상업용 부동산 금융 exposure 실태와 신용리스크 관리방안 연구 : 국내은행 사례를 중심으로

다국어 초록 (Multilingual Abstract)

This research is an analysis of the current condition of financial
exposure to commercial real estate, focusing on cases of domestic bank’s
mortgage loan, in order to improve the financial soundness of banks.
For this, this study analyzed the domestic & foreign commercial real
estate markets and the bank’s commercial real estate loan. Through this,
this study searched why the increase of the financial exposure to
commercial real estate be the risk factor in financial soundness of the
banks.
Also, this study looked at how the financial soundness of bank’s
security loan is being undermined under the stressful events. Using basic
internal rating method among the bank’s credit risk management method,
introduced from Basel II, the estimated losses were calculated by setting
borowers’ credit rating and commercial real estate mortgage value as the
main variable.
Finally we made a suggestion to strengthen the bank’s financial
soundness of commercial real estate financial exposure. For this, we found
ways of improving overall loan review; borrowers’ credit check stages,
valuation of mortgage real estate, loan structure and management etc.

국문 초록 (Abstract)

본 연구는 상업용 부동산 금융 exposure의 실태를 국내은행 담보대출 사례를
중심으로 분석한 것으로, 은행의 건전성 관리방안을 제시하는 것에 중점을 두었
다.
이를 위해 국내외 상업용 부동산 현황과 은행의 상업용 부동산 담보대출의
실태를 분석해 보았다. 실태 분석을 통해 상업용 부동산 금융 exposure 증대가
왜 은행 건전성에 위협요인이 되는지 살펴보고자 한다.
또한 스트레스 상황에서 은행의 상업용 부동산 담보대출 건전성이 얼마나 훼
손되는지 실증적으로 살펴보고자 한다. 바젤Ⅱ부터 도입된 은행 신용리스크 관
리기법 中 기본내부등급법을 활용하여 차주의 신용등급(PD), 상업용 부동산 담
보가치(LGD)를 주요 변수로 예상 손실을 추정하였다.
끝으로 은행의 상업용 부동산 금융 exposure 건전성을 높이기 위한 제언을
하고자 한다. 이를 위해 차주 신용조사단계, 담보물 평가 단계, 대출구조 및 관
리 등 대출 심사 전반의 측면에서의 개선 방안에 대해 말하고자 한다.

목차 (Table of Contents)

• 그림차례 ··························································································································ⅲ
• 표 차 례 ··························································································································ⅳ
• 국문요약 ··························································································································ⅵ
• 제1장 서론 ···················································································································1
• 1.1 연구 배경 ·············································································································1
• 1.2 연구의 목적 및 구성 ·························································································4
• 1.3 연구의 범위 및 방법 ·························································································6
• 제2장 선행연구 및 이론적 배경 ··································································8
• 2.1 선행연구 ···············································································································8
• 2.2. 이론적 배경 ······································································································11
• 제3장 국내외 상업용 부동산 현황 ·····························································27
• 3.1 국내 상업용 부동산 공급 및 수요 현황 ·····················································27
• 3.2 국내 상업용 부동산 매매시장 현황 ·····························································28
• 3.3 국내 상업용 부동산 임대시장 현황 ·····························································29
• 3.4 국내 상업용 부동산 금융 exposure 현황 ···················································31
• 3.5 국외(미국) 상업용 부동산 현황 및 비교 ····················································38
• - ii -
• 제4장 국내은행의 상업용 부동산 담보대출 개괄 ·····························42
• 4.1 상업용 부동산 담보대출 절차 ·······································································42
• 4.2 상업용 부동산 담보대출 취급상의 관행 ·····················································45
• 제5장 상업용 부동산 금융 exposure 예상 손실 측정 ·················· 47
• 5.1 추정 방법론 ·······································································································47
• 5.2 현시점의 예상 손실 측정 ···············································································55
• 5.3 스트레스 테스트(위기 상황 분석) ································································56
• 5.4 스트레스 테스트 결과분석 ·············································································62
• 제6장 개선방안 제시 ···························································································66
• 6.1 개선방안 ·············································································································66
• 제7장 결론 및 연구의 한계점 ·······································································69
• 6.1 결론 ·····················································································································69
• 6.2 연구의 한계 ·······································································································71
• 참 고 문 헌 ···············································································································73
• Abstract ·····················································································································75