This study proposes measures to strengthen macroprudential management for non-bank financial institutions (NBFIs), such as securities firms and insurers, whose importance has grown since the 2008~2009 Global Financial Crisis. Major economies and international financial institutions have actively discussed and pursued new or enhanced supervisory and regulatory frameworks for managing NBFI-related systemic risk.

Using ΔCoVaR, a leading systemic risk metric capturing changes in conditional value at risk, this study analyzes the evolution of systemic risk among South Korea’s banks, securities firms, insurers, and individual financial institutions during major financial shocks, including the Global Financial Crisis, the European Debt Crisis, and the COVID-19 pandemic. Findings reveal substantial increases in systemic risk across all sectors during each crisis, with banking generally exhibiting the highest levels. Sectoral differences varied, with risk for securities firms surging during the March 2020 margin call event, markedly narrowing the gap with banks compared to previous crises.

The study further empirically examines the impact of Equity-Linked Securities (ELS) issuance by financial institutions on systemic risk (ΔCoVaR). Results indicate that increased ELS issuance contributed significantly to heightened systemic risk during the Global Financial Crisis, the European Debt Crisis, and the COVID-19 crisis. These findings underscore the growing importance of NBFIs in macroprudential management and call for systematic monitoring with enhanced regulatory oversight of the non-bank financial sector.

Abstract (ENG)

Preface
Summary (KOR)

Chapter 1. Introduction

Chapter 2. Literature Review

Chapter 3. Current Status and Policy Trends of Non-Bank Financial Institutions
　Section 1. Concept of Non-Bank Financial Institutions
　Section 2. Global Financial Market Turmoil and Responses during the COVID-19 Crisis
　Section 3. The March 2020 Securities Firm Margin Call Event
　Section 4. Characteristics of Korea’s Equity-Linked Securities (ELS) Market and Channels of Systemic Risk Transmission
　Section 5. Policy Responses of Korean Authorities

Chapter 4. Systemic Risk Measurement Models and Estimation Methods
　Section 1. Methodologies for Measuring Systemic Risk
　Section 2. Estimation Methods

Chapter 5. Empirical Results and Interpretation
　Section 1. Descriptive Statistics
　Section 2. Estimation Results and Interpretation
　Section 3. Analysis of the Impact of ELS

Chapter 6. Conclusion and Policy Implications

References
Appendix