BaselⅢ 관련 수협은행의 자본확충 규모와 기업가치에 관한 연구

Abstract

The financial institution became to be subject to regulation of capital ratio by BaselⅢ which was introduced in order to enhance stability of the financial institution. In case of commercial banks, expansion of a capital is possible only by determination of market, but in case of Suhyup Bank, it is different. Investment in Suhyup Bank is only possible by government, public organization and the National Federation of Fisheries Cooperatives under current law. As the nature of such an investment is injection of the public funds, determination of the scale of investment and appropriacy of it must be very important. Hereto, on this study it is tried to derive the level of appropriate investment scale by calculating capital scale to meet BaselⅢ comparing to basic capital adequacy ratio, the value of investment shares that can be obtained due to this investment and market return.

For this, on this study the following steps were implemented. First, since the required basic capital adequacy ratio was specified, the risk-weighted assets should be predicted reasonably. Accordingly, on this study it was tried to derive the accounting equation to predict the risk-weighted assets based on management data of a bank since introduction of BaselⅢ. As the risk-weighted assets were weighted differently according to the type of loans, if the accounting equation is derived by using the type of loans, then it would be helpful for the risk management of banks in the long-term. According to this, the increase of loan would be predicted on the basis of past management performance of Suhyup Bank, and for this reason, the future risk-weighted assets of Suhyup Bank were predicted. Second, the revenue of Suhyup Bank would be predicted. For the revenue of Suhyup Bank, two methods were used. One case was where the existing management performance was maintained, and the other case was where it is improved by the management performance of commercial banks. Third, depending on the risk-weighted assets and the management maintenance and improvement, the required capital investment scale to meet the basic capital adequacy of BaselⅢ would be obtained. Fourth, the IRR, where the NPV corresponds to each capital investment scale, would be obtained. It was analysis of whether the corresponding investment is adequate or not by comparing the IRR and market rate. On this study, for assuming enterprise value, the RIM(Residual Income Model) was used and the investment period was set as 15 years.

The result of this study is like following. First, it was showed that 98.3% of risk-weighted assets of the previous year, 62.4% of the secured loan changes and 95.1% of the credit loan changes affected risk-weighted assets. Second, in 2029, due to the deficit of capital adequacy of Suhyup Bank, if the current business condition is maintained like this, KRW 2.1874 trillion will be needed as injection of the public funds. But, if the management improvement is made, only KRW 1.0795 trillion will be needed as injection of the public funds. Third, under the premise that the current management is maintained, it was found that where it becomes become NPV=0, is 1.98412 when the amount of KRW 2.1874 trillion is injected. On the other hand, if the management improvement is made, it would show that the IRR, where it becomes NPV = 0, is 4.75563%, when the amount of KRW 1.0795 trillion is injected. Under the assumption that the business improvement of Suhyup Bank is made, the injection of KRW 1.0795 trillion can meet the BIS basic capital adequacy, and as it is higher than 3.55% which is the average of governmental lending rate for 10 years, this investment can be adopted.

Such results of this study tell us the necessity of management improvement of Suhyup Bank by expanding the scale of capital investment, for the sustainable development and the better future of Suhyup Bank.