분산분해와 DebtRank방법론을 활용한 시스템위험 측정에 관한 실증연구

Abstract

In this paper, we analyze the systemic risk based on both the information flows and DebtRank simulation method in the KOSPI stock market during 2001 to 2015. We employ the Variance Decomposition method to quantify an information flows among the 22 industry sectors and calculate the systemic risk by using the DebtRank simulation method. Here, we find that (i) the systemic risk calculated by information flows estimated by the variance decompositions method shows strong positive relations with the volatility as the market risk, (ii) the level of systemic risk measured by DebtRank simulation on the directed network increases significantly during the financial crisis such as the subprime crisis (2008) and European financial crisis(2010).