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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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 |
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DRNTU::Social sciences::Economic development::Korea Lim, Jasper Seng Leong Lim, Jerry Wen Xing Taepan Kanjanaporn Improving systemic risk frameworks in South Korea |
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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 |
_version_ |
1681043029357494272 |