신흥시장 N-SIFI의 식별 및 감독방향
Identification of N-SIFI and Directions for Macro-prudential Supervision
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본 연구에서는 해외유동성의 확보를 위해 외부금융 시스템에 전적으로 의존하고 있는 신흥시장의 입장에서 최근 논의되고 있는 SIFI선정의 의미를 살펴보고 우리나라에서의 적용 시 예상되는 문제점과 더불어 금융시장에 미치는 영향을 분석하였다. 구체적으로 병행적인 시스템 위험지표와 Corisk 분위회귀 및 DD 행렬에 기초한 우리나라 금융권 전반의 SIFI관련 분석 결과 금융시장의 상황에 따라 SIFI분류의 강건성이 크게 저하됨을 확인하였다. 무엇보다도 자체적인 시장안정 여건이 구비되지 않은 신흥시장의 여건하에서 공동대응과 시장개입에 대한 높은 의존도는 개별차원의 위험 식별과 대응을 어렵게 한다. 따라서 시스템 위험관리를 위한 개별회사 차원의 건전성 감독을 구체화 하는데 있어 각별한 주의가 필요하다. 시스템 위험관리를 위한 SIFI식별과 미시적 차원의 대응에 앞서 시장인프라 확충 및 위험관리 전담기구 등의 설립을 통해 보다 명확한 위험생성 과정과 책임소재 파악이 가능한 여건부터 조성되어야 한다.
Abstract
In line with the international guidelines to identify national-SIFIs(N-SIFI), attempts have been made to come up with a significance ordering using the emerging market data and balance sheet information. Using various techniques on measuring tail-dependence, such as corisk, quantile regressions and distress dependence matrix, we measure individual contribution to changes in systemic risk as measured by a set of indicators developed earlier by Choi (2011). Classification results based on individual ranking suggest serious problems of identification, especially with respect to robustness. Given that some of the recent proposals for differential supervisory guidelines hinge on robust identification of N-SIFI, the results call into question the validity of pursuing such efforts in an emerging market context. Given the presence of common shock, largely related with FX-related funding needs, there are limits to single out individual contribution to systemic risks. The results suggest the needs to strengthen market infrastructures for individual risk management before setting up a differential supervisory guidelines for recognizing endogenous externality.
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