VaR 모형을 이용한 건설관련 공제조합의 총보증한도 추정 = A Study on the Total Guarantee Limit for Construction-related financial cooperatives Using the VaR

국문 초록 (Abstract)

최근 건설생산체계 개편 및 서울보증보험의 공적자금상환 문제 등 건설보증시장의 환경변화는 기존 제한적 경쟁구조에서 완전 경쟁구조로 전환을 예고하고 있다. 이러한 보증시장의 환경변화는 건설 관련 각 공제조합의 보증 수요 변화가 예상됨에 따라, 각 건설 관련 공제조합은 적정 보증 공급에 대한 검토가 필요한 실정이다. 본 연구는 이를 감안하여, 건설 관련 공제조합의 적정 총보증한도를 VaR(Value at Risk)모형을 이용하여 실증분석하였다. 실증분석 결과, 추정 적정 총보증한도는 건설 관련 공제조합의 현행 법적 운용배수인 20배 및 30배보다 2배~4배 가량 높게 나타나 각 공제조합의 총보증한도 배수에 대한 검토가 필요한 것으로 나타났다. 본 연구의 결과는 일부 연구의 한계로 인하여 분석의 결과가 절대적일 수는 없으나 건설 관련 공제조합의 적정 총보증한도에 대하여 최초로 실증분석하였고, 민영보험회사가 적용하고 있는 RBC 내부모형 방법 중 손해율 시나리오법을 적용하여 분석하였다는 점에서 의의가 있다.

다국어 초록 (Multilingual Abstract)

In recent times, the construction guarantee market has experienced several transformations, including restructuring the construction productionsystem and addressing the repayment of public funds by Seoul Guarantee Insurance. These changes are anticipated to shift the constructionguarantee market structure from limited competition towards a more competitive environment. Consequently, there's an expected shift in thedemand for guarantees from construction-related financial cooperatives. In response, these cooperatives must evaluate the provision of suitableguarantees. To address this, the study conducts an empirical analysis of the appropriate total guarantee limit for construction-related financialcooperatives, utilizing the Value at Risk model. This analysis suggested that the suitable total guarantee limit should range between two tofour times higher than the current legally permitted multiples of 20 and 30 times for construction-related financial cooperatives. Thisunderscores the necessity for a substantial increase in the total guarantee limit multiple for each cooperative. The significance of this studylies in being the first empirical analysis of the appropriate total guarantee limit for construction-related financial cooperatives. Additionally, it'snoteworthy that the analysis employs the loss ratio scenario method, among the RBC internal model methods commonly used by privateinsurance companies.

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