위기상황을 고려한 기관투자자의 허용위험한도 적정성

Abstract

This study aims to promote efficient asset management performance by analyzing whether the risk tolerance limit set by investment institutions is appropriate considering the economic crisis situation. To this end, this study, under a total of six economic crises over the past 15 years, analyzes the sensitivity of each asset group by measuring the expected change in return for each investment institution's strategic asset allocation plan in the event of a global economic situation. After that, a virtual portfolio according to sensitivity is established, the MVO financial model is applied, and a back test is conducted to analyze the appropriateness of the risk tolerance limit by the investment institution. As a result of the analysis, it is found that the current risk tolerance limit of the Financial Mutual Aid Association, the one-year Shortfall Risk(limit value of 10%), satisfies all risk limits except for systematic risk. However, it is analyzed that the 5-year Shortfall Risk(limit value of 2.5%) satisfies the limit only in some portfolios when invested in a normal market. This means that the limit of the 5-year shortfall risk is set lower than the 1-year shortfall risk. Finally, it is appropriate to maintain the current risk tolerance limit of the Financial Mutual Aid Association, Shortfall Risk(primary≤10.0%) for one year, and Shortfall Risk(CPI≤2.5%) for five years is expected to need to be raised.