금융기관 신용리스크의 파급효과와 시스템 리스크 측정

We have experienced a tremendous global financial crisis from 2008 which threatened the soundness of the global financial system. In order to overcome the serious economic problems that have arisen, most developed countries have used quantitative easing policy along with expansionary fiscal policy. For example, FRB purchased $85 billion in bonds a month beginning September 2012, and has committed to maintain the benchmark interest rate at low levels until at least mid-2015. During this process, the fiscal deficit has been growing fast, dropping the US credit rating in the meanwhile. This growing fiscal deficit has also contributed to the European economic crisis. On the other hand, the Korean financial market has kept a solid fundamental economic system, which has helped Korea to recover from the financial crisis relatively quickly as compared to other developed countries. Despite this successful recovery, we still must take precautions against financial crises in the near future. The reason we attempt to predict financial crises is in order to minimize the losses of the financial system. To do so, we have to analyze the credit risk of each financial institution and also find potential system risks. In this study, we try to explain the spillover effect of credit risk between financial institutions. We develop the spillover index model to measure how financial institutions’ credit risks affect each other. We extend Diebold and Yilmaz’s (2009) spillover index in order to use the VAR model to measure how specific sectors’ variables affected one another. We also identify the magnitude of the system risk as the spillover index.We use 2 variables as credit risk: domestic banks’ CDS (Credit Default Swap) spread and several banking and non-banking EDF (Expected Default Frequency). We obtain the CDS spread data from Markit. We have 11 banks’ CDS spread data: the banks include Kookmin Bank (KB), Woori Bank (WR), Shinhan Bank (SH), Hana Bank (HN), Korea Exchange Bank (KE), Citibank Korea (CT), SC Korea First Bank (SC), Industrial Bank of Korea (IB) Korea Development Bank (KD), Nonghyup Bank (NH), and Export-Import Bank of Korea (EX). It is important to identify the magnitude of the relative change, period by period, rather than the absolute value of the change itself. Using the CDS spread, we found that prior to the financial crisis the spillover index was at a low level and that after the financial crisis, it has reached a high level. The EDF data was collected from the following: in the banking sector, we include 7 banks. In the non-banking sector we use 7 insurance companies, 7 S&L banks, and 5 lease companies. We can use EDF as supplementary data, as the CDS spread data is still more relatively important. CDS is decided by banks, while EDF is also controlled by other sectors, such as insurance companies, S&L, and lease companies, of which some of the S&L companies have been the cause of large financial turmoil in the Korean financial system in the past few years. In our study, we find that credit risk spillover is not that high in the banking sector. Additionally, the problem of some of the S&L companies’ crisis is due to the problems of the S&L system itself; there is very little spillover between S&L and other financial sectors, such as the banking sector. In order to ensure the soundness of the financial system itself, we have to develop a strict macro-prudential policy. The limitation of this approach is that we provide how much the credit spillover increases but we do not suggest the cause of this credit spillover increase. We are going to propose the cause of this increase in future research.