2011年-IMF国际货币组织全球_Financial_Linkages_Across_Korean_Banks_32页_1mb

Summary of "Financial Linkages across Korean Banks"

Core Content

This working paper by Burcu Aydin, Myeong-Suk Kim, and Ho-Seong Moon assesses the financial interconnectedness among Korean banks using three distinct methodologies: the network approach, co-risk approach, and distress dependence approach. The goal is to evaluate the potential risks that interconnectedness may pose to individual banks and the banking system as a whole. The analysis concludes that while Korean banks are interconnected, the financial and contagion risks associated with such linkages have significantly decreased since the global financial crisis.

Main Viewpoints

• Interconnectedness exists, but no single bank is identified as a systemic threat or highly vulnerable to distress in another bank.
• Financial risk and contagion risk have declined, especially after the global financial crisis, due to improved capitalization and reduced reliance on interbank funding.
• The network approach simulates the impact of financial shocks on banks based on bilateral exposures, showing that even the largest losses are manageable within capital buffers.
• The co-risk approach uses market-based data, such as CDS spreads and interest rate spreads, to estimate the rise in default risk for one bank given the distress of another. This method highlights the influence of global financial events on Korean banks.
• The distress dependence approach quantifies the level of distress that a bank or group of banks can impose on others, emphasizing the role of market indicators in capturing forward-looking systemic risk.

Key Information

Network Approach

• Data: Interbank exposure data for 18 Korean banks for the periods of end-2008, end-2009, and September 2010.
• Methodology: Simulates credit and credit-plus-funding shocks to estimate the loss absorption capacity of banks.
• Results:
  • The largest credit shock loss relative to a bank's capital peaked at 16% in late 2008 and declined to less than 11% by the third quarter of 2009.
  • Korean banks maintained BIS capital adequacy ratios (CARs) above the 8% regulatory minimum even after accounting for the largest losses.
  • No bank in the system is likely to default due to the default of another, indicating a reduced domino effect risk.

Co-Risk Approach

• Data: Daily financial data from January 1, 2006, to March 31, 2011, for 11 Korean banks.
• Methodology: Uses quantile regression to estimate the conditional co-risk of banks, based on CDS spreads and common risk factors.
• Results:
  • Conditional co-risk measures show that the risk levels for Korean banks have remained relatively low.
  • The co-risk peaked during the global financial crisis but was less severe than in other parts of the world.
  • Systemic vulnerability and importance are calculated from the co-risk matrix, indicating that no bank is excessively vulnerable or systemically important.

Distress Dependence Approach

• Methodology: Uses stock prices and estimated default probabilities to assess the impact of distress on other banks and the system.
• Results:
  • Financial inter-linkages are strong, but the systemic risk posed by any single bank is limited.
  • The level of distress dependence in the system has declined significantly since the global financial crisis.
  • This approach highlights the role of global financial events in driving systemic risk.

Advantages of the Methodologies

• These methodologies allow for the quantification of risks from financial interconnectedness, which traditional financial stability indicators (FSIs) cannot capture.
• They are forward-looking and based on market-based indicators, enabling real-time monitoring of systemic risk.
• They reflect nonlinear risk concentration and the potential for unexpected losses to trigger cascading effects.

Conclusion

The paper concludes that while Korean banks are interconnected, the financial and contagion risks have declined significantly post-crisis. The banking system has become more resilient, with improved capitalization and reduced reliance on interbank funding. The use of market-based indicators and network analyses provides a more comprehensive and timely assessment of systemic risk compared to traditional indicators. The findings suggest that the Korean banking system is currently well-positioned to withstand shocks, and that systemic risk remains contained.