예금보험기금의 적정 적립목표규모와 보험료율 연계방안에 관한 연구 : 은행부문을 중심으로

초록

It is widely known that financial stability and long-term viability of deposit insurance is essential for the development financial market of any country. Designated reserve system as an ex ante funding for the deposit insurance is believed to have merits of ensuring a safe and liquid source of fund which enables the prompt and efficient actions for the failed deposit institutions, and providing the benefit of smoothing insurance premiums through long term periods. This paper investigates the optimal size of designated reserve of deposit insurance for Korean banks, and insurance premium and the length of time that are required to reach the level of the reserve. Expected default frequency model based on CreditMetrics is adopted to derive the loss distribution of deposit insurance, which obviously depends on the default rate of insured banks and recovery rate from the failed ones. Optimal level of designated reserve, and insurance premiums and the length of time to achieve the targeted reserve are estimated at 99% VaR by simulation method. Other issues relevant to the deposit insurance based on designated reserve system including asset management of the reserve fund, liquidity of the fund, measures for systemic risk are also discussed.