국내 주택담보대출 LGD의 기본특성과 결정요인 분석: 아파트시장을 중심으로

초록

We study the nature and the determinants of the LGD (loss given default) of defaulted residential mortgage loans in Korea for the 2006-2009 period using loan-level auction data. We restrict the sample to residential mortgage loans where collaterals are apartments and loans have senior claims. We find the CLTV (current loan-to-value) ratio has the greatest explanatory power (62.16%), followed by auction variables (26.60%), collateral characteristics (9.88%) and macro variables (1.35%). LGD rises quickly once CLTV reaches 80%. Finally, both the levels and the determinants of the LGD do not differ greatly either through the real estate market cycles or across real estate submarkets.

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