시스템리스크의 측정과 관리: 서베이와 제언

초록

In this paper, I review the literature on systemic risk measurement and macroprudential policy framework. In addition, I assess the current macroprudential policy framework in Korea and make several proposals to improve it. Korea’s current macroprudential policy framework has several problems. A council which is not a legal entity but an ad hoc meeting among relevant agencies is responsible for the policy; therefore the council may not timely react to systemic risks due to its legal status. Korean Deposit Insurance corporation and the Bank of Korea are not fully accessible to information about individual financial institutions, which may hamper their macroprudential role. Information about systemic risk identification and analyses is not fully shared among relevant agencies. In this paper, I suggest a gradual approach for improving the current macroprudential policy framework in Korea. As the first step, I propose to hold the macroprudential policy council regularly, which may be helpful for the functioning of the macroprudential policy. Then, I suggest to make the council a legal entity as the second step. In addition, I also propose to form new councils for information-sharing and systemic risk assessments among relevant agencies. Detailed technical suggestions for improving the assessment of systemic risks are also made.

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