거시경제 충격에 따른 주택담보대출 보유가구의 위험평가에 관한 연구

초록

The purpose of this paper is to examine the bankruptcy risk of each household with residential mortgage loan. Using a stress-test to assess the bankruptcy risk, we explore the probability of default utilizing household's net cash flows and net asset holdings. Furthermore, we examine how stress situation impacts on average probability of default of each groups under macroeconomic stress scenario. The result shows that the group of the individual self-employed households are exposed to higher level of default probability compared to other groups of the self-employed households hiring employees. However, under the stressed economic situation, the self-employed with hiring employees are exposed to the higher level of default probability in given economic scenario. The findings imply that the each type of employment formation in each household shows different magnitude of default risk responding to different economics scenario in that the possible resolution associated with increasing residential debt amount should consider the relative employment formation

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