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IFRS4 2´Ü°è ÇÏ¿¡¼­ÀÇ À¯µ¿¼º ÇÁ¸®¹Ì¾öÀ» ¹Ý¿µÇÑ ÇÒÀÎÀ² ÃßÁ¤¿¡ °üÇÑ ¿¬±¸

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IFRS4 2´Ü°è¿¡¼­ º¸ÇèºÎä Æò°¡¾×À» °áÁ¤ÇÏ´Â ÇÙ½ÉÀûÀÎ ¿äÀÎÀ̶ó ÇÒ ¼ö ÀÖ´Â ÇÒÀÎÀ²°ú °ü·ÃÇÏ¿©, º» ¿¬±¸´Â ÀÌ·ÐÀûÀ¸·Î Ÿ´çÇÏ°í ½Ç¹«ÀûÀ¸·Î Àû¿ë °¡´ÉÇÑ ÇÒÀÎÀ² »êÃâ¹æ¹ý¿¡ ´ëÇÑ Á¦¾ðÀ» ¸ñÀûÀ¸·Î ÇÑ´Ù. ÁÖ¿ä °á°ú´Â ù°, º» ¿¬±¸¿¡¼­ »õ·Ó°Ô Á¦¾ÈÇÑ Á¤ºÎº¸Áõä ½ºÇÁ·¹µå¸¦ À¯µ¿¼º ÁöÇ¥·Î Ãß°¡ÇÏ¿© È®ÀåÇÑ Fama-French ¸ðÇüÀÌ ¿ì¸®³ª¶ó ȸ»çä ¼öÀÍ·ü ½ºÇÁ·¹µå¸¦ ¼³¸íÇϴµ¥ ÀûÇÕÇÔÀ» ½ÇÁõÇÏ¿´´Ù. µÑ°, À¯µ¿¼º ¿äÀÎÀº ¿ì¸®³ª¶ó ȸ»çä ¼öÀÍ·ü ½ºÇÁ·¹µå °áÁ¤°ú °ü·ÃÇÏ¿© ÀÇ¹Ì ÀÖ´Â ¸®½ºÅ© ¿äÀÎÀÓÀ» È®ÀÎÇÏ¿´´Ù. ¼Â°, Nelson-Siegel ¸ðÇü°ú Svensson ¸ðÇü¿¡ ºñÇØ Smith-Wilson ¸ðÇüÀÌ ¹«À§Çè ÀÌÀÚÀ² ¿¹Ãø ¸ðÇüÀ¸·Î ÀûÇÕµµ°¡ ³ôÀº °ÍÀ» È®ÀÎÇÏ¿´´Ù. ¸¶Áö¸·À¸·Î ¿ì¸®³ª¶ó ä±Ç½ÃÀåÀÇ À¯µ¿¼º ÇÁ¸®¹Ì¾öÀº °¢°¢ 10?18?38?70bps(±¹°íä?AAA?AA?A ¼ø¼­, 2015³â ¸» ±âÁØ, 3³â ¸¸±â ±âÁØ) ·Î ÃßÁ¤µÇ¾ú´Ù. º» ¿¬±¸´Â ¿ì¸®³ª¶ó ä±Ç½ÃÀåÀÇ À¯µ¿¼º °úÀס¤ºÎÁ·, ½Å¿ë ¿ì·®¡¤°æ»ö µî¿¡ µû¶ó Á¤Ã¥ ´ç±¹ÀÌ ±ÝÀ¶ Á¤Ã¥À» ¼ö¸³ÇÏ´Â °úÁ¤¿¡ È°¿ëÇÒ ¼ö ÀÖÀ¸¸ç, ±ÝÀ¶±â°üÀÇ ¸®½ºÅ© °ü¸®¿Í ä±Ç ¹ßÇà ¹× À¯Åë½ÃÀå¿¡¼­ À¯¿ëÇÑ Á¤º¸·Î È°¿ëµÉ ¼ö ÀÖ´Ù°í ÆǴܵȴÙ. ƯÈ÷, 2020³â µµÀÔ ¿¹Á¤ÀÎ IFRS4 2´Ü°è¸¦ À§ÇØ ÀÌ·ÐÀûÀΠŸ´ç¼ºÀ» À¯ÁöÇϸ鼭 ½Ç¹«ÀûÀ¸·Î Àû¿ë °¡´ÉÇÑ À¯µ¿¼º ÇÁ¸®¹Ì¾öÀÇ ÃøÁ¤°ú ÇÒÀÎÀ² ÃßÁ¤ ¹æ¹ýÀ¸·Î È°¿ëÇÒ ¼ö ÀÖÀ» °ÍÀ¸·Î ±â´ëµÈ´Ù.
º¸ÇèºÎä Æò°¡,ÇÒÀÎÀ²,À¯µ¿¼º ÇÁ¸®¹Ì¾ö,Á¤ºÎº¸Áõä ½ºÇÁ·¹µå,Smith-Wilson ¸ðÇü

Estimation of the discount rates for insurance liability valuation reflecting the term structure of liquidity premiums under IFRS 4 Phase ¥±

  • Sekyung Oh
  • Kinam Park
  • Siyeol Choi
This paper aims to suggest an estimation method of discount rates for insurance liability valuation reflecting the term structure of liquidity premium under IFRS 4 Phase II. The advantage of our method is that it is not only theoretically solid but also practically applicable. The main findings are as follows. First, the extended Fama-French model including government-guaranteed bond spread as a liquidity factor is suitable to determine corporate bond yield spreads. Second, the liquidity risk factor is priced within the cross section of each bond rating and maturity. Third, the Smith-Wilson model exhibits substantially better fitted extrapolations for the term structure of risk free rates, compared to the Nelson-Siegel model and the Svensson model. Fourth, the term structure of liquidity premium for corporate bond of each rating as well as government bond is estimated to reflect the characteristics of cash flows of insurance liabilities. Finally, liquidity risk premiums of Korean government bond and corporate bonds with AAA, AA and A ratings are estimated to be 10, 18, 38, 70 bps, respectively on three-year maturity basis at the end of 2015.
Insurance debt valuation,Discount rate,Government-guaranteed bond spread,Liquidity premium,Smith-Wilson model