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신흥시장 시스템 위기의 원인과 측정방안

Anatomy of Systemic Risks in Emerging Economies: The Case of Korea

최공필
예금보험공사 (Korea Deposit Insurance Corporation)|2011.06|금융안정연구 (Financial Stability Studies)|제12권 제1호|pp. 89-135

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참고문헌

키워드

Systemic RiskMonte Carlo Simulation몬테칼로 시뮬레이션시스템위험위험프레미엄Insurance Premium
주제분류경제학

초록

신흥시장의 경우 연관된 부도로 나타나는 시스템 위험은 부도확률, 수익률 상관계수 등 신용위험 요인 외에도 거시금융 및 제도, 정책관련 위험이 혼재되어 책임소재 파악이 어려운 특징을 가진다. 본 연구에서는 시장평가의 쏠림현상을 완화하면서 거시건전성 차원의 노력이 구체화될 수 있는 신흥시장 시스템 위험의 측정을 위해서 시장정보와 첨단통계기법의 적용가능성을 타진해본다. 구체적으로 Huang, Zhou, Zhu(2009)의 방법을 근간으로 한 포트폴리오 신용위험 평가모형과 Hakkio and Keeton(2009)의 거시금융요인이 내포된 인자모형을 토대로 한 위험척도의 병행 활용으로 국면의존적이고 비선형적인 신흥시장의 시스템 위험을 효과적으로 모니터링 할 수 있음을 보였다. 실증분석 결과 기초적인 신용위험요인과 더불어 거시금융요인과 연관된 부채측면의 위험 노출정도가 신흥시장 시스템 위험의 주요 결정요인으로 부각되었다. 본 연구의 시스템 위험지표를 활용한 분석의 틀은 신흥시장의 맥락에서 금융안정을 위한 거시 건전성 감독에 적용될 수 있는 가능성을 시사한다.

Abstract

The increasing consolidation of the global financial system imposes significant challenges for emerging economies in controlling systemic risks. FX-related liquidity risks remain the main driver of credit and market risks that converge into systemic risks and complicate risk management practices. Emerging market systemic risks are usually controlled through government intervention or implicit guarantees, this paper tries to delve into the causes of systemic risks and draws implications for effective macroprudential supervision. Unlike the strains of typical portfolio credit risk models, systemic risks in an emerging market context are much more complex, as they involve more state-contingent interactions with financial-macro factors. We employ a two-pronged approach based on portfolio credit risk and factor models to identify and measure systemic risks. The results produce an implementable monitoring platform for systemic risks in an emerging market context. Discrepancies with alternative systemic risk measures also support the rationale for employing prudential supervision to manage systemic risks in emerging economies.

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