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BIS 요구자본량으로 측정한 은행위험의 결정요인 : A Study on Factors Determining the Bank Risk Measured as BIS Required Capital
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 김영식 | - |
dc.contributor.author | 박성준 | - |
dc.date.accessioned | 2017-07-19T12:38:17Z | - |
dc.date.available | 2017-07-19T12:38:17Z | - |
dc.date.issued | 2015-08 | - |
dc.identifier.other | 000000067076 | - |
dc.identifier.uri | https://hdl.handle.net/10371/134679 | - |
dc.description | 학위논문 (석사)-- 서울대학교 대학원 : 경제학부, 2015. 8. 김영식. | - |
dc.description.abstract | 본 연구에서는 우리나라 은행들을 대상으로, 은행에 내재된 위험을 결정하는 요인들을 분석하였다. 이에 대한 대표적인 선행연구로 Altunbas, Manganelli 그리고 Marques-Ibanez(2012)와 손진식·김수진(2013)을 들 수 있다. 그러나 전자의 경우 은행위험의 측정과 분석모형의 추정방법을 국내 은행들을 대상으로 한 연구에 적용될 수 없는 한계를 갖는다. 또한 후자는 국내 은행들을 대상으로 한 연구이지만 특정요인들에 초점을 맞추어 분석하였기 때문에, 은행에 내재된 위험을 결정하는 요인들을 종합적으로 다룰 수 없다는 한계를 갖는다. 한편 우리나라는 자본의 유출입이 상당히 자유로우므로, 두 선행연구와 달리 국내 은행들을 대상으로 한 연구에서 해외요인이 은행위험에 미치는 영향을 고려해야 한다.
이러한 배경에서 본 연구는 우선 선행연구들이 은행위험 결정요인으로 다룬 은행영업행태를 포괄적으로 활용한다. 동시에 선행연구들의 한계를 극복하기 위해 국내 은행들을 대상으로 한 연구에 은행위험을 BIS 요구자본량으로 측정하고, 분석모형을 동적패널모형으로 설정한 후 그 모형을 System GMM으로 추정한다. 더불어 해외요인들이 국내 은행들에 내재된 위험에 미치는 영향을 분석하기 위해 해외요인들도 분석모형에 반영한다. | - |
dc.description.tableofcontents | 목 차
제 1 장 서론 ···························································· 1 제 2 장 선행연구 소개: AMM(2012) ··························· 3 1. 숨겨진 위험(hidden risk) ··············································· 3 2. 은행의 business model ················································· 3 3. 추가적인 통제 위험요인들 ··············································· 6 4. 은행의 위험(the distress of bank) ································· 6 5. Model Specification ······················································ 7 제 3 장 AMM(2012) 적용시 한계 및 대안 ··················· 9 1. 회귀모형의 종속변수 ····················································· 9 2. 국내 선행연구에서의 대안 ············································ 10 3. 은행의 위험 측정 대안: 바젤Ⅱ 규제상 요구자본량 ········· 12 4. 소표본 문제와 대응 방안 ············································· 15 제 4 장 실증분석 ···················································· 17 1. 데이터 출처, 가공방법 그리고 분석모형 ························· 17 2. 분석방법: System GMM을 이용한 동적패널회귀 ············· 18 3. 실증분석결과 ······························································ 20 4. 종속변수별 회귀분석 결과의 차이 ································· 25 제 5 장 결론 ·························································· 28 참고문헌 ································································ 30 Abstract ································································ 33 | - |
dc.format | application/pdf | - |
dc.format.extent | 514814 bytes | - |
dc.format.medium | application/pdf | - |
dc.language.iso | ko | - |
dc.publisher | 서울대학교 대학원 | - |
dc.subject | 은행위험 | - |
dc.subject | 은행영업행태 | - |
dc.subject | BIS 요구자본량 | - |
dc.subject | 동적패널모형 | - |
dc.subject | System GMM | - |
dc.subject.ddc | 330 | - |
dc.title | BIS 요구자본량으로 측정한 은행위험의 결정요인 | - |
dc.title.alternative | A Study on Factors Determining the Bank Risk Measured as BIS Required Capital | - |
dc.type | Thesis | - |
dc.contributor.AlternativeAuthor | Sungjoon Park | - |
dc.description.degree | Master | - |
dc.citation.pages | 34 | - |
dc.contributor.affiliation | 사회과학대학 경제학부 | - |
dc.date.awarded | 2015-08 | - |
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