Determinants of bank risk : evidence from the korean commercial banking industry = 은행위험에 영향을 미치는 요소들에 대한 실증분석 evidence from the korean commercial banking industry

In recent years, the Korean Banking industry has undergone fundamental changes through the implementation of strong reforms to enhance the stability of the financial system. Various policies introduced concurrently and consecutively by the regulatory authorities enables a comprehensive study on determinants of bank risks. The purpose of this paper is to empirically examine the effect of each policy``s variables on the nature of bank risk-taking. Using sample data issued by Korean commercial banks from the first-half fiscal 1995 to the last-half 2000 and estimating the panel data regressions, this paper examines the determinants of bank risk. This paper uses six risk measures: idiosyncratic risk, systematic risk, market risk, and interest rate risk which are based on two-factor market model, in addition to total risk and insolvency risk. The results indicate that BIS capital ratio and the appointment of outside directors and an audit committee has a negative relationship with bank risk, respectively; while bailout, foreign shareholders`` ownership, the daily price limit, the introduction of Internet banking services, and the implementation of deposit insurance, all have a positive relationship with bank risk, respectively. In addition, franchise value, M&A, and the establishment of foreign bank branches has an insignificant effect on bank risk.
Advisors
Min, Hong-Ghiresearcher민홍기researcher
Publisher
한국정보통신대학교
Issue Date
2005
Identifier
392500/225023 / 020034553
Language
eng
Description

학위논문(석사) - 한국정보통신대학교 : 경영학부, 2005, [ ,59 p. ]

Keywords

deposit insurance; outside director; BIS capital ratio; bank risk; M&A; 금융개방화; 합병; 예금자보호법; 사외이사; 자기자본비율; 은행위험

URI
http://hdl.handle.net/10203/54443
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=392500&flag=t
Appears in Collection
School of Management-Theses_Master(경영학부 석사논문)
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