Stress test for a technology credit guarantee fund based on survival analysis

Abstract

A technology credit guarantee policy has been established to provide financial support to technology-based SMEs with a limited asset base. For an effective technology credit guarantee policy, risk management is essential. In this paper, we investigate a survival model that predicts start-up SMEs’ loan default probability at a given time based on technology attributes along with the economic environment and the firm’s characteristics at the time of the technology credit guarantee fund application. This, in turn, is used for the estimation of the technology fund risk along with a stress test. Our work is expected to contribute to reducing the risks associated with technology financing.

Keywords:

• technology credit guarantee policy
• risk management
• survival analysis
• stress test

Acknowledgements

This research was supported by the Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Science, ICT & Future Planning (2013R1A2A1A09004699).