• The Korean Journal of Financial Studies
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• v.3 no.1
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• pp.163-177
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• 1996

제일경제연구소는 국내기업의 파생상품 이용현황, 파생상품의 유형과 거래목적 및 리스크 관리체제 등을 파악하기 위하여 KOSPI 200의 구성기업과 상장 금융기관을 대상으로 설문조사를 실시하였다. 국내기업의 해외파생상품의 거래는 최근 지속적으로 증가하고 있으며, 특히 금리관련 파생금융상품의 거래가 크게 증가하고 있다. 이는 국내기업이 환율 및 국제금리의 변동리스크를 헤지하거나, 자금조달 및 운용을 비롯한 종합적인 자산 부채의 관리를 위하여 파생금융상품을 적극적으로 이용하기 시작했음을 시사하고 있다. 국내기업의 파생상품 이용은 전반적으로 대기업 중심으로 이루어지고 있고, 금융기관들은 비금융기관들에 비해 거래소상장 파생상품의 이용률이 높은 것으로 나타났다. 그리고, 국내기업들은 투기적 목적보다는 환을, 금리, 상품가격변동의 리스크를 헤지할 목적으로 파생상품을 이용하는 것으로 나타났다. 특히, 환율 및 국제금리의 변동리스크를 관리하기 위하여 많은 기업들이 스왑을 이용하고 있다는 사실은 주목할만 하다. 많은 기업들이 정기적인 보고체제를 갖추고 있지 않은 것으로 파악되었는데, 국내기업의 장외파생상품에의 높은 의존도를 고려할 때 리스크 관리체제의 중요성을 다시 한번 인식할 필요가 있겠다.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1507-1520
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• 2014

In this paper, we show that there is a positive correlation between the level and the volatility of interest rate and thus suggest that a proper interest rate volatility coefficient (IRVC), a factor used in evaluating the interest rate risk that insurers are exposed to, should be chosen in accordance with the level of interest rate. To this end, we calculate the historical volatility of interest rate using data on government bond yields and show a proportionate relationship between interest rate and historical volatility. The review of exponential Vasicek (EV) and Cox-Ingersoll-Ross (CIR) models for interest rate also confirms the positive correlation between them. The estimation of IRVC by EV and CIR models are 0.9 and 1.1, respectively, which are much smaller than the one under the current risk-based capital (RBC) requirement. We provide modified IRVCs reflecting the level of interest by the two interest rate models. Using modified IRVCs can be a more reasonable method to evaluate the interest rate risk that insurers face.

• Journal of the Korean Data and Information Science Society
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• v.24 no.4
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• pp.737-753
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• 2013

Interest rate options embedded in life insurance products provide policyholders with minimum guaranteed rates credited to the corresponding surrender values. This paper discusses current low-interest environment and several types of interest rate options embedded in life insurance products. In addition, this paper shows profit structures of the life insurance products and calculates values of the interest rate options under stochastic interest model and the corresponding VaR (value at risk). Finally, some implications are discussed.

• Journal of Service Research and Studies
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• v.6 no.2
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• pp.99-116
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• 2016

The purpose of this paper is to see what the problem is and what the direction of the strategy of asset management after this study has analyzed asset management status of domestic life insurance companies according to interest rate trends, analyzing in time series management asset lists, asset distribution state, and securities list of life insurance companies during 2000~2014. It has carried correlation analysis and regression analysis between yield and bond interest KOSPI index. As the study result, life insurance companies have managed assets in stability than profitability. The correlation coefficient between interest rate and performance rates of total asset, management asset and securities is highly plus, correlation of management asset performance rate is higher than that of total asset performance rate, and the correlation of securities performance rate is higher than that of management asset performance rate. The correlation coefficient of KOSPI and performance rate shows minus. The suggestion is that the change of asset management is required as the interest decline rises up a reverse margin risk because of the asset management of stability.

• The Journal of the Korea Contents Association
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• v.20 no.1
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• pp.403-416
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• 2020

Unlike in the past, the environment related to CSR activities of financial services companies changed, such as lower interest rates, easier access to knowledge and the environment for risk management of financial services companies changed, including global economic instability, increased regulations, and exposure of new technologies associated with operating methods. This study examined the effects of CSR activities and risk management on sustainability and mediating effects of corporate image among financial service companies. The result of the study are as follows. First, the CSR's legal responsibilities, management in disaster risk and strategic risks of financial service enterprise have positive effect on sustainability, however, the management of CSR's ethical responsibilities, discretionary responsibilities, operational and financial risks have shown to have negative effect Second, CSR's legal responsibilities, discretionary responsibilities and the management of disaster risks act as mediating role between corporate image and sustainability. As a result, when financial service enterprises concentrate on managing CSR's Legal responsibilities and disaster risks, it was found that the corporate image improves and enhancement of sustainability.

