장외파생상품의 거래상대방 익스포져(EAD) 측정방법 (Measurement Method of Counterparty Exposure(EAD) in OTC Derivatives Products)

Abstract

Korean Abstract: 바젤위원회(BCBS)와 국제증권감독기구(IOSCO)는 2005년 7월 장외파생상품의 거래상대방 신용리스크에 대하여 현행 BIS기준의 Current Exposure 방법 이외에 표준방법 및 내부모형법(IMM)등의 측정방법을 제시하였다. 따라서 본 연구에서는 은행의 장외파생상품 포트폴리오에 대하여 거래상대방 익스포져를 표준방법, Current Exposure 방법, 내부모형법으로 측정하여 다음과 같은 연구결과를 얻었다. IMM으로 거래상대방 EAD를 측정하는 경우 Current Exposure 방법에 비해 익스포져가 12.04% 감소되는 것으로 나타났으며, 이자율스왑과 통화스왑은 각각 24.94%, 20.71%감소되었으며, FX선도와 FX 옵션의 감소효과는 상대적으로 미미한 것으로 나타났다. 이상의 결과를 종합해 보면, IMM에 의한 거래상대방 EAD 측정방법은 현재 적용되고 있는 Current Exposure 방법에 비해 EAD가 감소되고 BIS비율이 제고되는 등 많은 인센티브가 있는 것으로 나타났다. 또한 IMM은 거래상대방 리스크관리를 위한 보다 정교한 모형으로 향후 IB 업무확대에 따른 신용리스크 관리를 위해 적극적으로 고려할 필요가 있다고 판단된다.

English Abstract: In July 2005 the Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO) added to the existing current exposure method (CEM) by publishing two new methodologies for measuring counterparty credit risk (CCR) of OTC derivatives transactions: the standardized method (SM) and the internal model method (IMM) In this study we measured banks’ counterparty exposures (Exposure at Default: EAD) in their OTC derivatives portfolio by using the three different models (SM, IMM and CEM), and made the following findings; Compared to the current exposure method, counterparty exposures were reduced by 12.04% when the internal model method was used: it resulted in a 24.94% decrease in interest rate swap and a 20.71% decrease in currency swap. However, the exposure decrease was comparatively insignificant for FX forwards and FX options. Employing the internal model method rather than the current exposure method provides incentives to banks such as reduced counterparty exp ures and an enhanced BIS capital ratio. Moreover, the internal model method is deemed to be a more sophisticated model for the purpose of risk management of banks, and banks are encouraged to consider employing this model respond to the expected potential growth in the investment banking business.

Note: Downloadable document is available in Korean.

Keywords: 거래상대방 신용리스크, 표준방법, Current Exposure 방법, 내부모형법, Counterparty Credit Risk, Standardized Method, Current Exposure Method, Internal Model Method

JEL Classification: G1, G2