역모기지 보증리스크의 증권화 방안
Securitization of Insurer's Risk in Reverse Mortgages
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초록
본 연구는 한국의 공적보증 역모기지의 보증리스크를 헤징하기 위한 증권화방안에 대한 연구이다. 먼저 역모기지모형에 내재해 있는 보증리스크를 확인한 후, 역모기지의 장기 운용과 관련한 보증자의 총체적 리스크를 헷징하기 위한 방안으로서 역모기지 리스크채권을 이용한 증권화구조의 설계에 대하여 논의하였다. 역모기지 리스크의 증권화를 통하여 역모기지 보증자는 리스크의 상당부분을 자본시장에 전가시킬 수 있게 될 것이므로 보증리스크의 증권화는 동 제도의 장기적 운용에 안정성을 제고시켜 줄 것이다. 본 연구에서의 분석결과는 향후 다양한 금융상품의 리스크를 헤징하기 위한 증권화 방안에도 응용되어질 수 있을 것으로 기대해 본다.
Abstract
This paper analyzed the method of securitization for hedging insurer's risks embedded in Korean government sponsored reverse mortgages. After confirming the insurer's risks in the basic model of reverse mortgages, we argued about designing a securitization structure for hedging total risks resulting from long term operation of reverse mortgages using reverse mortgage risk bond. Securitization of insurer's risks could promote the stability of long term operation of reverse mortgages because the insurer's risks could be transferred into capital markets. We expect that the results of this analysis could be applied to the plans for hedging risks embedded in other financial commodities.
참고문헌 (29)
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