Improving systemic risk frameworks in South Korea

Following the 2008 financial crisis, Korean regulators have been focused on addressing the shortcomings in their frameworks designed to monitor systemic risk in the financial system. In this paper, we show that the recently-developed measures: ∆CoVaR, MES, SRISK, and linear Granger-causality network...

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Main Authors: Lim, Jasper Seng Leong, Lim, Jerry Wen Xing, Taepan Kanjanaporn
Other Authors: Joseph Dennis Alba
Format: Final Year Project
Language:English
Published: 2019
Subjects:
Online Access:http://hdl.handle.net/10356/76903
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-769032019-12-10T12:33:09Z Improving systemic risk frameworks in South Korea Lim, Jasper Seng Leong Lim, Jerry Wen Xing Taepan Kanjanaporn Joseph Dennis Alba School of Social Sciences DRNTU::Social sciences::Economic development::Korea Following the 2008 financial crisis, Korean regulators have been focused on addressing the shortcomings in their frameworks designed to monitor systemic risk in the financial system. In this paper, we show that the recently-developed measures: ∆CoVaR, MES, SRISK, and linear Granger-causality network can accurately detect systemic risk and identify systemically important financial institutions (SIFIs) in South Korea. Additionally, we identified two key contributing factors to systemic risk in Korea, namely: (1) high short-term foreign debt holdings of investment banks and (2) high leverage of commercial banks. Finally, we provide recommendations to the Bank of Korea (BOK) and the Financial Services Commission (FSC) on applying the ΔCoVaR, MES, SRISK, and the linear Granger-causality network to improve their frameworks in capturing systemic risk. Bachelor of Arts in Economics 2019-04-23T12:33:28Z 2019-04-23T12:33:28Z 2019 Final Year Project (FYP) http://hdl.handle.net/10356/76903 en 48 p. application/pdf
institution Nanyang Technological University
building NTU Library
country Singapore
collection DR-NTU
language English
topic DRNTU::Social sciences::Economic development::Korea
spellingShingle DRNTU::Social sciences::Economic development::Korea
Lim, Jasper Seng Leong
Lim, Jerry Wen Xing
Taepan Kanjanaporn
Improving systemic risk frameworks in South Korea
description Following the 2008 financial crisis, Korean regulators have been focused on addressing the shortcomings in their frameworks designed to monitor systemic risk in the financial system. In this paper, we show that the recently-developed measures: ∆CoVaR, MES, SRISK, and linear Granger-causality network can accurately detect systemic risk and identify systemically important financial institutions (SIFIs) in South Korea. Additionally, we identified two key contributing factors to systemic risk in Korea, namely: (1) high short-term foreign debt holdings of investment banks and (2) high leverage of commercial banks. Finally, we provide recommendations to the Bank of Korea (BOK) and the Financial Services Commission (FSC) on applying the ΔCoVaR, MES, SRISK, and the linear Granger-causality network to improve their frameworks in capturing systemic risk.
author2 Joseph Dennis Alba
author_facet Joseph Dennis Alba
Lim, Jasper Seng Leong
Lim, Jerry Wen Xing
Taepan Kanjanaporn
format Final Year Project
author Lim, Jasper Seng Leong
Lim, Jerry Wen Xing
Taepan Kanjanaporn
author_sort Lim, Jasper Seng Leong
title Improving systemic risk frameworks in South Korea
title_short Improving systemic risk frameworks in South Korea
title_full Improving systemic risk frameworks in South Korea
title_fullStr Improving systemic risk frameworks in South Korea
title_full_unstemmed Improving systemic risk frameworks in South Korea
title_sort improving systemic risk frameworks in south korea
publishDate 2019
url http://hdl.handle.net/10356/76903
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