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김자봉 ( Ja Bonn Kim ) 한국금융학회 2009 금융연구 Vol.23 No.1
본고의 목적은 국내 금융 산업의 최적 겸업구조를 추정하는 데 있다. 이를 위해 MER(minimization of expected risks)방법론을 채택하였으며, 이 방법론을 이용하여 국내 금융산업에 대한 최적 겸업구조를 연구한 것으로는 본고가 처음에 해당한다. 최적 겸업구조, 결합수익 및 결합위험의 크기를 추정하고 논의하기 위하여 은행, 증권, 보험 간 3C2 및 3C3 방식의 겸업구조를 가정하였다. 분석결과, 현재 국내 금융산업의 겸업구조는 이론적으로 추정된 최적 겸업구조와 차이를 지니고 있음이 파악되었다. 또한 최적 겸업구조는 부문 간 수익률의 상관계수보다는 위험(수익률 표준편차)의 크기에 의해 더 크게 영향을 받는 것으로 확인되었다. 이와 같은 결과는 상대적으로 위험이 큰 부문에 대하여 위험의 크기를 조정함이 없이 지주회사 사업구조 내 비중을 인위적으로 늘릴 경우 수익구조의 안정성이 저해될 수 있음을 시사한다. This paper is concerned with the optimal structures of Universalization in Korea across banks, security dealers and insurance companies. After the financial crisis in 1997~1998, the universal banking in Korea that takes subsidiary form rather than integrated form has been developed quite in its width. In particular, with the introduction of Financial Holding Company Act (FHCA) in 2000, the development of universal banking has been spurred. Until recently, five financial holding companies have been established among which four number of holding companies are bank-centered and the other is security dealer-centered. Noting the fact around the world that the development of financial markets are stimulated along the line of universal banking, this paper intends to analyze optimal portfolio structures and compare with reality. The optimal portfolio structures for the universal banking are material since it maximizes comparing to non-optimal structures the synergy effects in risk management. Two approaches are well-known for the analysis. One is MER (minimization of expected risks) method, and the other is ROF (risk of failure) method, among which the former is adopted in this paper. To estimate the optimal structure, we presume several types of combinations of, for example, 3C2 and 3C3 between diverse financial sectors such as banking, security and insurance industries. According to our results, the reality in Korean financial universalization seems to be different from the estimated optimal structures: the actual structures were biased toward specific sectors rather than balanced toward the optimal structures. It is also found that the optimal structure is more sensitive to the degree of risk of each sector rather than return correlations between related financial sectors. The results imply that the stability of combined returns could be threatened by the increase of portfolio weight of a certain sector with higher degree of risk. Actual portfolio weights are suggested in <Table 1>, and estimated optimal portfolio structures are in <Table 2>~<Table 4>. Two kinds of simulation results are contained in <Table 5> and <Table 6>. <Table 5> and <Table 6> show that the sensitivity of optimal structures to the degree of risks is higher than the sensitivity to the return correlation. <Figure 2> and <Figure 3> contain the simulated portfolio weights.