This paper attempts to conduct several stress tests and reverse stress tests on Korea's macroeconomy and the stability of the country's financial system based on various methods and using post-Asian currency crisis empirical data analysis. The latent sources of internal and external risk and the transition mechanism of structural risks inherent in Korean economy will be examined first before running multiple simulations through various stress tests to assess the potential impact that such latent risks would have on the stability of Korea's financial system should such scenarios actually materialize in full force. The paper closes by drawing parallels with some of the related policies.
Fortunately, results from the analysis found the possibility of the individual macro shocks to Korea's financial system to be low for it to metastasize into full-blown systemic risk. But the analyses showed that preemptive action was needed in areas posing structural risks, including internal and external ones, such as those in household debt, savings banks, capital flows-induced asset bubbles, FX, and foreign liquidity.
For a country that has lived regularly through recurring periods of financial instability big and small, it is imperative to build up a uniquely singular system that can analyze the stability of the financial system which can also strengthen a micro-risk management that has not yet to be properly tested.
스트레스테스트에 기초한 국내 금융시스템 안정성 분석(Stress test-based analysis of financial system stability in Korea)
|Series Title; No||KIF 연구보고서 / 2011-03|
|Subject Country||South Korea(Asia and Pacific)|
|Subject||Economy < Financial Policy|
|Holding||한국금융연구원; KDI 국제정책대학원|