| Title |
A Study on the Total Guarantee Limit for Construction-related financial cooperatives Using the VaR |
| Authors |
김미리(Kim, Mi Ri) ; 김용규(Kim, Yongkyu) ; 박선구(Park, Sun Gu) |
| DOI |
https://doi.org/10.5659/JAIK.2024.40.4.243 |
| Keywords |
Construction guarantee market; Construction-related financial cooperatives; Total guarantee limit; Value at Risk model |
| Abstract |
In recent times, the construction guarantee market has experienced several transformations, including restructuring the construction production system and addressing the repayment of public funds by Seoul Guarantee Insurance. These changes are anticipated to shift the construction guarantee market structure from limited competition towards a more competitive environment. Consequently, there's an expected shift in the demand for guarantees from construction-related financial cooperatives. In response, these cooperatives must evaluate the provision of suitable guarantees. To address this, the study conducts an empirical analysis of the appropriate total guarantee limit for construction-related financial cooperatives, utilizing the Value at Risk model. This analysis suggested that the suitable total guarantee limit should range between two to four times higher than the current legally permitted multiples of 20 and 30 times for construction-related financial cooperatives. This underscores the necessity for a substantial increase in the total guarantee limit multiple for each cooperative. The significance of this study lies in being the first empirical analysis of the appropriate total guarantee limit for construction-related financial cooperatives. Additionally, it's noteworthy that the analysis employs the loss ratio scenario method, among the RBC internal model methods commonly used by private insurance companies. |