국내은행 스트레스테스트 모형개선에 관한 연구

• 영문명: A Study on the Development of Stress Testing Model for Korean Banks: Optimal Design of Monte Carlo Simulation and BIS Forecasting
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 원재환 양진열
• 간행물 정보: 『아태비즈니스연구』제14권 제1호, 149~169쪽, 전체 21쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2023.03.30

영문 초록

Purpose - The main purpose of this study is to develop the stress test model for Korean banks by exploring the optimal Monte Carlo simulation and BIS forecasting model. Design/methodology/approach - This study selects 15 Korean banks as sample financial firms and collects relevant 76 quarterly data for the period between year 2000 and 2018 from KRX(Korea Excange), Bank of Korea, and FnGuide. The Regression analysis, Unit-root test, and Monte Carlo simulation are hired to analyze the data. Findings - First, most of the sample banks failed to keep 8% BIS ratio for the adverse and severely Adverse Scenarios, implying that Korean banks must make every effort to realize better BIS ratios under adverse market conditions. Second, we suggest the better Monte Carlo simulation model for the Korean banks by finding that the more appropriate volatility should be different depending on variables rather than simple two-sigma which has been used in the previous studies. Third, we find that the stepwise regression model is better fitted than simple regression model in forecasting macro-economic variables for the BIS variables. Fourth, we find that, for the more robust and significant statistical results in designing stress tests, Korean banks are required to construct more valid time-series and cross-sectional data-base. Research implications or Originality - The above results all together show that the optimal volatility in designing optimal Monte Carlo simulation varies depending on the country, and many Korean banks fail to pass sress test under the adverse and severely adverse scenarios, implying that Korean banks need to make improvement in the BIS ratio.

목차

Ⅰ. 서론

Ⅱ. 선행 연구

Ⅲ. 연구방법론

Ⅳ. 실증분석 결과

Ⅴ. 결론 및 향후 과제

References

키워드

BIS Ratio Monte Carlo Simulation Stress Test