KOR

Research Staff

Research Staff

Profile

Education
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.

Publications

Opinion

Suggestions on Initial Margin Requirements Implementation for Non-Centrally Cleared OTC Derivatives Transactions / Aug. 10, 2021
In the aftermath of the global financial crisis, G20 countries had discussions to mitigate systemic risks that could arise from OTC derivatives transactions. These concerted efforts resulted in the announcement of margin requirements for non-centrally cleared OTC derivatives. In line with such regulatory change, Korea’s supervisory authorities devised the ‘Guidelines on Margin Requirements for Non-Centrally Cleared OTC Derivatives Transactions’ and variation margin requirements have come into effect since March 2017. Initial margin requirements are expected to phase in from September 2021, starting with financial firms with relatively greater non-cleared OTC derivatives outstanding balance. Initial margin requirements are likely to have a greater influence on financial institutions or the market, compared to variation margin rules. Financial firms subject to initial margin requirements need to establish and manage initial margin calculation methods and overall operation process. For the mid- and long-term, it is also necessary to formulate a framework where margin or collateral arising from various transactions is collected and administered for liquidity management. The Korea Securities Depository that should serve as a collateral depository needs to offer a wide range of services to help financial firms better manage margin. The supervisory authorities in Korea should conduct monitoring to ensure smooth administration of margin rules and thoroughly inspect collateral-related schemes and processes. Amid financial market uncertainty fueled by stricter margin requirements, there is also the need for examining whether financial firms are likely to experience a liquidity crisis due to the increase in margin amount.
Korea’s ELS Market: Current Status and Future Tasks / Feb. 02, 2021
Korea’s ELS market continued its growth from 2017 before it contracted due to financial unrest triggered by Covid-19 in 2020. With the recovery in Korea’s and overseas stock markets, the size of early redemption in ELS increased in the second half of the year. But the overall size decreased as issuers cut back on new issuance while strengthening their risk management under some regulatory changes. Going forward, the market is expected to see the overall size slightly go down with step-down ELS on domestic and overseas stock indexes being mainstream. This requires market participants to come up with differentiated coping strategies, and financial authorities to formulate new policies. Step-down ELS have been issued for a long enough period to make customers get accustomed to the structure, which is a positive aspect. Still, however, distributors of those products should closely monitor the inherent investment risk with continued investor protection measures. Also necessary is further effort at the individual issuer level for fully considering the overall market situation and also issuer-specific conditions in formulating a plan for stably managing the products and the risk. Financial authorities also need to closely monitor the market while devising their strategies to cope with a potential market shock.
A Review on the Gap between US Stock Market and Real Economy / Jul. 21, 2020
In 2020, the global stock market managed to rebound from drastic downward adjustments triggered by the Covid-19 pandemic, with some of the major indexes recovering to the end-2019 level. Although the real economy has yet to fully recover from the bottom in March and April despite a slight rebound with resumed economic activities in May, concerns are rising about the gap between the real economy and stock market. Although looking somewhat divergent from real economic conditions, the stock market, usually preceding the real economy, seems to pre-reflect the possibility of a rebound from the second quarter trough in the second half of 2020. Hence, the path of recovery in the near future is a key determinant of whether a gap will actually occur between the real economy and the stock market or not. As the Covid-19 pandemic makes any future projection highly uncertain, market participants should closely monitor the path of recovery in the second half of this year so as to properly respond to the market. Policy authorities also have a role to play for normalizing economic activities and stabilizing the financial markets by carefully watching the financial markets and the real economy.
A More Detailed Risk Rating Scheme for Derivative-linked Securities / Feb. 18, 2020
Derivative-linked securities are linked to various underlying assets and have a complex risk-returns structure. Although it’s critical to effectively make investors informed of the risks inherent in those products, Korea uses a single risk classification scheme for those products as well as equities, bonds, and other financial vehicles. In addition, non-principal protected equity-linked securities and DLS are assigned class 1 (super-high risk) and class 2 (high risk) without any objective risk assessment standard, which making the comparison difficult, if not impossible. For example, the German Bund rate DLS that incurred heavy losses in 2019 has a higher risk than that of callable ELS. The risks of ELS products could also vary depending on the volatility of underlying assets and the knock-in barrier levels. However, Korea’s current risk classification scheme cannot effectively distinguish their risks. What’s needed to make investors better informed is to devise a comparable, objective risk assessment scheme via which more detailed ratings are provided to investors. If an objective, consistent risk assessment scheme is in place to enable investors to compare the risks of derivative-linked securities, this could be of help to sound operation and continuous development of the derivative-linked securities market going forward.

Seminar Presentation