• The Journal of Asian Finance, Economics and Business
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• 제7권11호
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• pp.1113-1122
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• 2020

The purpose of this study is to examine how the Indian banks have adjusted their risk-based capital ratios during 2009-2018 to meet the regulatory requirements. Banks can, in principle, increase their risk-based regulatory capital ratio, either by increasing their levels of regulatory capital or by shrinking their risk-weighted assets by adjusting asset growth or risk in the portfolio. We investigate banks' capital behavior by decomposing the change in the capital ratio into the contribution of its components and analyzing their variance across regulatory regimes and banks' ownerships. We further investigate how each component of the capital ratio is adjusted by the banks by breaking down them into balance sheet items. We find that the banks' capital behavior significantly differed between public and private sector banks and between the two regulatory regimes. During Basel II, banks, in general, followed a strategy of aggressive asset growth with increased risk-taking. The decline in the CRAR because of such an expansionary strategy was adjusted by augmenting additional capital. However, during Basel III, due to higher capital requirements, both in terms of quantity and quality, banks followed a strategy of cutting back their asset growth and reducing the risk in their portfolio to maintain their CRAR.

• The Journal of Asian Finance, Economics and Business
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• 제6권2호
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• pp.15-24
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• 2019

This study analyzes the effect of the capital structure of Korean manufacturing firms on default risk based on Moody's KMV option pricing model where the probability of default is obtained by measuring the distance to default as a covariant in logit model developed by Merton (1974). Based on the panel data of manufacturing firms, this study achieves its primary objective, using a fixed effect regression model and examines the effect of a firm's capital structure on default risk amongst publicly listed firms on Korea exchange during 2005-2016. Empirical results obtained suggest that the rise in short-term debt to assets leads to increase the risk of default whereas the increase in long-term debt to assets leads to decrease the default risk. The benefits of short-term debt financing over a short-term period fade out in the presence of information asymmetry. However, long-term debt financing overcomes the information asymmetry and enjoys the paybacks of tax advantage associated with long-term debt. Additionally, size, tangibility and interest coverage ratio are also the important determinants of default risk. Findings support the trade-off theory of capital structure and recommend the optimal use of long-term debt in a firm's capital structure.

• KDI Journal of Economic Policy
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• 제44권4호
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• pp.43-78
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• 2022

The arena of strategic competition between the US and China is expandable from international politics, trade and commerce to finance. What would happen if financial sanctions against China are imposed by the US? Would US financial sanctions lead to a sudden outflow of foreign capital and a liquidity crisis in China? We try to address these questions by estimating China's capital flows-at-risk with the CDS premium on Chinese sovereign funds. We follow Gelos et al. (2019) in setting up a quantile regression model from which China's foreign capital flow-at-risks are estimated. Based on our analysis of China's monthly capital flow data, we find that a rise in the CDS premium has statistically significant negative impacts on China's foreign capital flows-at-risk, mainly in banking flows. However, the analysis also found that due to favorable global conditions, an increase in the CDS premium is unlikely to trigger a shift to a sudden outflow of foreign capital at the moment. Meanwhile, this study found no statistically significant correlation between Korea's capital flows-at-risk and the CDS premium, suggesting that the negative impact of US financial sanctions on China would not increase the probability of capital flight from Korea in a significant manner.

• The Journal of Asian Finance, Economics and Business
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• 제8권4호
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• pp.549-561
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• 2021

This study aims to identify the role of organizational behavior and intellectual capital on risk management implementation and Village Credit Institutions (called LPD) performance. The LPD population is 1,256 units spread across nine districts/cities in Bali. This research was conducted at the LPD as the only microfinance institution based on local wisdom in traditional villages in Bali Province, Indonesia. Based on sampling using the Slovin method, there were 139 LPD as sampled in this study. The respondent in this study was the Head of the LPD. LPD performance measurement is using the balanced scorecard method that combines financial and non-financial aspects. This study also investigates risk management's role as a mediator in the relationship between organizational behavior and intellectual capital on the LPD performance. Methods of data collection using a survey. The questionnaire was given to 139 LPD chairman who was respondents in this survey. The data analysis technique used SEM-PLS. This study succeeded in confirming Resource-Based View Theory that organizational behavior and intellectual capital affect risk management and organization performance. These results also prove risk management's role as a mediation for the relationship between organizational behavior and intellectual capital on organizational performance.

