주택담보대출의 대손율 추정과 결정요인에 대한 연구 = A study on the estimation of expected loss rate of mortgage loan and its determinants

다국어 초록 (Multilingual Abstract)

By using the estimation of expected loss rate of mortgage loan from the banks’ loan data over the period 2005 IM - 2017: 3M, this paper analyzes the impact of macroeconomic shocks such as falling house price, rising interest rate and business cycle recession on the expected loss rate of mortgage loan. Additionally, it shows the effectiveness of financial regulation such as DTI by examining the different impact on the estimation of expected loss rate.
It is able to use the results of its empirical analysis to draw the following three conclusions. First, EL A(expected loss rate of mortgage loan by using proxy variables) and EL B(by using the typical formula) are increasing under the state of shock rather than normal base. Specifically, EL B is larger than EL A. Secondly, EL A and B are increasing in the periods of strengthen DTI, and such a tendency is much stronger in case of the state of shock. Finally, the scale of the shock is the strongest in case of rising interest rate. The effectiveness of business cycle recession is very weak, and such a tendency is much stronger in the periods of strengthen DTI.
To sum up this, the effectiveness of falling house price from the strengthen DTI is still weak. The rising interest rate in the periods of strengthen DTI made EL large.