• Korean Journal of Construction Engineering and Management
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• v.7 no.1 s.29
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• pp.168-175
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• 2006

Since the partly changed 'Private Investment Act for Social Infrastructure Projects' set forth in January 2005, the number of BTL(Build-Transfer-Lease) projects offered to the market has rapidly increased. The scope of BTL projects offered covers not only legally defined facilities but several facilities for the private schools. A BTL project, by definition, is a way of project management that includes the entire process of development such as planning, design, construction and operation over the period of 20-30 years. As a result, various types of risk may happen at each stage of the project and it is extremely important to efficiently control the sensitive factors that affect the risk profiles of the project. The examples of the sensitive factors are construction cost, interest rate, discount rate, lease amount, rental fee, O&M cost and so on. This study examines the characteristics of these sensitivity factors, analyzes their impact on the project feasibility and suggests the alternatives to manage them efficiently.

• Journal of the Korea society of information convergence
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• v.8 no.1
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• pp.13-23
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• 2015

The study examines the current situations of bank industry whose profitability has been worse recently, finds out the causes of the reduced bank profits, and presents ways to solve the problem. The ways to strengthen the profitability are as follows:First, the expansion of business area is needed. It is necessary to expand business that will create new profits through M&A between the bank and other industries. Second, reorganization for the high-value business is needed. The bank should no longer depend on the profits by deposits and loans, but develop high-value business area for high profitability. The bank business strategy needs to focus on the long-term profitability, not the short-term one. Third, the structure of bank needs to be slimmed. Slimming the structure should be based on the efficiency of business for the future, not for a short-sighted profitability. Fourth, the interest rates of deposits and loans need to be differentiated. The bank profitability can be enhanced by promoting deposits and loans which reflect low risk and high profitability. Fifth and lastly, advancing to abroad needs to be revitalized. Securing the oversea's bank markets can play a key role in strengthening the profitability of banks in the future.

• Journal of Korea Port Economic Association
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• v.31 no.2
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• pp.55-67
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• 2015

This study analyzes the relationship between shipping profit and market return in the tramp trade from January 2000 to October 2014. First, we carry out the causality test and find a causal relationship between the studied variables. Second, the estimates from the Johansen cointegration test show that shipping profit is cointegrated with market return, which implies that a long-run relationship exists among the variables. The empirical results thus imply that shipping firms need diverse risk management strategies.

• Economic Analysis
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• v.27 no.3
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• pp.1-32
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• 2021

This study empirically analyzes whether bank capital channel and risk-taking channel for monetary policy work for domestic banks in South Korea by analyzing the impact of the expansionary monetary policy on the rate spread between deposit and loan, capital ratio, and loan amount. For the empirical analysis, the Uhlig (2005)'s sign-restricted SVAR(Structural Vector Auto-Regression) model is used. The empirical results are as follows: the bank's interest rate margin increases, the capital ratio improves, risk-weighted asset ratio increases, and the amount of loans increases in response to expansionary monetary shock. This empirical results confirm that bank capital channel and risk-taking channel work in domestic banks, similar to the previous research results. The implications of this study are as follows. Although the expansionary monetary policy has the effect of improving the bank's financial soundness and profitability in the short term as bank capital channel works, it could negatively affect the soundness of banks by encouraging banks to pursue risk in the long run as risk-taking channel works. It is necessary to note that the capital ratio according to the BIS minimum capital requirement of individual banks may cause an illusion in supervising the soundness of the bank. So, the bank's aggressive lending expansion may lead to an inherent weakness in the event of a crisis. Since the financial authority may have an illusion about the bank's financial soundness if the low interest rate persists, the authority needs to be actively interested in stress tests and concentration risk management in the pillar 2 of the BIS capital accord. In addition, since system risk may increase, it is necessary to conduct regular stress tests or preemptive monitoring of assets concentration risk.

• Product Safety
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• s.193
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• pp.40-47
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• 2010

2010년 우리경제는 수요회복과 기저효과에 힘입어 상반기에는 5.8% 성장률을 보일 것으로 예상된다. 그러나 기저효과가 줄어드는 2010년 하반기 성장률은 3%대에 머물 것으로 보여 2010년 국내경제 성장률은 4.6%를 기록할 것으로 전망된다. 2010년에는 수출과 내수의 빠른 회복세가 완화되면서 경제성장의 속도가 전반적으로 완만할 것으로 예상된다. 글로벌 금융시장의 리스크 요인이 잔존하고 있는 가운데 세계경제의 회복은 점진적으로 이루어질 것이다. 중국의 고성장이 우리 수출에 크게 기여하겠지만 원화강세가 지속되면서 수출의 상승세는 크게 둔화될 전망이다. 교육조건 개선에 따른 소득증대가 소비확대에 기여하고 설비투자도 2009년 크게 위축되었던 데 따른 반등효과를 기대해볼 수 있을 것이다. 그러나 정부부문이 민간수요를 촉진하는 효과가 줄면서 내수회복의 힘도 약화될 것으로 예상된다. 공공근로 축소로 성장에 따른 고용창출이 크지 않을 것으로 판단된다. 원화 환율은 2010년 평균 달러당 1,100원 수준을 기록할 것으로 예상되며 이에 따라 소비자물가 상승률은 2%대 후반에 머물 전망이다. 2010년 4%대 중 후반의 성장을 달성하더라도 GDP 수준이 잠재 GDP 수준을 밑돌아 경기과열 우려가 크지 않을 것으로 분석된다. 따라서 금융위기 때의 긴급 조치들을 거둬들이되 급격한 금리인상 등의 출구전략은 신중하게 고려해야 할 것이다.