earticle

영어

Under the theory of corporate finance, financial derivatives are regarded as one kind of corporate strategy for risk management. Using derivatives, firms can effectively hedge various risk factors, such as credit risk, interest risk, and foreign exchange risk, which are involved in management and investment activities. Since the derivatives does not necessarily entail the fund transfer among the transaction parties, firms can invest regardless of the internal funding capacity and the external financial constraints. Further, based on the leverage effect, derivatives can be considered as efficient investment tools which maximize the future expected return within the limited financial sources. However, if managers abuse the derivatives to fulfill their incentive to speculative investment and extend private benefits, a huge loss can be caused, and by extension, it may bring out the bankruptcy of the firm. Practically, the derivatives is considered as a main source of the global financial crisis. Due to these conflicting views, the understanding of the firms’ motive and incentive for the usage of financial derivatives is essential for either the managers of the firm or the regulatory authorities in order to maximize the benefit and to minimize the cost of it. Financial institutions should have efficient risk management strategies to secure the management sustainability, as they deal with financial market instruments based on the risk-return trade-off. Especially the insurance companies, which receive the fund from insurants in the present and will pay the insured money to them at the specified time in the future, should form a proper business strategy for anticipating and responding to the change of macro-economic risk factors and mitigating the problem of maturity mismatch between assets and liabilities. In Korea, the risk management of insurance companies is increasing in importance, as the trend of low interest rate and high volatility of stock price is continued in Korean capital market. In this regard, to strengthen the global competitiveness of domestic insurance companies, regulatory authorities are focus on the derivatives in setting a new set of financial regulations. However, despite of the practical importance, it is not easy to find the academic empirical researches which analyze the corporate behavior related to the derivative usage of insurance companies in Korea. This paper investigates the effect of financial characteristics of Korean life insurance companies on their derivative usages in risk management. The financial characteristics are capital adequacy, liquidity, profitability, and asset quality. The capital adequacy is closely related to the ability to respond to the financial distress by the exogenous shocks. The liquidity is proxy for the probability of default in short-term period (within one year). These two characteristics are related to the internal capital buffer reacting to the change of risk factors. Thus, firms with low level of these characteristics are expected to have strong incentive to use the financial derivatives to hedge the risk of management activities. In contrast, firms with high level of above characteristics could more actively utilize the derivatives as the means of financial strategies, as they are less affected by the various constraints of using derivatives, such as large uncertainty, complex transaction structure, high counter-party risk, and information acquisition costs. The third characteristic, profitability, refers to the operating efficiency and the intrinsic value of firms. Unprofitable firms could use the derivatives to offset increased sensitivity of risk factors and improve the short-term business performance, but the derivatives could be also employed to maintain the stability of current business conditions. Lastly, the asset quality is related to the financial distress costs of the assets. In case that the default risk of asset portfolios increases, financial derivatives are expected to be served as the means of risk management strategy to hedge the credit risks. Among these expectations of the motive of derivative usage, we empirically confirm which view is empirically supported. In addition, in order to broaden the understanding of the corporate behavior, we separate the derivatives usage based on the purpose, underlying assets, and trading method. Empirically, we confirm that the capital adequacy (RBC ratio, income-expenditure ratio) and profitability (retained earnings to capital ratio) have a positive effect on derivatives usage, while the liquidity and asset quality (suspension of effect termination rate) have a negative effect on it. Additionally, foreign-affiliated firms utilize the financial derivatives more actively than domestic firms. In the mean time, such corporate behaviors are mainly observed when the purpose of derivatives usage is to risk-averse and to avoid foreign exchange risk. Among the derivatives, forward and futures are mainly used. The results in this paper can be used as the baseline data to establish financial policies by presenting the business practices of life insurance companies about the incentive and purpose of derivatives usage.

한국어

본 연구는 국내 자본시장에서 영업중인 생명보험회사의 주요 재무적 특성이 위험관리 수단으로서 파생상품 활용에 미치는 효과를 확인한다. 실증분석결과, 먼저, RBC비율과 수지차비율이 높을수록, 유동성비율이 낮을수 록 생명보험회사는 파생상품 활용에 적극적인 것으로 관찰되었다. 이는 단기 파산위험을 면역화하기 위한 수 단으로서 파생상품을 활용하고 있지만, 거래상 내재하는 불확실성을 완충하기 위한 안정적인 자기자본여력과 현금흐름 창출능력도 동시에 고려하고 있음을 의미한다. 둘째, ROA는 유의적인 영향력을 갖지 않는 반면, 이 익잉여금비율의 상승은 파생상품 활용도를 확대시키는 것으로 나타났다. 이는 생명보험회사가 단기 수익성의 변화에 의존하기 보다는 누적된 경영성과에 기초하여 이를 안정적으로 유지할 목적으로 파생상품을 활용하고 있음을 의미한다. 셋째, 효력상실해지율이 높을수록 파생상품 활용도는 증가되는 것으로 확인되었는데, 이는 자산건전성 악화가 우려되는 상황에 대응하기 위해 파생상품 활용을 확대하고 있음을 의미한다. 마지막으로 파생상품 활용은 외국계 회사가 국내회사에 비해 보다 적극적인 것으로 관찰되었다. 한편, 앞선 결과들은 대체 로 위험회피목적 파생상품 거래를 통해 확인되었다. 이는 생명보험회사가 투자수익을 확대하기 보다는 영업활 동에 내재하는 위험요인을 면역화하기 위해 내재한 재무적 특성에 기초하여 파생상품 활용을 결정하고 있음을 시사한다. 다른 한편으로 앞선 결과는 통화 관련, 선도 및 선물 파생상품 거래에서 주로 확인되어 구체적인 경 영행태의 경로를 파악할 수 있었다. 국내 자본시장에서 저금리·저성장 기조와 증시의 불안정성이 지속됨에 따 라 생명보험회사의 적극적인 위험관리가 요구되고 있으며, 파생상품 활용이 그 대안으로 제시되고 있다. 따라 서 본 연구의 결과는 위험관리 수단으로서 파생상품 활용의 유인과 목적에 대한 생명보험회사의 경영행태를 사전에 확인함으로써 구체적이며, 정교한 정책대안 모색에 기초자료로 활용될 것으로 예상된다.