CAJ | 학술논문

金融危机引起的机构闻风险传染、溢出和反馈效应，促使人们开始关注系统性风险。以Oay、Merton和Bodie为代表提出的或有权益分析方法，考察了以资产负债表为基础的微观经济扭曲是如何在经济部门间传导、扩散，并引致宏观危机发生的。在此基础上，结合极值分布理论和机构间违约相依关系的SCCA方法，可用于评估极端风险时期金融机构违约时债权人的预期损失，以及政府部门的偿债能力和维持金融稳定的能力。本文从或有权益分析方法的理论来源出发，介绍了SCCA方法的基本模型及其对金融机构相关风险指标的度量，同时对如何运用该模型度量金融体系的系统性风险和宏观经济风险进行了总结和梳理，并在此基础上归纳、分析了或有权益分析方法的优缺点，指出了该方法在实践中需考虑的问题。
금융위궤인기적궤구문풍험전염、일출화반궤효응，촉사인문개시관주계통성풍험。이Oay、Merton화Bodie위대표제출적혹유권익분석방법，고찰료이자산부채표위기출적미관경제뉴곡시여하재경제부문간전도、확산，병인치굉관위궤발생적。재차기출상，결합겁치분포이론화궤구간위약상의관계적SCCA방법，가용우평고겁단풍험시기금융궤구위약시채권인적예기손실，이급정부부문적상채능력화유지금융은정적능력。본문종혹유권익분석방법적이론래원출발，개소료SCCA방법적기본모형급기대금융궤구상관풍험지표적도량，동시대여하운용해모형도량금융체계적계통성풍험화굉관경제풍험진행료총결화소리，병재차기출상귀납、분석료혹유권익분석방법적우결점，지출료해방법재실천중수고필적문제。
The high cost of risk contagion, spread and feedback effect caused by financial crisis highlights the need to focus on systemic risk. A new approach proposed by Gray, Merton and Bodie based on the theory of contingent claims analysis studies how the distortions at the micro economic level based on the balance sheet are transmitted and spread across economic sectors, and cause the crises at the macro level. It is possible to combine the extreme value theory （EVT） and the SCCA framework based on the default correlation between financial institutions in order to assess the expected loss of creditors, the solvency of the government sector and its capability to maintain financial stability during extreme periods. This paper outlines the basic model of contingent claims analysis and some risk measuring indicators for financial institutions based on the SCCA method, summarizes the use of the SCCA model to measure the financial systemic risk and maeroeconomic risk, and analyzes the advantages and disadvantages of the SCCA model and some related problems in practice.