Credit Guarantee Optimization of State-owned Enterprises
Journal Title: Thammasat Review of Economic and Social Policy - Year 2018, Vol 4, Issue 2
Abstract
The objective of this paper is to estimate the credit risk of state-owned enterprises (SOEs) in the form of probability of default (PD) and then use it to analyze credit guarantee optimization. Estimation of the probability of default by the Hybrid Model found that the estimated PD for both financial and non-financial SOEs are ranked by credit rating grade (the rank ordering property), except for the 3rd rating grade PD of non-financial SOEs. Analysis of the optimal credit guarantee for each SOE by Linear Programming model found that the results of maximizing the net benefit and the results of minimizing the net expected loss from credit guarantee are similar. Moreover, the value of expected loss implies that the magnitude of credit risk must be mitigated and managed with appropriate tools by the Ministry of Finance.
Authors and Affiliations
Chayanisa Chaisuekul
Keywords
Related Articles
- EP ID EP553858
- DOI 10.14456/tresp.2018.4
- Views 92
- Downloads 0
Balance of Payments Constrained Growth in Thailand during 1980-2010: Empirical Evidences and Long-term Policy Considerations
This paper aims to explore whether the demand-oriented approach is able to explain the Thai economy from the 1980s onwards. In particular, it is going to empirically test whether the Balance of Payments Constrained Growt...
Do Thai Credit Card Consumers Have Self-Control?
The use of credit cards has been popular in Thailand for several decades. As its popularity increases, policymakers and the public have expressed concerns over the credit card debt. With the panel dataset from the Nation...
Sabotage and Deterrence Incentive in Tournament: An Experimental Investigation and Policy Implications
This research analyzes the impact of deterrence incentive on sabotage behavior in rank-order tournament using experimental method. Laboratory findings confirm Becker’s deterrence hypothesis in a tournament setting. Imple...
Changing Thailand's Future with Tax Reform
At present, Thailand is facing an urgent need for tax reform that can alleviate its long-term fiscal deficit, a condition that is threatening to destabilize the country's economy. The approach that should be taken to sol...
On the Distribution Efficiency of an Optimal Monetary Policy
The paper studies the impacts of an optimal monetary policy on the distribution and production efficiencies by using a framework of multiple types of household and assets. It extends the work of Xiang (2013) by adding a...