경제연구소 经济研究所
KIER Working Paper
Systemic Risk in the Consumer Credit Network across Financial Institutions
- 21.02.22 / Hosung Jung, Hyun Hak Kim
- KIER-2021-01.pdf
요약
The main contribution of this paper is its construction of a network of financial institutions from the level of consumer credit. We assume that each consumer takes loans from multiple institutions,
so that those institutions share risk from the same consumers regardless of the quality or type of loan. Then we construct a financial network comprised of those institutions and compute a contagion index based on their interconnections using a weight of probability of default for the individual borrowers. Using Korea Consumer Credit Panel (KCCP) we investigate a network of financial institutions in Korea. We found a strong connection between banking institutions and credit card firms due to the convenience of making small loans with credit cards. However, when wegive a weighted probability of default to the linkages among institutions, the connections between banking institution and savings banks, non-credit card finance corporations and merchant bank are stronger than others, while banking institutions hold a central position and are exposed to the largest amount of loans individually. The contagion index hit a peak in 2013Q1 and then fell rapidly, before fluctuating at a relatively low level from 2016 to 2017Q2. Our results enable authorities to monitor systemic risk from the level of consumer credit, while accounting for specific types of consumers and their probability of default.
핵심용어 : systemic risk, network, consumer credit, financial stability
JEL 주제분류 : C23, D14, G20, G21, G23
| 제목 | KIER-2021-01 Systemic Risk in the Consumer Credit Network across Financial Institutions | 저자 | Hosung Jung, Hyun Hak Kim |
|---|---|---|---|
| 첨부파일 | KIER-2021-01.pdf (63,582.1 KB) | ||
게시물 내용요약
The main contribution of this paper is its construction of a network of financial institutions from the level of consumer credit. We assume that each consumer takes loans from multiple institutions, so that those institutions share risk from the same consumers regardless of the quality or type of loan. Then we construct a financial network comprised of those institutions and compute a contagion index based on their interconnections using a weight of probability of default for the individual borrowers. Using Korea Consumer Credit Panel (KCCP) we investigate a network of financial institutions in Korea. We found a strong connection between banking institutions and credit card firms due to the convenience of making small loans with credit cards. However, when wegive a weighted probability of default to the linkages among institutions, the connections between banking institution and savings banks, non-credit card finance corporations and merchant bank are stronger than others, while banking institutions hold a central position and are exposed to the largest amount of loans individually. The contagion index hit a peak in 2013Q1 and then fell rapidly, before fluctuating at a relatively low level from 2016 to 2017Q2. Our results enable authorities to monitor systemic risk from the level of consumer credit, while accounting for specific types of consumers and their probability of default.
핵심용어 : systemic risk, network, consumer credit, financial stability
JEL 주제분류 : C23, D14, G20, G21, G23
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