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내부자본적정성 중심의 필라2 개편 방안

ICAAP-based Pillar 2: Reformative proposals for the Korean banking supervision

김정일|서상원
금융감독원 (Financial Supervisory Service)|2022.04|금융감독연구 (Journal of Financial Regulation and Supervision)|제9권 제1호|pp. 1-48|DOI 10.23229/fss.2022.9.1.001

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키워드

스트레스 테스트Risk AssessmentStress TestPillar 2필라2리스크평가ICAAPSREP
주제분류경제학

초록

본 연구는 은행감독규제인 바젤Ⅱ 및 바젤Ⅲ에서 핵심적인 역할을 하고 있는 필라2(Pillar 2)가 우리나라에서 어떻게 운용되고 있는지를 점검하고 개선방안을 도출한다. 구체적으로, 본 연구는 우리나라의 필라2 제도인 리스크평가 제도와 관련하여, 은행이 수행하는 내부자본적정성평가(ICAAP)에 기반한 감독당국위험평가(SREP) 수행체제로 전환이 필요함을 주장하고, 은행의 ICAAP의 수행을 지원하고 SREP의 구체적 실행을 위한 방안 등을 제안한다. 또한, 본 연구는 필라2의 결과로 감독당국이 적용할 수 있는 추가자본 부과 방식을 기존 위험가중자산 할증 방식에서 최저요구자본비율 상향 방식으로 변경하는 것과 양적 및 질적 조치들을 더욱 적극적으로 활용하는 방안들을 제안한다.

Abstract

In this study, we evaluate the practice of Pillar 2 which plays an essential role in the Basel Ⅱ and Ⅲ in the Korean banking supervision and make several reformative proposals. Specifically, we propose that the supervisory authority should implement the supervisory review and evaluation process (SREP) in a way to efficiently use information contained in the internal capital adequacy assessment process (ICAAP) which is conducted by banks. In addition, we suggest several proposals to help effective implementations of ICAAP and SREP. For the SREP decision and supervisory measures, we propose to change the capital surcharge method from a risk-weighted asset add-on approach to a capital requirement ratio add-on approach. Other quantitative and qualitative measures are also advised to be more actively used as supervisory measures.

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