부동산신탁사의 부동산 대출에 대한 필요 자기자본비율 - 구조모형을 통한 신탁계정에 대한 대출의 위험도 측정 -

초록

This study is concerned with calculation of default probabilities and required capital adequacy ratios of the real estate trust companies (RTCs, hereafter) based upon structural modeling approaches. Inspired by Leland-Toft(1996), we estimate default probabilities, covariance matrices, loss rates given default and required capital for the RTCs. Assuming 10% default probability and 30% loss rate given default, we find that the industry needs approximately 18% of capital adequacy ratio to cover unexpected losses. Considering that the U.S. regulator calls for at least 12% capital adequacy ratio for BB- rated bonds, 18% for domestic RTCs appears reasonable. It is also suggested that the structural modeling approach introduced in this research can be used to calculate the optimal capital adequacy ratio for real estate loans of commercial banks.

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