Please use this identifier to cite or link to this item:
Title: Improving systemic risk frameworks in South Korea
Authors: Lim, Jasper Seng Leong
Lim, Jerry Wen Xing
Taepan Kanjanaporn
Keywords: DRNTU::Social sciences::Economic development::Korea
Issue Date: 2019
Abstract: Following the 2008 financial crisis, Korean regulators have been focused on addressing the shortcomings in their frameworks designed to monitor systemic risk in the financial system. In this paper, we show that the recently-developed measures: ∆CoVaR, MES, SRISK, and linear Granger-causality network can accurately detect systemic risk and identify systemically important financial institutions (SIFIs) in South Korea. Additionally, we identified two key contributing factors to systemic risk in Korea, namely: (1) high short-term foreign debt holdings of investment banks and (2) high leverage of commercial banks. Finally, we provide recommendations to the Bank of Korea (BOK) and the Financial Services Commission (FSC) on applying the ΔCoVaR, MES, SRISK, and the linear Granger-causality network to improve their frameworks in capturing systemic risk.
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:SSS Student Reports (FYP/IA/PA/PI)

Files in This Item:
File Description SizeFormat 
FYP FINAL - Systemic Risk in Korea (To Upload).pdf
  Restricted Access
1.53 MBAdobe PDFView/Open

Page view(s)

Updated on Jul 30, 2021

Download(s) 50

Updated on Jul 30, 2021

Google ScholarTM


Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.