예금보험제도와 적정 예금보험기금
To promote financial stability through protecting individual depositors, more than seventy countries have now adopted deposit insurance system. Many find it useful to set a target level for the deposit insurance fund that would allow it to attain and retain financial viability and avoid the financial deficiencies that lead to forbearance for troubled banks and/or insolvency of the fund. However, the most including the U.S. do not have an appropriate economic rationale in determining the adequacy of the deposit insurance fund.
Recently, an increasing number of financial institutions have been using credit risk models to evaluate risk of their loan portfolios. In 2001, the Basel Committee issued a consultative paper on a new capital accord that would allow qualifying banks to use internal credit-risk models to calculate appropriate level of reserve capital. The FDIC is also interested in credit risk models as a means of measuring risk to the deposit insurance funds. As part of this effort, Oliver, Wyman and Company developed an application of credit risk models that explicitly constructs the loss distribution for the FDIC.
This paper takes this credit-risk modeling approach to suggest an appropriate level of the Korea Deposit Insurance Fund using its own fund loss experience. A deposit insurance corporation is managing a portfolio of credit assets, consisting of contingent exposures to the financial institutions it insures. Therefore, the risk management problem faced by a deposit insurance corporation is directly related to the riskiness of the individual member institutions in its portfolio. This problem can be broken down into the familiar components of contemporary credit analysis: the probability of an insured member institution defaulting, the severity (or loss given default) of pay-out in the event of a claim, the size of the claim in the event of default (exposure), and the likelihood that several of these adverse events will occur at the same time (default or loss correlation). These factors can be used to estimate the cumulative loss distribution of insured institutions.
This paper has used the actual banking data to have a rough idea for the proper size of the deposit insurance fund for Korea. Suppose that the desired credit rating of the fund is at least BBB-, the lowest of the investment grade. Then, using the Monte Carlo simulation, this paper finds that the minimum reserve ratio must be 2.10 percent and the target size of the deposit insurance fund must be 10 trillion won, given current size of insured deposits, 477 trillion won. This is not much different from the target reserve ratio of 2.00 percent, which was previously thought as appropriate.
The size of the deposit insurance fund may be affected by the credit ratings of insured financial institution and the severity (loss given default) of insured financial institutions. Given the BBB- rating, if the credit rating of each insured financial institution is up by one credit rating, the corresponding size of deposit insurance fund does not seem to change much. If the loss given default of each member financial institution decreases by 10 percent, then the corresponding size of the deposit insurance fund decreases by 1 trillion won. If the credit rating increases by one level and the severity decreases by 10 percent, then the corresponding size of deposit insurance fund decreases by 2.5 trillion won.
The Korean Ministry of Finance and Economy, the Financial Supervisory Commission, and the Korea Deposit Insurance Corporation (KDIC) must concentrate in reducing the size of the fund by encouraging each member bank to have a better credit rating and intensifying supervision to reduce the severity rate and moral hazard associated with deposit insurance.
Insurance Premium should be risk-based and, based specifically on expected losses. This greatly mitigates banks' moral hazard introduced by the very existence of deposit insurance and it ensures that
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