은행부문의 시스템위험과 건전성 규제의 개선방향에 대한 연구 (System Risks in the Banking Sector and Enhancement of Financial Regulation in Korea)
KDI Policy Study 2014-16, 1-68
82 Pages Posted: 13 Jun 2016
Date Written: December 31, 2014
Korean Abstract: 글로벌 금융위기 중 경험한 대형금융기관의 파산과 이에 따른 부정적 영향은 기존 금융규제체계의 문제점을 검토하는 배경이 되었다. 금융기관 건전성 규제에 대한 인식에 있어 기존에는 개별 금융회사의 안정성이라는 미시건전성 규제에 초점을 맞추었다면, 금융위기 이후에는 금융시스템적 안정성을 추구하는 시스템위험 관리에 초점을 둔 거시건전성 규제체계로 확대되었다. 이러한 시스템위험 관리체계에 대한 도입 논의가 국제기구 및 G20 국가들을 중심으로 활발한 가운데, G20에 속한 한국에서도 시스템위험 관리체계에 대한 논의와 더불어 한국 실정에 맞는 시스템위험 규제체계의 도입이 요구되고 있다. 본 연구에서는 은행부문을 중심으로 시스템위험 관리체계의 구축방안을 검토하였다. (이하 생략)
English Abstract: During the global financial crisis, the failures of large and complex financial institutions resulted in financial disruption and government funded bail-outs with huge burden on tax-payers. Large financial institutions tended to pursue more risks at lower borrowing costs against the expectation of government bail-outs in case of failure. The incentive misalignment underlying the excessive risk-takings of the systemically important financial institutions (SIFIs) may need to be corrected to end the Too-Big-To-Fail (TBTF) problem. Against this backdrop, international communities, the G-20 nations in particular have pushed for structural financial reforms, including measures to end the TBTF problem. Financial regulation frameworks in Korea may need to be reformed in accordance with the international regulatory frameworks for effective systemic risk management. This paper assesses and identifies the systemic importance of domestic banks in Korea and discusses policy measures for the management of systemic risks in the banking sector.
The systemic importance of banks may need to be quantified in order to implement regulatory frameworks for systemic risks in the banking sector. Principles and guidelines about the measurement approaches recommended by the FSB and BCBS have been reviewed and discussed along with the recent practices taken by major countries. This study adopts an indicator-based approach and analyzes the public accounting information disclosed by domestic banks to measure and assess their systemic importance. The systemic importance of 17 domestic banks in Korea, categorized into three groups of commercial banks, special-purpose banks, and regional banks have been assessed in this study. The assessment shows that a few in groups of commercial banks and special-purpose banks appear to be systemically important by a large degree compared with other banks in the same groups while regional banks appear not much important systemically. The domestic banks whose systemic importance appear significant may need to be considered put in place under additional measures for systemic risk management while the special-purpose banks may be considered for how much of their purpose of establishment should be taken into account for adoption of systemic risk regulation.
Various measures may be considered to be introduced for systemic risk regulation. For example, measures such as higher loss absorbing capacities, strengthening resolution regimes, structural measures to restrict business models, and enhanced supervision may be considered. With respect to the higher loss absorbancy (HLA), the amount of the HLA for D-SIBs in Korea may not have to be held as much as those in major economies since the level of systemic importance of domestic banks in Korea appears low relative to that of D-SIBs in major economies. In order to implement the special resolution regimes, various kinds of resolution frameworks such as recovery and resolution plan (RRP), resolution assessment process (RAP), and gone-concern loss absorbing capacity (GLAC) may be considered for example. It should be noted that the purpose of strengthening the resolution regime is to end the TBTF problem by introducing a credible bail-in mechanism for orderly resolution without exposing taxpayers to losses while maintaining critical functions of financial firms in resolution. Among the resolution measures, the RRP and RAP could be introduced without much resistance from financial firms designated as D-SIBs. However, measures such as requiring GLAC for D-SIBs may be of a big burden and of controversy to stake-holders of those banks depending on the size and changes in their legal rights although GLAC may be at the heart of designing a credible bail-in mechanism. In addition, approaches such as structural measures or higher supervisory intensity could be considered depending on how the systemic importance of D-SIBs is recognized by financial authorities. It may be worth mentioning that the aforementioned measures should be chosen appropriately with rationales by taking the special conditions of domestic firms and markets into account because the approaches toward the D-SIB regulation are recommended to take principlesbased ones according to guidances and practices mentioned above.
Note: Downloadable document is in Korean.
Suggested Citation: Suggested Citation