핀테크의 시스템위험에 대한 기여도: CoVaR를 이용한 접근

We analyzed the effect of bigTech, fintech and financial firms on systemic risk using ΔCoVaR proposed by Adrian and Brunnermeier(2016). Our findings are as follows. First, our estimates of ΔCoVaR of some fintech and bigTech firms was smaller than those of fintech firms in the U.S. and Europe reported by Franco et al. (2020). That is, unlike the United States and Europe, significant tail dependency was observed from fintech and bigTech firms in our dataset. However, this does not mean that the actual contribution of fintech firms to systemic risk is large. Considering that both the size of ΔCoVaR and firm size determine the contribution of individual firms to systemic risk and that fintech firms are relatively small, we conclude that the actual contribution of fintech firms to systemic risk may not be large. However, considering that fintech and bigTech companies are growing in size and interconnectedness with the financial industry is increasing, their impact on the financial system needs to be studied and monitored. Second, since the correlation between ΔCoVaR and VaR is low, ΔCoVaR seems to provide information that VaR cannot provide in fintech and bigTech companies. In conclusion, although the systemic risk of fintech and bigTech companies does not seem to be substantial at this point, as time goes by, the scale of fintech and bigTech industries grows and the interconnection between them and the financial industry is strengthened. Therefore, it appears that an in-depth study on the effect of tech on systemic risk is necessary.