• 가족자원경영과 정책
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• 제27권1호
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• pp.41-52
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• 2023

본 연구는 한국 여성 가구주의 사회위험 인식수준과 이에 영향을 미치는 요인을 분석하였다. 2020년 「사회조사」 데이터를 활용한 분석결과 응답자의 사회적 자본, 인구 사회학적 특징, 경제적 변수가 사회 위험 인식에 영향을 미치는 것으로 나타났다. 특히 제 변수들을 통제한 후에도 여성 가구주의 사회 위험 인식은 남성 가구주의 사회 위험 인식보다 컸다. 여성 가구주의 경우 준법정신 및 위험대처능력과 같은 사회적 자본과 연령, 거주지역, 건강상태와 같은 인구 사회학적 요인과 소득수준, 주택 유형과 같은 경제학적 요인이 사회적 위험 인식에 영향을 미치는 것으로 나타났다. 가족 자원으로서의 사회적 자본의 역할과 기능에 대하여 논의하여, 가정, 지역사회 간의 협력적 관계 속에서 얻어질 수 있는 사회적 자본의 축적 방안들을 고안해보고자 한다.

• The Journal of Asian Finance, Economics and Business
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• 제5권4호
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• pp.35-44
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• 2018

The study is aimed at investigating the main factors that affect the interest rate yields, in the long-term. In addition, the study surveys the theories and literature relating to the determinants of interest rate. The importance of which is essential not only for governments, but also for banks and corporate financial risk management decisions, including risk exposures in banks and capital markets. Interest rate influences corporate profit as well as growth. For this purpose, the study examines the impact of budget deficit, risk-free rate, capital inflows, money supply and business cycles on real interest rate in Jordan. These factors are based upon well-established theories and straightforward practical view as interest rate determinants. Using data for (1990-2015), the study employed Johansen's co-integrating test, which takes into consideration the long-term unsynchronized relationships. The data is tested for normality, symmetric correlations, covariance diagonal and unit root. The results show that the government budget deficit, short-term risk-free interest rate, capital inflows, money supply and business cycle are long-term determinants of the real interest rate in Jordan. The coefficients of government budget deficit, short-term risk-free rate, money supply and business cycle all are inversely affecting the real interest rate, while capital inflows has a positive impact on the real interest rate.

• 경영과학
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• 제28권3호
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• pp.73-82
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• 2011

Basel II advanced measurement approaches for operational risk need to estimate the frequency and severity distribution of operational losses. Due to lack of internal loss data, the estimation is impossible in many cases and so external loss data might be used by scaling on asset or gross income. To get around lack of loss data, scenario analysis combined with loss distribution approach can be useful in calculating the capital charge of operational risk. However, scenario based loss distribution approach requires much time and effort. Instead we may apply the analytic hierarchy process to measure operational risk of financial institutions. The analytic hierarchy process combined with loss distribution approach is to estimate the capital charge of operational risk in other areas based on the operational VaR in an area with sufficient loss data. AHP provides a tool for timely measurement of operational risk in this rapidly changing global environment.

