시뮬레이션을 통한 국내은행의 부실확률 추정과 초기 정리비용의 산정

This study aims to construct an estimation model for a Korean domestic bank's BIS capital ratio by using key financial data that are highly correlated with the capital adequacy indicator and to determine the probability that the BIS capital ratio falls below the regulatory level using simulation techniques. Estimating the likelihood of insolvency through simulation techniques makes it easy to change the definition of insolvency depending on the economic situation. There are advantages to confirming the timing of the first insolvency and individual bank’s extreme tail-risk easily by conducting simulations based on the trend of changes in the bank's financial status rather than a stress scenario. As a result of estimation analysis as of the end of December 2022, the BIS capital ratio of 2 out of 16 domestic banks may fall below 10.5% during the period from the 1st quarter of 2023 to the 4th quarter of 2024, and the cumulative insolvency probability appears in the range of 0.01% to 0.05%. Meanwhile, when assuming a stress situation at the time of analysis, the estimated simulation distribution of the BIS capital ratio has shown to shift to the left during the crisis, and the BIS capital ratio falls below the regulatory level in 7 banks. The cumulative insolvency probability of these banks ranges from a minimum of 0.01% to a maximum of 0.71%, and the total resolution costs that would have to be paid are predicted to be around 1.5 trillion won when insolvency becomes a reality. If an extreme systemic risk occurs, the cost of resolving bank insolvency will likely increase astronomically. To prevent such a situation, it is necessary to identify the bank's risk factors in advance and minimize the possibility of insolvency through proactive response. Also, it is essential to maintain sufficient initial insolvency resolution funds, such as the deposit insurance fund.