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This study examines the performance of regime-based portfolio rebalancing strategies that utilize hidden Markov models (HMMs) to dynamically adjust asset allocations in response to volatility regime shifts. Based on a globally diversified portfolio reflecting the investment context of institutional investors with significant cross-border exposure, the analysis yields three key findings. First, regime-based strategies consistently outperform static strategic asset allocation (SAA) and buy-and-hold approaches in terms of risk-adjusted returns, while effectively reducing downside risk measures such as conditional value-at-risk (CVaR), maximum drawdown (MDD), and volatility. Second, the benefits of regime-based strategies are more pronounced at higher adjustment intensities, confirming their adaptability under shifting market conditions. Third, the performance advantages of regime-based strategies persist even after incorporating transaction costs. By integrating regime-based signals into the rebalancing process, this study provides empirical implications for institutional investors managing globally diversified portfolios in volatility-sensitive environments.

본 연구는 국내 주요 유통·커머스 플랫폼 8개사를 대상으로 2020~2024년 재무제표 와 부도 사건 데이터를 활용하여 구조적·유동성 리스크를 조기에 진단하는 정량적 프레임워크를 제시한다. Altman Z″-Score, Ohlson O-Score, Piotroski F-Score 와 더불어 Burn Rate, Cash Runway를 주요 변수로 설정하고, 부도 발생 여부 예측에는 로지스틱 회귀와 베이지안 회귀, 발생 시점 분석에는 Cox 비례위험모형을 적용하였다. 분석 결과, Ohlson O-Score와 Cash Runway가 부도 가능성과 발생 시점 모두에서 통계적으로 유의한 핵심 변수로 확인되었으며, 베이지안 분석은 소표본 에서도 높은 예측 신뢰도를 제공함을 보여주었다. 이를 토대로 ‘긴급 모니터링→정량 진단→위험군 분류’ 3단계 조기경보체계(EWS)와 리스크 기반 핀포인트 규제를 설계 하였다. 또한 EU·미국·일본 사례 분석을 통해 플랫폼 거래 투명성 강화와 선제적 감독체계를 위한 정책 방향을 도출함으로써, 유통·디지털 커머스 생태계의 지속가능 성과 거래 신뢰성 제고에 기여하고자 한다.

In recent years, digital commerce platforms have grown at an unprecedented pace, fundamentally reshaping retail and service industries worldwide. While these platforms prioritize rapid user acquisition and market share expansion, often at the expense of immediate profitability, their business models inherently carry heightened financial vulnerability. Aggressive marketing expenditures, heavy investments in logistics and technology, and extended deferred payment arrangements with vendors contribute to elevated cash burn rates and liquidity risk. Traditional insolvency prediction models, designed for asset-intensive or manufacturing firms, fail to capture the nuanced risk dynamics of digitally mediated, two-sided marketplaces. Against this backdrop, this study develops and empirically validates a hybrid risk-diagnosis framework tailored to digital commerce platforms, combining conventional insolvency scores with liquidity-specific indicators. Specifically, we integrate Altman’s Z″-Score, Ohlson’s O-Score, and Piotroski’s F-Score with burn rate and cash runway metrics to holistically assess structural solvency, operational health, and short-term survival capacity. Our empirical analysis covers eight major Korean platform firms—Homeplus, Woowa Brothers (Baemin), Coupang, TMON, Wemakeprice, Balan, skplanet, and Kurly—over the 2020–2024 period. Using publicly disclosed financial statements and, where necessary, reputable media reports to supplement missing data, we first employ logistic regression to identify the most predictive variables for default occurrence. The results reveal that the Ohlson O-Score (β≈+0.84, p≈0.10) and Cash Runway (β≈–0.60, p≈0.12) exert statistically meaningful effects on default odds, with one-unit increases in O-Score and one-month increases in runway corresponding to roughly 2.3× higher and 0.56× lower default odds, respectively. Conversely, Z″-Score and F-Score showed limited predictive power in this binary setting. To extend beyond binary classification and capture the temporal dimension of default risk, this study applies both frequentist and Bayesian Cox proportional hazards models. Consistent with prior logistic regression results, both models identify Ohlson O-Score and Cash Runway as statistically significant predictors of time-to-default. The frequentist model estimates a hazard ratio of approximately 2.22 for O-Score and 0.56 for Runway, indicating a higher default hazard with increased financial stress and a protective effect from greater liquidity. To enhance robustness under small-sample constraints and quantify uncertainty, we implement a Bayesian Cox model using Markov Chain Monte Carlo (MCMC) sampling via the No-U-Turn Sampler (NUTS). Posterior estimates confirm the predictive power of O-Score and Runway, with 95% credible intervals excluding zero and posterior probabilities exceeding 99%. This Bayesian approach provides not only directional validation but also interpretable uncertainty bounds critical for risk-sensitive policy decisions. Building on these insights, we propose a three-stage Early Warning System (EWS) and a complementary risk-based regulatory framework (“pinpoint regulation”). Stage 1 real-time monitoring flags acute liquidity stress via burn rate spikes or runway collapse. Stage 2 quantitative diagnosis confirms structural weakness using O-Score and Z″-Score thresholds. Stage 3 synthesizes signals to classify platforms into high-risk, recovering, and stable cohorts. For high-risk firms, we recommend emergency liquidity support (conditional lending, escrow mandate), shortened settlement cycles, and external management oversight. Recovering firms receive buffer instruments (guarantees, tax incentives) and quarterly indicator reviews, while stable firms benefit from annual stress tests and disclosure expansion to foster transparent, sustainable growth. Internationally, we compare EU, US, and Japanese regulatory approaches: the EU’s PSD2 and Late Payment Directive mandate client fund segregation and penalize payment delays; the US relies on private escrow services, trust-account rules under Money Transmitter Laws, and trade-credit insurance; Japan’s Transparency Law enforces upfront disclosure and administrative guidance. These case studies underscore the effectiveness of segmented regulation—combining pre-emptive oversight for high-risk entities with marketfriendly self-regulation for sound firms. Academically, our research enriches platform finance literature by adapting legacy credit risk models to the liquiditysensitive, digitally mediated economy. Practically, it delivers a replicable methodology and policy toolbox for regulators, investors, and platform operators to preempt financial distress, safeguard transactional ecosystems, and promote resilient, inclusive growth in the digital commerce sector.

