스트레스테스트를 활용한 은행 가계대출부문의 안정성 연구
A Study on the Stability of Korean Banks' Household Lending Sector: A Stress Test under a Macroeconomic Credit Risk Model
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초록
본 연구에서는 CreditPortfolioView를 이용하여 거시경제변수의 이례적 악화가 일반은행 가계대출 포트폴리오의 신용손실에 미치게 될 영향과 은행의 손실 감내 능력을 분석하였다. 시뮬레이션의 결과, 경기충격이 부도확률 및 손실 분포에 가장 큰 영향을 미치는 것으로 나타났다. 경기·고용·물가 충격이 동시에 발생하는 극단적 시나리오 하에서 예상외손실은 가계대출 잔액의 4.1%에 달하였으며, 이는 일반은행의 BIS 자기자본비율이 2006년말 12.3%에서 1년 후 10.8%로 하락할 수 있지만, 여전히 최저 요구비율인 8%는 상회할 것임을 의미한다. 이러한 결과는 기업대출 등 여타 부문을 고려하지 않는다는 전제하에 90년대 후반에 경험했던 극단적인 경제 위기상황이 되풀이 되더라도 은행 가계대출부문의 리스크 감내 능력은 적정하다는 것을 시사한다.
Abstract
This study measures to what extent exceptionally adverse changes of macroeconomic variables, such as business composite index and unemployment rate, may affect the credit loss of commercial banks' household loan portfolios. It also analyzes the risk-bearing capacity of Korean banks in the face of such macroeconomic shocks. The model underlying the stress tests presented in this study is based on CreditPortfolioView, a macroeconomic credit risk model developed by McKinsey & Co. The simulation results of the respective scenarios show that a cyclical shock has the greatest impact on the default probability and the loss distribution. Meanwhile, the unexpected loss after fourth-quarter period at the 99% level amounts to 4.1% of banks' household loan exposures under an extremely stressed scenario in which a cyclical shock, an unemployment shock, and a price shock take place simultaneously. This would mean a decline in the average BIS capital adequacy ratio of commercial banks from 12.3% at the end of 2006 to 10.8% at the end of next year. The BIS ratio, however, would still be higher than the 8% minimum. This result suggests that, even if the extreme economic stress conditions experienced in the late 1990s were to be repeated, Korean banks' risk-bearing capacity of household lending sector should be more than adequate.
참고문헌 (24)
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