금융위기와 레버리지규제 = Financial Crisis and Leverage Regulation

다국어 초록 (Multilingual Abstract)

The excessive expansion in leverage taken by global and large-scale banks, that had invested in the CDS and complex structured securities, has been accepted as one of the main causes of global financial crisis. As part of the global financial regulatory reform, the G-20 and BIS have introduced leverage regulations that is scheduled to come into effect starting from 2018. The main goal of the introducing leverage regulation is to supplement the BIS`s risk weighted capital regulation which has the drawback of incorrectly measuring the risks of banks assets, namely the model risk. The implementation of leverage regulation could strengthen not only the financial health of individual banks but also the overall soundness of financial and real economy by the mitigating the pro-cyclicality of the banking sector. The US, Canada, Swiss and Korea have already implemented leverage regulations. In the US and Korea, regulations do not include derivatives transactions when calculating the leverage ratio, whereas those of Switzerland, Canada and the BIS take into account derivatives transactions, including off-balance sheet items and embedded items through off-balance vehicles. During the outbreak of the global financial crisis, Korea has also undergone a foreign currency liquidity crisis. This owes to the excessive expansion in FX(foreign exchange) leverage taken by Korean banks, including foreign bank branches in Korea. The main channel of such FX leverage expansion had been through rapid increase of short-term FX borrowings and FX derivative trades, including FX swaps, since 2005. There are a number of measures that are being assembled to prevent the outbreak of another FX crisis in Korea, namely, leverage regulations, capital controls, and FX prudential regulations on banks. However, these regulations alone may not be sufficient in curbing excessive expansions in FX leveraging, and hence, there is a need to examine the introduction FX leverage regulations.