According to Garcia (2000), many countries find it useful for the deposit insurance agency to set a target level for the fund (usually expressed as a percentage of total or insured deposits) that would allow it to attain and retain financial viability and avoid the financial deficiencies that lead to forbearance for troubled banks and/or insolvency of the fund. However, the most do not have an economic rationale in determining the adequacy of the deposit insurance fund level.

In this paper, we take an approach that can be found in some of the risk management techniques used by banks to manage their (mostly asset) risk. A deposit insurance corporation is managing a portfolio of credit assets, consisting of contingent exposures to the banks it insures. Therefore, the risk management problem faced by a deposit insurance corporation is directly related to the riskiness of the individual banks in its portfolio. This problem can be broken down into the familiar components of contemporary credit analysis: the probability of an insured bank defaulting, the severity (or loss given default) of pay-out in the event of a claim, the size of the claim in the event of default (exposure), and the likelihood that several of these adverse events will occur at the same time (default or loss correlation). These factors can be used to estimate the cumulative loss distribution of insured banks.

We have used the actual banking data to have a rough idea for the proper size of the deposit insurance fund for Korea. If the credit rating of the insurance fund is at least BBB-, the lowest of the investment grade, the minimum reserve ration must be 9.86 percent and the target size of the deposit insurance fund must be 47 trillion won. The size of the deposit insurance fund is sensitive to the credit rating and/or the severity of each insured financial institutions. If for example the credit rating of each insured financial institution is up by one credit rating, the corresponding size of deposit insurance fund decreases by more than 11 trillion won. If the severity of each member financial institution decreases by 10 percent, then the corresponding size of the deposit insurance fund decreases by 6 trillion won. The fund size of 47 trillion won is too big: it will take such a long time for the Korea Deposit Insurance Corporation (KDIC) to accumulate. Thus, the KDIC must concentrate in reducing the size of the fund, which corresponds to BBB- credit rating by encouraging each member bank to have a better credit rating and intensifying supervision to reduce the severity rate and moral hazard associated with deposit insurance.

Pricing should be risk-based and, based specifically on expected losses. This greatly mitigates banks’ moral hazard introduced by the very existence of deposit insurance and it ensures that the fund is self-financing over time. The financial regulatory authority must adhere to the prompt corrective action and the least cost principle to reduce the severity rate. Yet, as can be observed from the regulatory authority’s responses to the difficulties of the credit card industry, it is difficult to believe that the authority has neither the will nor the ability to execute and/or adhere to the prompt corrective action and the least cost principal.

발간사
요 약

제1장 서 론

제2장 예금보험제도의 의의와 현
　1. 예금보험제도의 의의와 기능
　　가. 예금보험제도의 정의
　　나. 예금보험제도의 기능
　　다. 예금보험제도의 도입 현황
　2. 예금보험제도의 평가와 과제

제3장 예금보험기금의 현황과 적정규모의 운용
　1. 적정규모 기금설정의 필요성
　2. 우리나라 예금보험기금의 현황
　3. 외국의 사례

제4장 적정 예금보험기금 목표 설정
　1. 신용위험모형에 근거한 적정기준 규모
　2. 신용위험모형에 근거한 적정 기금규모 추정
　　가. 손실추정모형
　　나. 자료 및 추정방법
　　다. 추정결과
　3. 정책적 시사점

제5장 요약 및 결론

참고문헌