외환위기 기간중 한국 손해보험사의VaR 추정치 및 자본적정성 평가
Assessing the Value-at-Risk Estimates and Capital Adequacy of Korean Property/Casualty Insurers over the Financial Crisis
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초록
본 연구는 1997년 한국의 위환위기 기간중에 활동한 국내 손해보험사들에 대하여 VaR 측정치를 추정하고, 이를 통해 자본적정성 여부를 평가하고자 하였다. 당시 보험회사들은 감독당국에 의해 시장위험에 대한 자본적정성 원칙에 규제되지 않았지만, 본 연구에서 국내보험사들의 당시의 자본적정성 정도를 평가하기 위해 극단치 모형을 포함한 VaR 방법론을 적용해보는 것은 매우 의의가 있다. 본 연구결과, VaR 추정치는 위환위기가 발생한 1997년과 1998년 사이에 상당히 증가하였는데, 이는 시장위험에 대비해 더욱 많은 자본적립이 필요하였음을 시사하는 것이다. 그러나, 국내 손해보험사들의 자본수준은 위환위기를 거치면서 더욱 악화된 것으로 나타났다. 극단치모형 추정치에 의하면 국내손보사들의 자본적정성은 당시 더욱 불충분하였던 것으로 나타났다.
Abstract
In this paper, we estimated the VaR measures and capital charges for Korean property/casualty (P/C) insurers which operated over the financial crisis. Even though insurance companies at this time are not bound by the regulator's capital adequacy rule for market risks, it is very worthwhile to apply the VaR methodologies including extreme value model in order to determine the capital requirements of domestic P/C insurance companies. We found that the VaR values jumped significantly between 1997 and 1998 when the financial crisis occurred, requiring much more capital charges against market risks. It is quite interesting to find that P/C insurers' capitalization has deteriorated over the financial crisis. The extreme value model estimates report the severe insufficiency of their capital requirements.
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