코로나19가 금융 시스템리스크에 미친 영향
The Effect of Covid19 on Systemic Risk: The Case of Korea
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초록
본 연구는 하향식 스트레스 테스트 방법에 기반하여 코로나19 위기가 한국의 금융 시스템리스크에 미친 영향을 분석하였다. 본 연구에서 감염병 모형을 이용하여 분석한 결과 코로나19 위기의 조기 종식을 위해서는 코로나19 백신개발이 중요한 것으로 예측되었다. 이러한 결과를 바탕으로 본 연구는 코로나19 위기 지속기간에 대하여 시나리오를 설정하고, 시나리오별로 기업부문은 규모 및 업종별로 구분하고 가계부문은 업무종사 형태별로 구분하여 코로나19로 인한 신용위험 증대효과를 추정하였다. 그리고 본 연구는 코로나19 위기에 대응하기 위한 중앙은행의 금리인하 정책으로 인한 금융기관의 이자수익 감소효과도 추정하였다. 다음으로 본 연구는 기업 및 가계부문의 신용위험 및 금융기관의 이자수익 충격을 반영하여 개별 금융회사의 부도확률을 산출하였다. 분석 결과, 은행부문은 코로나19 위기에도 불구하고 안정성을 유지하는 것으로 나타났으나, 일부 상호저축은행 및 국내 생명보험회사들은 코로나19 위기로 인해 위험도가 높아지는 것으로 나타났다.
Abstract
This study examines the effect of Covid19 on Korean financial systemic risks based on a top-down stress test approach. This study employs an epidemiology model and finds that it will be essential to develop effective vaccines for ceasing Covid19 in a timely manner. Based on this finding, this study constructs several scenarios on the duration of the Covid19 crisis and estimates size- and sector-differentiated firm credit risks and occupation-differentiated household credit risks under the scenarios. This study also estimates the effect on interest income shocks to financial institutions of monetary policy changes to respond the Covid19 crisis. This study then estimate default probabilities of individual financial institutions by combining the effects of Covid19 on firm and household credit risks and interest income shocks to financial institutions. This study finds that while the banking sector can remain robust to Covid19 shocks, several savings banks and life insurance companies may be significantly negatively affected.
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