This paper analyzes the factors behind the loan defaults of borrowers by their employment status (whether they are self-employed) using the Korea Consumer Credit Panel data held by the Bank of Korea, and estimates the probability of default and the fragility of the financial sector. This is done using the concept of exposure at default for individuals. Using individual data on loans and delinquencies, we divide the spreads of personal loans into spreads determined by loan characteristics and spreads based on credit ratings to examine how these factors determine the probability of default among self-employed and non-self-employed borrowers. We find that the marginal effect of the spread based by the characteristic of loans and the borrowers’ credit ratings on the probability of default is greater to the self-employed borrowers, as compared to the non-self-employed borrowers. Especially, the effect of the spread by credit rating is stronger than the other. When we measure the vulnerability of financial institutions in terms of households’ probability of default, the institutions’ exposure to default of the self-employed affects to institutions’ vulnerability more than those of the non-self-employed. Therefore, more attention should be paid to the connectedness of financial institutions to household debt, and, in particular, the financial status of the self-employed.

中文翻译：

---

韩国就业状况的违约概率

本文使用韩国银行持有的韩国消费者信贷面板数据分析借款人的就业状况（是否为个体经营者）导致贷款违约的背后因素，并估计了违约概率和金融部门的脆弱性。 . 这是使用个人默认暴露的概念来完成的。我们使用贷款和拖欠的个别数据，将个人贷款的利差分为由贷款特征决定的利差和基于信用评级的利差，以研究这些因素如何决定个体经营者和非个体经营者借款人的违约概率。我们发现基于贷款特征和借款人信用评级的利差对违约概率的边际效应对个体经营借款人更大，与非自雇借款人相比。尤其是信用评级的利差效应强于其他。当我们用家庭违约概率来衡量金融机构的脆弱性时，机构自雇者违约风险敞口对机构脆弱性的影响要大于非自雇者。因此，应更加关注金融机构与家庭债务的关联性，尤其是个体经营者的财务状况。机构“个体经营者违约风险暴露”对机构脆弱性的影响大于非个体经营者。因此，应更加关注金融机构与家庭债务的关联性，尤其是个体经营者的财务状况。机构“个体经营者违约风险暴露”对机构脆弱性的影响大于非个体经营者。因此，应更加关注金融机构与家庭债务的关联性，尤其是个体经营者的财务状况。