Research Staff

Research Staff


2004 KAIST Graduate School of Management, Seoul, Korea Ph.D. in Management Engineering
1998 SEOUL NATIONAL UNIVERSITY, Seoul, Korea Doctor course completion in Mathematics
1996 SEOUL NATIONAL UNIVERSITY, Seoul, Korea M.S. in Mathematics
1993 KAIST, Taejon, Korea B.S. in Mathematics
Professional Experience
2017~ Research Fellow, Korea Capital Market Institute
2016~2017 Miraeassetdaewoo, Risk management Dept.
2005~2016 Wooribank, Trading Dept.
2004~2005 Samsung Investment Trust Management, Investment Engineering Dept.



Crisis of Credit Suisse: Wipeout of Contingent Convertible (CoCo) Bonds and its Implications / May. 02, 2023
Amid the crisis of the global banking sector triggered by Silicon Valley Bank’s collapse, the bankruptcy risk faced by Credit Suisse (CS), a Global Systemically Important Bank, has come to the fore, causing much tension in the financial market. After having long struggled with risk management failures, lawsuits and penalties, CS has ended up being taken over by UBS under the intervention of the Swiss Financial Market Supervisory Authority (FINMA). During the takeover process, the writedown of contingent convertible (CoCo) bonds set off controversy and market confusion over the seniority between CoCo bonds and common equity. But it is safe to say that the restructuring of CS has been carried out speedily through a bail-in mechanism without any loss inflicted on depositors. In addition, the crisis of CS has shed light on the importance of banks’ risk management. Considering Korean banks’ capital ratio, the possibility that CoCo bonds are written down or banking crises occur seems to be limited. However, as macroeconomic strains could persist, banks should strive to maintain market confidence while paying close attention to risk management and internal control. Notably, in the future, there may be restrictions on capital expansion using CoCo bonds, such as an increase in financing costs, which requires caution in managing the issuance size of CoCo bonds. The supervisory authorities need to revamp the regulatory system for capital requirements and recognize the importance of responding to market unrest in a rapid and orderly manner. Lastly, investors should be aware of an array of risks arising from investing in CoCo bonds, such as a principal writedown.
Implications for the Characteristics of Recent Inflation and the Effect of Diversified Investments in Stocks and Bonds / Jan. 03, 2023
The prices of major assets that have risen since the Covid-19 pandemic have been subject to significant corrections in 2022. A diversified portfolio of stocks and bonds served as an effective investment strategy until 2021. But the effects of such diversification have dissipated as stock and bond prices move in sync due to counter-cyclical inflation. As uncertainty over inflation mounts, the portfolio comprised of stocks and bonds has become susceptible to upside inflation risks.These macro-environmental changes are likely to continue depending on future inflation developments, and have significant implications for asset allocation strategies. Despite a recent analysis that inflation shows early signs of fading, there remains considerable uncertainty as to whether the current economy would return to the pre-Covid 19 era of low inflation and low interest rates. At this juncture, it should be noted that the performance of diversified investment in stocks and bonds may also differ from the previous one. What is also needed is a diversification approach as well as an asset allocation strategy aligned with inflation developments.
Korea’s ELS Market: Current State and Risk Monitoring / Jul. 26, 2022
Amid a decline in key stock indexes, Korea’s ELS market has remained stable in 2022. The outstanding issuance of ELS has been relatively low in size with stock market conditions being more favorable to issuers’ hedging activities compared to the previous market crisis. Still, however, a recent surge in the outstanding balance driven by a sharp drop in ELS early redemption volume, as well as growing uncertainties in the global stock and financial markets, has caused jitters in the ELS market, which requires caution of market participants. Individual issuers should exert further efforts to control risks inherent in ELS issued by them and formulate a plan for stably issuing and managing ELS products by fully considering overall market conditions. ELS investors should maintain a proper weight of ELS in their investment portfolio as part of an asset allocation strategy. What is also needed is risk management by opting for a low knock-in structure that is less likely to generate losses. Furthermore, the financial authorities should closely examine and monitor destabilizing factors in the ELS market.
Improvement in Korea’s Benchmark Rates: Current Status and Challenges / Jan. 18, 2022
In the wake of the LIBOR fixing scandal, major economies embarked on interest rate benchmark reform, and have selected and used alternative benchmark rates to replace LIBOR. Korea is also rationalizing the production of CD rates as part of its effort to improve benchmarks and has adopted the overnight repo rate of government bonds and monetary stabilization bonds as its alternative benchmark rate. In line with this, CD rates and KOFR have been selected as critical benchmarks and would serve as Korea’s benchmark rates. The stability of the underlying markets is of importance to constantly produce the selected benchmark rates with representativeness and reliability. Despite abundant liquidity in the RP market on which KOFR is based, the financial authorities should monitor the mechanism involving collateral disposition and settlement to ensure the smooth market operation at times of a credit crisis. It is also worth considering adopting a central counterparty clearing house (CCP). The RP market participants need to step up their risk management efforts to contribute to market stability. Also notable is the lack of liquidity in the underlying markets for CD rates. With that in mind, financial policymakers should keep communicating with submitters of underlying returns and seek to implement a support policy to encourage CD issuance, if necessary. Although the improvement in CD rate production is underway, the representativeness and reliability of CD rates could diminish over the long run, as is the case with LIBOR. In the light of this, the financial authorities need to assess the sustainability of CD rates. In addition, they should examine the possibility of replacing CD rates with KOFR by widening the usage of KOFR and brace for the benchmark transition. Also necessary is to create and facilitate the markets for KOFR-linked futures or interest rate swaps.

Seminar Presentation