증권사 대형화 정책은 부실위험을 증가시키는가?: 한국 자본시장 규제완화 정책에 대한 시사점 (Does the Enlargement Policy of Securities Companies Increase Their Insolvency Risk?: Implications to the Deregulation Policy of Capital Market in Korea)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 37권 / 3호 / 29 ~ 51페이지
· 저자명 : 정현재, 이진호, 박영석

초록

본 연구는 국내 자본시장에서 종합금융투자사업자(초대형IB) 제도 도입 이후 증권사의대형화 유도에 따른 부실위험을 확인하기 위한 실증연구이다. 제도 도입 이후 증권사의업무 범위 확대는 레버리지 확대로 인한 고위험 투자, 부동산PF 자산편중 심화, 파생결합증권매매에 따른 신용 및 금리위험 증가 등 다양한 리스크에 노출될 수 있다는 우려가 적지않았다. 본 연구에서는 2013년 10월 제도 도입을 전후하여 국내 39개 증권사를 대상으로패널회귀모형을 통해 자기자본규모가 부실위험에 미치는 영향을 실증분석하였다. 분석결과, 첫째, 종합금융투자사업자 제도 도입의 취지에 맞게 증권사의 대형화가 이루어지고있으나, 제도 도입 이후 부실위험이 증가하는 것을 확인하였다. 둘째, 특히 자기자본3조원 이상의 초대형 증권사는 제도 도입 이후 자기자본 규모에 비례하여 부실위험이유의미하게 증가하였는데, 이는 이들의 업무 범위 확대에 따른 리스크 노출에 기인하는것이라 할 수 있다. 본 연구의 실증분석 결과는 규제 완화에 따른 초대형 증권사의위험 추구를 적극적으로 감독하고, 대형사 부실의 파급 경로에 즉각적으로 개입할수 있는 거시건전성 측면의 리스크 대응체계를 구축함으로써 자본시장의 안정을 도모할필요가 있음을 시사한다.

영어초록

This study is a study to empirically confirm the insolvency risk caused by the induction of large-sized securities companies after the introduction of the comprehensive financial investment business (extra-large securities companies) policy in the Korean capital market. Since the introduction of the polcy, there have been concerns that the expansion of the business scope of securities firms may expose them to various risks, such as high-risk investments due to leverage expansion, concentration of real estate PF assets deepening, and credit risk and interest rate risk due to trading of derivatives-linked securities. In this study, the impact of equity capital on insolvency risk was analyzed using a panel regression model for 39 domestic securities firms from the first quarter of 2009 to the fourth quarter of 2016, before and after the introduction of the policy in October 2013.
Among previous studies, studies that presented positive results regarding the enlargement of financial companies focused on individual financial companies, while studies that presented negative results focused on the perspective of the financial system as a whole. The introduction of comprehensive financial investment businesses, which was the focus of this study, is a topic from the financial system perspective, so it is appropriate to conservatively examine the impact of policy introduction. Therefore, this study established the hypothesis that “the enlargement of securities companies following the introduction of the comprehensive financial investment business policy increases their insolvency risk.” The dependent variable of the analysis model is the natural logarithm of the default risk variables (EDF and Z-Score), and the independent variable is the amount of equity capital (natural logarithm) of individual securities companies.
Other control variables include asset size (total assets (natural logarithm)), capital adequacy (NCR), profitability (ROE), asset soundness (NPL), and macroeconomic variables (GDP growth rate, housing price fluctuation rate, KOSPI growth rate).
As a result, first, although securities companies are becoming larger in line with the purpose of introducing the comprehensive financial investment business policy, it was confirmed that their insolvency risk increased after the introduction of the policy. In other words, in the case of large securities companies, EDF increased and Z-Score decreased. Second, especially for super-large securities companies with equity capital of KRW 3 trillion or more, their insolvency risk increased significantly in proportion to the size of equity capital after the introduction of the policy, which can be attributed to the risk exposure due to the expansion of the scope of business.
These results suggests the following: First, it needs to be intended to promote stability in the capital market by actively supervising the risk-seeking business of large securities companies following deregulation, and establishing risk-monitoring system in terms of macroprudentiality that can immediately intervene in their insolvency. Second, It can urge the awakening of all securities industry. In particular, in the process of reorganizing the sales and profit structures of securities industry due to the policy, it can be suggested that policies such as specialization strategies for small and medium-sized securities companies in order to minimize the negative impact of the relative weakening of their competitiveness. Finally, companies seeking to access the capital market can be expected to actively monitor the securities firms they deal with. This perspective is especially useful for small and medium-sized businesses. The insolvency risk of financial companies is inversely proportional to the financial inclusion of small and medium-sized businesses. Above all, without undermining financial stability, coordination and cooperation of market participants such as companies, investors, intermediaries, and advisors, as well as regulatory policies of policy authorities are of utmost importance.

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