre-sale rate of 60% or less is high. Furthermore, the initial pre-sale rate in the Seoul metropolitan area has a great influence on the default rate and the increase in the planned amount of apartment to be moved into also affects the default rate. The pre-sale rate in the non-Seoul metropolitan area has also a large impact on the default rate as in the case of the Seoul metropolitan area. A distinctive finding is that the credit rating is statistically associated with the default rate of sites only in the non-Seoul metropolitan area. In terms of the practical implications, our study proposes that financial institutions or stakeholders in charge of PF loans take the supply-side factors such as unsold households and the planned amount of apartments to be moved into their first consideration. Additionally, the initial pre-sale rate, the credit rating of construction companies, and the regional characteristics of sites are found to be major factors in determining the default of the sites.

도시재생뉴딜사업의 사전사업성 평가제도 도입 가능성 연구

한승욱(Han Seoung-Uk), 방두완(Bang Doo-Won), 권혁신(Kwon Hyuck-Shin) 한국도시부동산학회(구.도시정책학회) 2021 도시부동산연구 Vol.12 No.3

We would like to provide policy directions to strengthen financial efficiency and to secure stability in operation and management after urban regeneration facilities were established. To this end, we reviewed the current evaluation system of Urban Regeneration New Deal projects and checked similar systems implemented by other central government agencies. The preliminary feasibility evaluation index was divided into demand, benefit, cost estimation index, and policy analysis index. In conclusion, through a preliminary feasibility evaluation study, local governments or local communities should measure relatively accurate local demand in the planning stage before project application, and we can expect to change practices of financial management that local governments rely on financial aids of the central government. At the same time, it is possible to secure fairness in the selection, and it is expected to have a policy effect that can prioritize projects with high economic and regional ripple effects.

조기상환과 콜한도가 CMO(다계층 MBS)의 듀레이션에 미치는 영향분석: 부분이체(Partial Path-through) 구조를 중심으로

박연우 ( Yun Woo Park ),방두완 ( Doo Won Bang ) 한국파생상품학회 2012 선물연구 Vol.20 No.4

Pesidential mortgage loans as well as the MBS(mortgage-backed security), which securitizes these loans. are exposed to prepayment risk We examine the effect of prepayment process on the duration of the CMO (multi-tranche MBS).ln particular. we examine the effect of partial pass-through where there is a call limit expressed as a percentage of initial tranche balance Due to the absence of empirical research on the CMO duration. neither the catual CMO duration nor the determinants of the CMO duration have been reported. Our study reports the actual CMO duration and the determinants of the CMO duration. By showing that the CMO duration is much shorter than the nominal time-to-maturity we point to the need to search for longer duration MBS structures We find that in both the deterministic and stochastic interest rate environments duration is reduced as prepayment speed rises and duration rises as call limit decreases.We make contribution to the literature by shedding light on the effect of prepayment and call limit on the duration of multi-tranche MBS. ln particular, this research characterizes the impact of the partial pass-through structuring approach on the CMO duration as well as CMO pricing Finally,it assists CMO investors in better assessing and managing reinvestment risks of pass-through products.

건설업체의 재무건전성모형 추정과 건설업의 스트레스 테스트

박연우 ( Yun Woo Park ),방두완 ( Doo Won Bang ) 한국부동산분석학회 2011 부동산학연구 Vol.17 No.3

We examine the influence of the macro variables on the financial soundness of the construction industry. We estimate the financial soundness model with three macro variables, namely, the change in house price, interest rates and the change in GDP as explanatory variables using the panel data of the listed as well as the unlisted construction firms in Korea for the 2000-2009 period. We find that the house price and the GDP have a positive influence, while interest rates have a negative influence, on the financial soundness of the construction firms. Next, we estimate the impact of two macro shocks in the form of a house price drop and an interest rate increase on the probability of financial distress in the construction industry. We find that unlisted firms are more vulnerable to the housing market and interest rate stresses than listed firms showing that loans to the smaller firms without access to the capital markets have a greater credit risk suggesting that the financial institutions which have lent to the unlisted firms face a greater credit loss.

주택수요정책이 신규아파트 미분양률에 미친 효과 연구

권혁신 ( Hyuck Shin Kwon ),방두완 ( Doo Won Bang ) 한국부동산분석학회 2016 부동산학연구 Vol.22 No.2

While the Korean government has implemented various housing policies to achieve the goal of a stable real estate market, not sufficient assessment was made on policy measures. In particular, not many studies assessed the impact of the housing policies on new apartments as it is difficult to access sales rate data. This paper examines the effects of housing demand-side policies implemented to stabilize the housing market following the 2008 global financial crisis on new apartment sales by analyzing new apartment unsold rates, and draws policy implications. We analyze at various housing policies which may have some effects on unsold rates of new apartment, and find that eased regulations on LTV cap, resale of purchase right, and transfer tax have had not sufficient effect on unsold rates of new apartments. When all policy events are combined, their explanatory power is a mere 2.2%. However, when individual policy event was analyzed for its impact on unsold rates, the relaxed regulation on purchase right resale has shown the biggest impact with the explanatory power of 83.5%.

주택정책의 정책효과 및 정책시차 효과에 관한 연구

권혁신 ( Hyuck-shin Kwon ),방두완 ( Doo-won Bang ) 주택도시보증공사 2016 주택도시금융연구 Vol.1 No.2

Using the macro economic data, this study aimed to assess the impact of policy measures, such as DTI, LTV, housing subscription and transfer of housing purchase right, from 2007 to 2014 in Seoul. First of all, analysis based on housing prices in Seoul showed that CPI(_t-3) and mortgage rate(_t-1) among macro variables affected the housing price. However, GDP and unemployment rate had no statistically meaningful impact. In addition, according to comprehensive comparison of policy intact and time lag impact of policy measures,DTI, LTV, housing subscription and transfer of housing purchase right, on housing prices, it was found that only DTI(t) had meaningful impact CPI and mortgage rate also had a negative impact. These results can be interpreted as consistent with the analysis results of using each policy. To compare impact of each policy measure on housing price, we conducted the analysis of each policy measure on initial sales rate of each new apartment site. According to the multiple regression analysis based on initial sales rate of each new apartment site, LTV, apartment brand ranking, rate of unsold new apartment and housing trade volume had a significant impact but DTI was concluded to have no statistically meaningful impact. After assessing the comprehensive impact of policy measures, the impact (R2) of each measure was compared Mortgage rate accounted for 47.4% of R² with one mont time lag in analysis based on existing housing prices, DTI accounted for 20.9% of R². This study is meaningful as it aimed to evaluate intact of housing policy measures and time lags of policy. However, if sufficient data get accumulated in the future, there is a need of further researches that extend the period of analysis and consider housing prices cycle and an impact on metropolitan regions and non-metropolitan.