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시스템리스크의 측정과 관리: 서베이와 제언

Measuring and Managing Systemic Risks: A Survey and Proposals

서상원
예금보험공사 (Korea Deposit Insurance Corporation)|2018.06|금융안정연구 (Financial Stability Studies)|제19권 제1호|pp. 131-232|DOI 10.26588/kdic.2018.19.1.005

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참고문헌

키워드

거시건전성정책금융안정Financial stabilityMacroprudential policy시스템리스크한국 거시건전성 정책체계Systemic risksKoreanmacroprudential policy framework
주제분류경제학

초록

본 논문은 시스템리스크 측정에 관한 그간의 연구성과들을 소개하고 시스템리스크에 대응하기 위한 거시건전성 정책체계에 대해 살펴본다. 그리고 한국의 현행 거시건전성 정책체계에 대해 검토하고 이를 개선시킬 수 있는 방안에 대해 제언한다. 한국의 시스템리스크 관리체계는 법제화되지 않은 관계기관 협의회에서 거시건전성정책을 총괄하고 있어서 위기시 시의적절하게 대응하지 못할 위험이 있을 뿐만 아니라 관계기관간 정보의 공유가 미흡하여 시스템리스크의 분석과 판단의 수준을 높이는데 한계가 있다는 문제점을 가지고 있다. 본 논문은 거시건전성정책 결정기능을 효율화하는 단계적 방안을 제안하고 관계기관간 정보공유를 활성화하기 위한 정보협의회 및 시스템리스크 분석 및 정책평가의 질적 제고를 도모할 수 있는 실무협의회를 새로이 구성할 것을 제안한다. 그리고 본 논문은 시스템리스크 평가기법에 대해서도 여러 가지 구체적인 제안들을 제시하였다.

Abstract

In this paper, I review the literature on systemic risk measurement and macroprudential policy framework. In addition, I assess the current macroprudential policy framework in Korea and make several proposals to improve it. Korea’s current macroprudential policy framework has several problems. A council which is not a legal entity but an ad hoc meeting among relevant agencies is responsible for the policy; therefore the council may not timely react to systemic risks due to its legal status. Korean Deposit Insurance corporation and the Bank of Korea are not fully accessible to information about individual financial institutions, which may hamper their macroprudential role. Information about systemic risk identification and analyses is not fully shared among relevant agencies. In this paper, I suggest a gradual approach for improving the current macroprudential policy framework in Korea. As the first step, I propose to hold the macroprudential policy council regularly, which may be helpful for the functioning of the macroprudential policy. Then, I suggest to make the council a legal entity as the second step. In addition, I also propose to form new councils for information-sharing and systemic risk assessments among relevant agencies. Detailed technical suggestions for improving the assessment of systemic risks are also made.

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