IFRS4 2단계하에서의 유동성 프리미엄을 반영한 할인율 추정에 관한 연구
Estimation of the Discount Rates for Insurance Liability Valuation Reflecting the Term Structure of Liquidity Premiums under IFRS 4 Phase Ⅱ
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초록
IFRS4 2단계에서 보험부채 평가액을 결정하는 핵심적인 요인이라 할 수 있는할인율과 관련하여, 본 연구는 이론적으로 타당하고 실무적으로 적용 가능한 할인율산출방법에 대한 제언을 목적으로 한다. 주요 결과는 첫째, 본 연구에서 새롭게 제안한정부보증채 스프레드를 유동성 지표로 추가하여 확장한 Fama-French 모형이우리나라 회사채 수익률 스프레드를 설명하는데 적합함을 실증하였다. 둘째, 유동성요인은 우리나라 회사채 수익률 스프레드 결정과 관련하여 의미 있는 리스크 요인임을확인하였다. 셋째, Nelson-Siegel 모형과 Svensson 모형에 비해 Smith-Wilson 모형이무위험 이자율 예측 모형으로 적합도가 높은 것을 확인하였다. 마지막으로 우리나라채권시장의 유동성 프리미엄은 각각 10 ․ 18 ․ 38 ․ 70bps(정부보증채 ․ AAA ․ AA ․ A 순서, 2015년 말 기준, 3년 만기 기준)로 추정되었다.
Abstract
This paper aims to suggest an estimation method of discount rates for insurance liability valuation reflecting the term structure of liquidity premium under IFRS 4 Phase II. The advantage of our method is that it is not only theoretically solid, but also practically applicable. The main findings are as follows: First, the extended Fama-French model, including government-guaranteed bond spread as a liquidity factor, is suitable to determine corporate bond yield spreads. Second, the liquidity risk factor is priced within the cross section of each bond rating and maturity. Third, the Smith-Wilson model exhibits substantially better fitted extrapolations for the term structure of risk free rates, compared to the Nelson-Siegel model and the Svensson model. Fourth, the term structure of liquidity premiums for corporate bonds of each rating as well as government bonds is estimated to reflect the characteristics of cash flows of insurance liabilities. Finally, liquidity risk premiums of Korean government-guaranteed bonds and corporate bonds with AAA, AA, and A ratings are estimated to be 10, 18, 38, 70 bps, respectively on three-year maturity basis at the end of 2015.
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