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여신집중과 저축은행부실에 관한 실증연구

  • 김학건 충북대학교 경영대학 국제경영학과 조교수
  • 박광우 한국과학기술원(KAIST) 경영대학 교수
  • 오승곤 예금보험공사 선임연구위원
저금리 정책기조 가운데 저축은행을 비롯한 비은행권 금융회사들의 대출규모는 최근 수년간 급격히 증가하였다. 특히 저축은행의 경우 부동산 PF(Project Financing) 대출, 신용대출 부문이 여신에서 차지하는 비중이 지속적으로 증가하는 여신편중현상이 심화되어 왔다. 이러한 저축은행의 특정부문에 대한 편중적 여신영업 전략은 과거로부터 많은 국내 저축은행들이 부실화되는 주요한 원인이라는 견해가 그 동안 제시되었다. 이에 따라 본 연구는 저축은행의 세부여신항목 자료를 활용하여 여신집중이 저축은행 부실에 미치는 영향을 실증분석하였다. 분석결과는 다음과 같다. 첫째, 저축은행의 부실가능성은 여신편중현상이 심화될수록 유의하게 증가하였다. 둘째, 거액대출취급 건수가 많은 저축은행일수록 부실가능성이 높게 나타났으며, 이러한 효과는 여신집중도가 높을수록 더욱 크게 나타났다. 셋째, 고위험 여신인 부동산 PF 대출의 비중은 저축은행 부실가능성과 정(+)의 관계를 가졌으며, 신용대출비중 역시 저축은행부실가능성과 정(+)의 관계를 가졌다. 반면 상대적으로 우수한 담보능력을 가진 주택담보대출의 비중은 부실가능성과 유의한 부(-)의 관계를 가졌다. 본 연구의 결과는 저축은행이 부실을 예방하기 위해 여신포트폴리오를 다변화하고 거액대출취급 건수를 줄여 위험을 분산시켜야 함을 보여준다. 또한 저축은행이 부동산 PF 대출이나 신용대출 등 고위험 여신으로의 편중현상이 나타나지 않도록 금융감독이 이루어져야 하고, 상대적으로 담보 및 상환능력이 우수한 대출에 대한 비중확대가 필요하다는 정책적 시사점을 제시한다
저축은행; 여신집중; 부실; 거액대출; 쏠림현상;Savings Bank; Loan Concentration; Bankruptcy; Mega Loans; Herd Behavior

A Study on the Relationship between Loan Portfolio Concentration and Bankruptcy in Savings Banks

  • Hakkon Kim
  • Kwangwoo Park
  • Seungkon Oh
Until recently, the loan portfolios of savings banks in Korea have tended to concentrate on project financing with higher risks than the conventional loan portfolios of commercial banks. However, these concentrated loan portfolios and other disruptive behaviors led to massive bankruptcies among savings banks in 2011. In the past, many savings banks have experienced a similar bankruptcy process, largely due to the expansion of saving banks’ assets through mergers, high risk project financing loan projects, the illegal acts of large shareholders and executives, and the increasing loan concentration of high risk lenders. In particular, the concentration of real estate-related loans became a major management risk factor for savings banks in the 2000s, particularly in the deteriorating operating environment caused by the collapse of the real estate market after the global financial crisis. Furthermore, saving banks’ dependence on high-risk loans, such as project finance loans and unsecured personal loans, has intensified in recent years. This is a major factor in the failure of Korean savings banks in the event of external economic shocks. However, due to the limited data collection issue, only a few empirical studies have considered the relationship between the loan concentration ratio of savings banks and bank insolvency. The backdrop to the 2011 insolvency crisis of the savings banks is their large-scale growth and organizational change into a business group, which progressed rapidly up until 2010. Although mergers between savings banks were limited before December 2005, savings banks were already experiencing financial distress at that time due to the household credit crisis in 2003. The number of large savings banks with an asset size of over 1 trillion Korean won increased from 6 in June 2005 to 29 by the end of 2010. As of June 2010, 31 subsidiaries had been opened by 11 savings bank groups. The expansion and integration of these savings banks led to aggressive top-line expansion strategies, including high-risk lending operations and expansions. Over the 2011 to 2017 period, the average total assets of savings banks declined between 2011 and mid-2014 due to the failure of 31 savings banks after 2011, but the assets of the remaining savings banks rapidly increased after 2014. Research on savings bank credit concentration has been limited due to the lack of data, and most recent studies have analyzed only commercial banks or specific types of loans. Beck and Jonghe (2013) described the positive effects of loan concentration on commercial banks. The authors argued that commercial banks accumulate sufficient knowledge and experience in the field by focusing on loans to specific sectors over many years. This suggests that banks improve their ability to inspect and supervise loans and can reduce potential risks by identifying and addressing credit-related issues in a timely manner. Tabak, Fazio, and Cajueiro (2011) also argued that the concentration of lending to specific sectors in Brazilian banks shows that banks can enhance supervision, increase expertise in those areas, and lower bank risk while improving profitability. In this paper, we empirically examine the impact of concentrated loan portfolios on bank failures using the methodology of logistic regression. Our analysis shows that for saving banks the more concentrated the loan portfolio and the larger the number of mega loans (i.e., loans above 1 billion won), the higher the likelihood of failure. We also find that the more loans to relatively high risk borrowers and to borrowers with lower credit ratings in both the corporate and household sectors, including project financing and unsecured personal loans, the higher the probability of failure. However, mortgages with relatively good collateral turn out to have a significant negative relationship with savings bank insolvency.