Abstract
Korean Abstract: ëłž ë ŒëŹžì ìêžëłŽíêž°êžì ìììì€ì 충ëčíêž° ìí ì€ëčêž ê°ë ìŒëĄ ìŽíŽíë êČìŽ ìêžëłŽíì ëì íčìì±ì ê°ìí ë í©ëŠŹì ìŒ ì ììì ìŁŒì„íêł , ìììì€ ê°ë ì ë°ëŒ ìêžëłŽíêž°êžì ì¶ì íêł ìŽ êłŒì ìì êł ë €í ëȘ ê°ì§ ì¶ì ìì ìŽìë„Œ êČí íìë€. ì°ì ìêžëłŽíêž°êžì ì”ì€íŹì ë ë¶ëłŽìêžëłŽë€ ìŽë¶ì± ê°ë ì ìŹì©íìŹ ì”ì€íŹì ì ì 늏방ìêłŒì ì°êłë„Œ ê°íììŒë©° ìì€ë„ ìì ìžíìêž° ìŽí ë¶ì€ìíì êČœíìì€ë„ ì ì¶ì íìŹ ìŹì©íìë€. ë¶ëìšì EDFëȘšíì ìŹì©íë, ìíì íčìì±ì ê°ìíêł ì ì©ìíì fat-tail íčì±ì ê°ìí ë¶íŹë„Œ ê°ì íìŹ ì¶ì íìë€. ê·ž êČ°êłŒ, ìììì€ì ë°ë„ž ìêžëłŽíêž°êžì ë¶ëłŽìêžì 1.3%ëĄ ì¶ì ëìŽ ìììžìì€ì íŹíší ì íì°ê”Źë€êłŒ ì ìŹí êČ°êłŒë„Œ 볎ìëë°, ìŽë ìŁŒëĄ ì”ì€íŹì ì ì°šìŽìì êž°ìží êČìŒëĄ ëíëŹë€. English Abstract: This paper estimates deposit insurance funds in the Korean banking industry using the expected loss methodology. This paper argues that estimating the fund by employing the credit risk model is not proper in light of the definition of deposit insurance fund. Deposit insurance having any paid-in capital covers just as much as the expected losses from failed financial institutions while government as an ultimate risk-absorber covers the unexpected losses. In estimating expected loss, this paper revises the EDF model to capture the characteristics of commercial banks and fat-tail characteristics of credit loss. The deposit insurance fund is estimated at about 1.3 % of total insured deposits. This happens to be a similar estimate in comparison with that of earlier research using the credit risk model. The similarity stems from the difference in definition of exposures at risk between the two approaches.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have