K-ICS 2.0 무차익 DNS 금리충격 시나리오 산출 방법론의 이해와 검토

This study describes the process of calculating the arbitrage-free DNS (AFNS) interest rate shock scenario for measuring interest rate risk with the new K-ICS 2.0, which is a capital adequacy system evaluating and analyzing the risk and financial soundness of insurance companies under IFRS 17. The interest rate risk is particularly important due to its modeldependency compared to other risks, and it has considerable significance from a practical standpoint. In short, this study is about the calculation procedure of the interest rate shock scenario of K-ICS 2.0 and the estimation of AFNS and DNS models for the 4-sample period. Besides, the modifications of K-ICS 2.0 were reflected in the estimation process. As a result, we find that the AFNS model reduces the volatility of the interest rate shock more than the DNS model does. In particular, the purpose of the IAIS DNS shock generating algorithm is to eliminate the curvature effect and to identify two shocks in terms of level and slope directions, but an increased curvature effect has been caused. Therefore, twist shock is being humped or crossed at short maturity and is not conforming to its intuition and definition. Through this study, the partnership between financial supervisory authorities and insurance practitioners is expected to be achieved. In other words, the financial supervisory authority will be able to develop scenarios that are better suited to the situation of the insurance company. Also, the insurance practitioner is expected to access the methodology more easily while building the internal model based on the K-ICS.