은행의 대출 포트폴리오와 은행 위험
Bank Loan Portfolio and Bank Risk
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초록
본 연구는 은행의 대출 포트폴리오 구성 자료를 이용해 은행의 산업별 대출 집중도와 은행 위험과의 관계를 분석하였다. 은행의 산업별 대출 포트폴리오 집중도는 75개 산업별 대출 포트폴리오 자료를 이용하여 산정하였으며 전통적 개념의 산업 대출 집중도(HHI) 뿐 아니라, 은행 간 대출 포트폴리오 유사성 및 비중 등을 반영한 상대적 거리개념의 산업별 대출 집중도 지표(RD)도 함께 이용하였다. 은행 위험은 은행 위험을 의미하는 ‘Bank-Z’ 지표를 중심으로 분석하였다. 본 분석 결과에 따르면, 은행의 산업별 대출 집중도가 높을수록 은행의 위험은 높은 것으로 추정되었다. 이러한 결과는 은행의 산업별 대출 집중도 증가에 따른 은행이익의 변동성 증가에 기인한 것으로 추정되었다. 한편 은행 대출 집중도 증가는 자기자본비율 제고 등 은행 위험을 낮추는 결과도 발견되었으나, 이러한 결과가 은행 대출 집중도 증가에 따른 은행이익 변동성 증가의 위험을 상쇄시키지는 못하는 것으로 추정되었다.
Abstract
This paper examines the relationship between the bank loan concentration and bank risk by using 75 industry bank loan portfolio data. We defined the industry bank loan concentration proxy using HHI(Hirshimann-Herfindahl Index) based on the economic market concentration concept as well as RD(Relative Distance) considering the loan portfolio similarity among banks. We used the Bank-Z score, developed by Boyd and Runkle(1993), as the bank risk proxy. Empirical analyses in this paper show that bank loan portfolio concentration might increase bank insolvency risks, possibly by raising earning volatility.
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