• 중소기업연구
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• 제39권2호
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• pp.89-107
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• 2017

본 논문은 벤처캐피탈이 투자에 수반되는 위험인 대리인 문제와 불확실성을 감소시키고 자신들의 투자수익을 최대화하기 위하여 행하는 투자위험 회피활동과 벤처캐피탈의 유형과 역량 등 벤처캐피탈의 차별적 특성이 피투자기업의 재무적 경영성과에 미치는 영향을 분석한다. 선행연구에 대한 분석을 바탕으로 단계적 투자, 공동투자, 우선주투자를 투자위험회피활동으로 제시하였다. 실증분석을 위해 2010~2012년 기간 동안 벤처캐피탈 투자를 받은 가운데 최종 140개 기업 자료를 로지스틱 회귀분석 방법을 사용하여 분석하였다. 분석결과 공동투자와 독립형 유형이 피투자기업의 매출 증가, 자산 증가에 유의미한 영향을 주는 것으로 나타났다. 사업 연수로 측정한 벤처캐피탈의 역량은 매출 증가에 유의미하게 관계가 있는 것으로 조사되었다. 그러나 단계적 투자와 우선주투자는 경영 성과에 영향을 미치지 않는 것으로 분석되었다. 또한 투자위험회피활동과 차별적 특성의 변수 모두는 수익성 지표인 매출이익률에는 영향을 미치지 않는 것으로 나타났다.

• 한국정보시스템학회지:정보시스템연구
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• 제25권3호
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• pp.147-173
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• 2016

Purpose The purpose of this study was to investigate the relationship between the 6th industrial entrepreneurship and business performances on social capital. The 6th industry based on its social capital can have a significant impact on business performances. Design/Methodology/Approach For this reason, we examined the relationship between entrepreneurship and business performance using the moderator variables of social capital and the Sixth industry certification. As a result, the 6th industrial entrepreneurship affects significant positive business performance. In particular, the authenticity, communication skills, social responsibility, collaborative, risk susceptibility, and challenging mind have a positive effect on business performances. As a result of moderation effect analysis, the 6th industry certification has no interaction effect of entrepreneurship, and only challenging mind and communication skills, the authenticity showed that the positive effect on business performances. Findings Social capital has interaction effects on the 6th industry entrepreneurship. Low level of social capital improves business performance through a strong challenging mind and social responsibility. High level of social capital are more demanding authenticity, collaboration, and risk sensitivity. And the higher level of social capital, the lower the communication ability, electrical conductivity, and social responsibility.

• 유통과학연구
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• 제14권12호
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• pp.79-87
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• 2016

Purpose - Since 1990, the sudden stop in capital flows has caused the economic crisis. The purpose of this research is to suggest the policy measures to mitigate the risk of the sudden stop in capital flows. To this end, we examine the theoretical framework and analyze the case study for countries which are faced with the sudden stop. Also we examine the structural problems of the foreign exchange market in Korea and derive the policy implications to prevent the sudden stop. Research design, data, and methodology - The criteria of whether the sudden stop in capital flows occurs are based upon Calvo et al. (2008). In case the proxy variable for the balance of capital account decreases from the average by over twice standard deviation, we determine that the sudden stop occurs for that country. The sample period is from January 1990 to December 2008, as in Calvo (2014). The sample countries are 17 developed countries and 19 emerging market countries, which are different from those of the previous papers as Agosin and Huaita (2012), and Calvo (2014). When the exchange market pressure index(EMPI) is deviated from the average by over three times standard deviation, we determine that the foreign exchange market is unstable for that country. Results - We find that the characteristics of the sudden stop in capital flows are the bunching or contagion among countries, the rapid drop in real effective exchange rate, and the huge decrease in foreign exchange reserves. Many countries tried to increase foreign exchange reserves and regulate capital flows. Also the foreign exchange market in Korea are found to be the volatile exchange rate, the vulnerable external debt and careless management of the foreign exchange derivatives transaction risk. Conclusions - To lessen the risk in the sudden stop of capital flows, this research suggests the some useful policy measures. To enhance the foreign exchange and distribution market stability, we should improve the price mechanism of exchange rate, hold the appropriate level of foreign exchange reserves, prevent excessive inflows of foreign exchange and promote sound transactions of foreign exchange derivatives.