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KDI - Korea Development Institute

KDI - Korea Development Institute



Policy Study A Study on Minimum Capital Requirement Regulation on Financial Conglomerates in Korea December 31, 2016


Series No. 2016-10

Policy Study KOR A Study on Minimum Capital Requirement Regulation on Financial Conglomerates in Korea #Banks and Financial Institutions #Financial Market Structure
DOI P-ISBN979-11-5932-226-6 E-ISBN979-11-5932-274-7

December 31, 2016

  • KDI
    Rhee, Keeyoung
This paper investigates whether the current minimum capital requirement regulation properly evaluates a group-wide risk exposed to financial firms when they are affiliates of conglomerates. Particularly, we check how each sectorial capital requirement regulation assesses the risks exposed to the regulated firms by holding the shares of the other affiliates in the same group. By comparing with the international standard of group-wide capital regulation suggested by Joint Forum (1999), we find that the capital regulation for insurance companies underestimates the risks associated with holding the shares of non-financial affiliates.

This paper further provides analysis for an optimal regulatory design on how to induce financial conglomerates to prudently manage the group-wide risks exposed to their financial affiliates. To this end, we present a model in which the group owner can expropriate the financial affiliate’s ability to raise funds to buying the shares of the other affiliates for the purpose of controlling. We find that an optimal regulatory response to the financial affiliate’s inefficient share purchase decision varies with the types of incomplete information. If the inefficiency arises from the owner’s private information on non-profitability of the affiliates, it will be optimal to separate financial entities from commercial entities. However, if the inefficiency arises from the controlling financial firm’s imprudent monitoring of the controlled affiliates, imposing additional required capital on the controlling financial affiliate can achieve the (constarined) efficiency.
요 약

제1장 서 론

제2장 그룹 리스크와 자기자본 규제의 관계
 제1절 그룹 리스크의 정의⋅유형 및 감독체계 수립 방향
 제2절 금융그룹의 자본적정성 평가방식 검토

제3장 국내 자기자본 규제의 그룹 리스크 평가 현황
 제1절 우리나라 금융그룹 감독체계 현황
 제2절 그룹 리스크에 대한 국내 자본적정성 평가 현황
 제3절 소결 및 정책적 시사점 정리

제4장 계열사 지분보유제한 규제의 자기자본 규제로의 대체 가능성
 제1절 이론모형
 제2절 기초분석: 역선택하의 균형 분석 및 최적 규제방식
 제3절 역선택 및 도덕적 해이하에서의 최적 규제방식
 제4절 소결: 그룹 내 계열사 간 출자구조에 대한 합리적 감독규제 방식


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