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국내외 은행의 CDS프리미엄 결정요인 분석 및 시사점(Explaining credit default swap premium of large banks through the global financial crisis)

Related Document
Frame of Image 재정건전성, 대외익스포저 등에 회귀분석함으로써 은행의 CDS프리미엄 결정요인이 무엇인지를 파악하고자 하였다. 또한 금융위기 상황에서 은행의 CDS프리미엄 결정요인이 변할 수 있다는 점에 착안하여 다중 패러다임 분석을 실시하였다. 이를 통해 금융위기와 평상시 은행의 CDS프리미엄 결정요인 을 찾아내고, 국내은행의 CDS프리미엄을 안정적으로 유지하기 위한 각종 시사점 을 도출하였다. 아무쪼록 이 연구가 국내은행의 외화유동성 및 차입여건을 개선 하고 글로벌 신용경색에 따라 수반될 수도 있는 잠재위험을 완화하는 데 활용될 수 있기를 기대한다. 또한 이 연구를 통해 CDS프리미엄 결정요인이 보다 명확 해짐으로써 CDS투자자들에게도 유익한 자료가 되기를 바란다.
보고서 작성을 담당한 한국금융연구원의 서병호․이윤석 박사와 자료수집 및 처리를 도와준 신승도․황진훈 연구원, 이유진․이진영 연구비서의 노고에 감사 한다. 그리고 주례세미나에서 좋은 논평을 준 연구위원들과 심사과정에서 좋은 심사평과 제안을 해준 익명의 심사자들에게도 고마움을 표시하고 싶다. 끝으로 본 보고서의 내용은 집필자 개인의 의견이며 연구원의 공식견해가 아님을 밝혀 둔다.
2010년 10월
한국금융연구원 원장 김 태 준
목
요약
차
Ⅰ. 서 론 ··························1 · · ·· ·· · ·· ·· · ·· ·· · ·· ·· ·· · ·· ·· · ·· ·· · ·· ·· · ·· ·· · ·· ·· ·· · · ·· · ·· ·· · ·· ·· · ·· ·· ·· · ·· ·· Ⅱ. CDS의 개념 및 기능 ··················· 3 · ·· ·· ·· ·· ·· · ·· ·· ·· · · · ·· ·· ·· ·· ·· · ·· ·· ·· ·· ·· · ·· ·· ·· ·· ·· · ·· · 1. CDS의 개념 및 역사 ························ 3 ························ ······················· 2. CDS의 기능 ···························· 10 ···························· ···························· Ⅲ. CDS시장 현황 및 CDS프리미엄의 국제비교 ········· 13 ········· ········· ········· 1. CDS시장 현황 ··························· 3 ·························· 1 ·························· 2. 주요국의 CDS프리미엄 비교 ··················· 22 ··················· ·················· Ⅳ. CDS프리미엄 결정요인에 대한 선행연구 ··········· 5 ·········· 2 ·········· ·········· 1. 개별국가의 CDS프리미엄 연구 ··················25 ················· ················· 2. 개별기


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Title 국내외 은행의 CDS프리미엄 결정요인 분석 및 시사점(Explaining credit default swap premium of large banks through the global financial crisis)
Similar Titles
Material Type Reports
Author(Korean)

서병호; 이윤석

Publisher

서울:한국금융연구원

Date 2010-10
Series Title; No KIF 연구보고서 / 2010-01
ISBN 89-503-0447- 93320
Pages 88
Subject Country South Korea(Asia and Pacific)
Language Korean
File Type Documents
Original Format pdf
Subject Economy < Financial Policy
Holding 한국금융연구원; KDI 국제정책대학원

Abstract

This paper focuses on the determinants of CDS spreads of large banks including the period of the global financial crisis. Given that CDS spreads sharply rose despite the banks' financial soundness, we investigate the role of macroeconomic variables such as external payment ability and foreign exchange conditions on banks' CDS spreads.
Panel regression analysis based on 40 major international banks shows that variables such as fiscal balance, foreign reserves and foreign exposure (measured by bond issuance denominated in foreign currency) played a major role in determining banks' CDS spreads. Bank's equity level, loan/asset ratio and loan/deposit ratio were the main determinants among banks' characteristics. We also found that significance of multiple variables were sensitive to crisis events, implying that determinants of banks' CDS spreads can be time-varying. This stresses the importance of maintaining sound fundamentals in non-crisis periods in order to prevent sharp rises in banks' CDS spread during crisis periods.