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분야 : 사회과학 > 법학
발행기관 : 한국금융연구원
간행물정보 : 금융연구, 2011 pp.~24 (총 25pages)
 
 
국문초록
금융안정을 위한 효과적인 감독·규제 정책을 시행하기 위해서는 금융 시스템 리스크 수준에 대한 정확한 판단이 선행되어야 한다. 본 연구에서는 옵션가격모형에 시스템 리스크를 측정하는 기존의 방법론을 확장하여 현실적합도를 높인 새로운 방법론을 이용하여 우리나라 은행부문의 시스템 리스크를 측정하였다. 우리나라 은행부문은 최근 금융위기 기간중에 시스템 리스크가 증가한 것으로 측정되었으며, 은행의 규모로 가중평균한 시스템 리스크 수준이 은행의 규모를 감안하지 않은 경우에 비해 낮게 측정되어 규모가 큰 은행이 상대적으로 건실한 것으로 평가되었다. 한편, 공통요인을 적절히 감안하지 않으면 시스템 리스크가 과소평가될 위험이 큰 것으로 나타났다.
 
 
영문초록
Accurate measurement of systemic risk is required to efficiently implement financial regulation policies for financial stability. In this paper, we measure systemic risk of Korean banking sector by employing a new method proposed by Suh (2011) which extends existing methods based on option pricing approaches in order to effectively capture realistic features in banks` asset return dynamics and their correlations.12) Merton`s (1974) structural approach considers an equity as a European call option written on a firm`s asset value with the strike price of the matured debt amount. The method employed in this paper also regards an equity as a European call option, but the option is written on the net asset value (i.e., asset value minus debt amount) with the strike price of zero, departing from the usual structural approach. This deviation allows a realistic feature that banks` liabilities (as well as asset) continuously and randomly change because of their role of financial intermediation, while the usual structural approach assumes a fixed debt amount at maturity. The method models individual bank`s net asset value to depend on an observable common factor which is realistically featured with time-varying volatility. This feature enables not only individual bank`s net asset values but also their correlations to have time-varying volatility. Furthermore, it greatly facilitates estimation because the common factor is constructed as an observable variable and therefore allows bank-by-bank estimation. Systemic risk is measured with (i) the proportion of the number of default (or distressed) banks among all banks and (ii) the proportion of the debt amounts of default (or distressed) banks among all banks. We utilize the method to measure s ystemic risk of Korean banking sector from March 1999 to August 2010. The Korean banking sector is populated with ten to twelve banks during the sample period. We found that the Korean banking sector showed a sharp increase in the systemic risk during the recent global financial crisis period. Debt-weighted systemic risk level was lower than equal-weighted systemic risk level, which indicates that large banks are less susceptible to financial distress than small banks. The common factor prove its importance in measuring systemic risk. In particular, ignoring the common factor might lead to significant underestimation of the systemic risk.
 
 
금융 시스템리스크, 금융안정, 자산상관관계, Financial Systemic Risk, Financial Stability, Asset Correlation
 
다운로드 94737613.pdf