가계대출 부도요인 및 금융업권별 금융취약성: 자영업 차주를 중심으로 (Default Factors for Household Loans and Financial Fragility: The Importance of Self-Employed Borrowers in Korea)

51 Pages Posted: 14 Feb 2018

See all articles by Hosung Jung

Hosung Jung

The Bank of Korea; Bank of Korea - Economic Research Institute

Date Written: February 14, 2018

Abstract

Korean Abstract: 이 논문에서는 한국은행이 보유하고 있는 차주별 대출 및 연체DB를 이용하여 차주의 부실요인을 살펴보고 자영업대출을 포함한 가계대출이 유발하는 금융취약성을 점검하였다. 차주의 부실에 영향을 미치는 요인을 금리요인과 대출요인으로 구분하였으며 금리요인을 코픽스금리, 차주의 거래금융기관 및 대출 종류로 결정되는 차주의 대출성격별 가산금리, 차주의 신용등급별 가산금리 요인으로 분해하고 대출요인을 대출잔액 요인과 추가 차입요인으로 구분하였다. 분석결과, 차주의 대출성격별 가산금리 및 신용등급별 가산금리가 자영업 차주의 부도확률에 미치는 영향이 비자영업 차주에 비해 더 큰 것으로 나타났다. 아울러 차주의 부도확률을 이용하여 추정한 기대손실액의 금융업권간 상호연계성을 살펴본 결과 자영업 차주의 일부 금융업권간 기대손실액의 상호연계성이 다소 확대되고 있음을 확인하였다. 본 논문은 자영업 차주를 중심으로 차주의 대출금리 구조가 차주의 부도확률에 미친 영향과 금융업권별 기대손실금액의 상호연계성을 살펴본 최초의 시도로 향후 코픽스 금리 및 차주의 금리구조 변경으로 인한 충격이 금융취약성에 미치는 영향을 파악하고 이에 대한 정책적 대안을 마련할 때 다양한 시사점을 제공할 수 있을 것이라고 생각한다.

English Abstract: This paper analyses the factors behind the loan defaults of households, including self-employed borrowers, using individual panel data held by the Bank of Korea and investigates financial sector fragility based on the expected loss at default (EAD) for individuals. Using data on personal loans and delinquencies, this study attempts to divide personal loan interest rates into a cost of funds index (Cofix) interest rates (common factor), and interest spreads determined based on loan characteristics and credit ratings (individual factors), and to examine how these factors determine the default probabilities (PDs) of self-employed and non-self-employed borrowers differently. It is found that the rises in the interest rate spreads determined by the lending institution and the loan type, and in interest rate spreads determined by the borrower’s credit rating, have bigger impacts on increases in the PDs of self-employed borrowers compared to non-self-employed borrowers. In addition, the financial sector’s expected loss ratio shows a downward trend in line with decreases in borrowers’ PDs, while the expected loss ratio of self-employed borrowers is found to be higher than that of non-self-employed borrowers. The financial sector interconnectedness of borrowers’ EADs increases for self-employed borrowers between some financial sectors. It is believed that our study may provide important information about sources of default risk for individuals, including self-employed borrowers, and about the interconnectedness of financial sector fragility.

Note: Downloadable document is available in Korean.

Keywords: Loan interest, Household loan, Self-employed borrower, Default probability,Delinquency, Financial sector interconnectedness

JEL Classification: C23, D14, G20, G21, G23

Suggested Citation

Jung, Hosung, 가계대출 부도요인 및 금융업권별 금융취약성: 자영업 차주를 중심으로 (Default Factors for Household Loans and Financial Fragility: The Importance of Self-Employed Borrowers in Korea) (February 14, 2018). Bank of Korea WP 2018-5. Available at SSRN: https://ssrn.com/abstract=3123475 or http://dx.doi.org/10.2139/ssrn.3123475

Hosung Jung (Contact Author)

The Bank of Korea ( email )

39, Namdaemun-ro, Jung-gu
Seoul, 04531
Korea, Republic of (South Korea)

Bank of Korea - Economic Research Institute ( email )

110, 3-Ga, Namdaemunno, Jung-Gu
Seoul 100-794
Korea, Republic of (South Korea)

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