연금재정상황을 고려한 퇴직급여 지급보증가치에 관한 연구
A Study on the Value of Retirement Benefit Guaranty Considering Financial Status of Pension Plan
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초록
본 연구는 최근 필요성이 높아지고 있는 퇴직급여 지급보증제도 도입 시 지급보증가치 산정을 위한 모형을 제시하고 실제 데이터를 적용·분석하였다. 기존의 Ronn & Verma(1986)모형은 퇴직금제도 지급보증가치 적용모델이지만 퇴직연금재정상황을 고려하지 못하는 단점이 있다. 본 연구에서는 Margrabe(1978)의 교환옵션 모형을 퇴직급여 지급보증가치산출에 적용하여 위의 문제점을 개선해보았다. 적용결과 자산수익률·부채증가율 간 상관계수와 적립비율이 낮을수록, 자산수익률 및 부채증가율의 변동성 수준이 높을수록 지급보증가치는 높게 나타났다. 이러한 결과는 사외적립률이 각각 60∼100%인 5개 기업을 대상으로 한 실증분석 결과에서도 확인할 수 있었다. 따라서 교환옵션모형에 의한 지급보증가치를 활용할 경우, 기업의 도덕적 해이 및 역선택 예방과 더불어 지급보증기구의 재정안정화와 가입자 수급권보호에 기여할 것으로 판단된다. 또한 부채연계 자산운용(예를 들어, ALM) 활성화에도 긍정적 영향을 미칠 것으로 예상된다.
Abstract
This study proposed a model for calculating the value of benefit guaranty in the retirement benefit guaranty system and analyzed the model by applying it to actual data. The Ronn & Verma(1986) model used in previous study has more or less shortcoming in respect of modelling on grounds, which fails to consider the financial status of DB funds. In order to solve this kinds of problems, we adopted the exchange option model proposed by Margrabe(1978) for calculating the value of retirement benefit guaranty. By applying the model, we find out that the value of benefit guaranty is higher, when the correlation between return on assets and the liability growth rate is low and also we have the same results in each of following cases that (ⅰ) the funded ratio was low and (ⅱ) the volatility on asset returns and on liability growth rates each is high. These findings are also supported by the results of empirical analysis on five companies, whose funded ratio is between 60‐100%. Therefore, if the value of benefit guaranty obtained by the exchange option model is used as the risk‐based premium of the guaranty system, it may prevent companies’ moral hazards and adverse selections and then it would maintain the finance soundness of benefit guaranty corporations. Moreover, it would be expected to have a positive effect on the activation of ALM.
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