금융시스템 리스크와 측정
Financial Systemic Risk and it’s Measurement
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초록
최근 미국 서브프라임 모기지 부실로 인한 글로벌 금융위기를 계기로 금융 시스템 전체의 리스크를 진단하는 거시건전성 감독의 중요성이 강조되고 있다. 그러나, 금융시스템 전체의 리스크에 주의를 기울이더라도, 궁극적으로 규제와 정책수단은 개별 금융기관 수준에서 이루어져야 함으로 개별 금융회사가 금융시스템 리스크에 기여하는 정도를 측정하는 문제가 중요해진다. 본고는 Acharya et al.(2010)에서와 같이 우리나라 개별 금융회사의 주가자료를 이용하여 개별 금융회사의 시스템 리스크의 기여도를 측정하였다. Acharya et al.(2010)은 SES(Systemic Expected Shortfall)을 금융 시스템 전체가 자본부족으로 인해 위기에 처한 경우 개별 금융회사가 자본부족에 처하게 되는 경향으로 정의하고, Marginal Expected Shortfall(MES)와 레버리지를 이용하여 시스템 리스크를 측정할 수 있음을 보여주었다. 우리나라의 자료를 대상으로 실증분석을 실시한 결과, 사전적 시스템 리스크 측정치인 MES가 1997년말 아시아 외환위기와 2007~2008년 글로벌 금융위기 중 사후적으로 실현된 주가수익률을 설명하는 데 유용하여 SES 추정치로서 유용하나, 레버리지와 자산의 규모 등은 SES에 일관적인 영향을 미치지 못하는 것으로 나타났다.
Abstract
Recent 2007~2008 global financial crisis has reminded us of the importance of the macro-prudential regulation, which focuses on the financial system as a whole. While giving attention to the whole system, ultimate regulation and policy tools should be applied to the individual financial institution, which makes measuring the systemic risk contribution by an individual institution essential prerequisite. This paper attempts to measure the systemic risk contribution by an individual institution, particularly SES(Systemic Expected Shortfall) which is defined as the individual institution’s contribution to the systemic risk when the financial system as a whole is under distress, as proposed by Acharya et al.(2010). Empirical analysis of the paper shows that MES is a useful measure to forecast SES for Korean financial system during the periods of the 1997 Asian financial crisis and 2007~2008 global financial crisis. However, leverage or asset size is shown not to be a consistent predictor of the SES during the financial crisis.
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