This study empirically examines the relationship between dividend policy and management risk in Korean banks from 1999 to 2024, using fixed-effects panel regression analysis. Z-Score and standard deviation of ROE served as a proxy for bank management risk, with the study analyzing the effects of dividend payout ratio, BIS capital ratio, and their interaction on Z-Score and standard deviation of ROE. As a result, first, depending on bank characteristics, the dividend payout ratio may increase management risk or have no effect, but capital regulations can reduce this risk in banks where it increases. Second, non-linearity was found for the dividend payout ratio, also the BIS ratio exhibited non-linearity, suggesting an optimal BIS ratio can minimize management risk and promote bank stabilization. Third, for banks with lower capital adequacy (bottom 50% BIS), increasing dividends significantly amplified management risk, indicating a need for strict dividend restrictions linked to the BIS ratio for these banks. In conclusion, while a bank's dividend policy can elevate management risk, this can be mitigated through appropriate capital regulations. Financial authorities can preemptively regulate bank dividend policies via capital regulations to prevent increased management risks and stabilize the financial system.

Our study challenges the belief that the mandatory bid rule (MBR) raises acquisition costs and deters takeovers. Leveraging the staggered adoptions of the mandatory bid rule (MBR) globally, we find that the MBR reduces the control premium, a key component of acquisition costs. Moreover, evidence does not support the claim that MBR discourages acquisitions above the threshold. While post-MBR ownership levels from block trades decline slightly, the likelihood of crossing the threshold remains unchanged. In the U.K., private deals above the threshold are fewer than below, but this gap is even larger in the U.S., which does not have an MBR.

본 연구는 한국 퇴직연금제도의 인출단계(decumulation phase)에 주목하여, 연금화 유도를 위한 제도 설계와 수탁자의 역할 정립 방안을 분석한다. 기존 국내 연구는 주로 적립단계의 수익률과 상품구조에 집중되어 왔으며, 인출단계의 구조적 문제와 수탁자 개입에 대한 논의는 상대적으로 미흡하였다. 이에 본 연구는 영국, 호주, 네덜 란드 등 주요국의 퇴직연금 제도 사례를 비교·분석하여, 디폴트 인출전략, 위험공유 구조, 수탁자 책무에 대한 제도적 시사점을 도출하였다. 이를 바탕으로, 한국 퇴직연 금제도의 인출 구조와 연금화율 저조의 원인을 검토하고, 특히 우리나라 최초의 기금 형 퇴직연금인 중소기업퇴직연금기금을 사례로 수탁자 중심의 인출전략 설계 방안을 제시하였다. 구체적으로는 디폴트 전략 기반의 단기방안과, 집단기반 연금지급 구조 도입을 통한 중장기 제도 발전방향을 제안한다. 본 연구는 퇴직연금이 단순한 적립형 제도를 넘어 실질적인 노후소득 보장 장치로 기능하기 위해, 수탁자의 지급단계 책무 를 제도적으로 정립할 필요가 있음을 학술적·정책적으로 제시한다.

This study addresses a long-standing policy blind spot in Korea’s retirement pension system—namely, the absence of a structured decumulation phase. While the accumulation phase has been the central focus of most domestic pension research, with emphasis on asset management, product design, and return maximization, little attention has been paid to how pension assets are converted into stable retirement income. This study seeks to fill this gap by investigating how decumulation can be institutionalized to better support income security for retirees, particularly by enhancing fiduciary responsibility and adopting structured payout frameworks. One of the primary issues in Korea’s retirement pension system is the high proportion of lump-sum withdrawals at retirement. Despite decades of efforts to promote annuitization, the uptake of life annuities remains minimal. This is partly due to the underdevelopment of the payout phase and the absence of default decumulation pathways or fiduciary oversight during retirement. In contrast to other advanced economies, Korean pension plans lack institutional mechanisms for guiding retirees through complex income planning decisions after retirement. As such, retirees are often left to navigate investment, longevity, and liquidity risks entirely on their own. To explore institutional strategies that can improve the structure and governance of the decumulation phase, the study employs a comparative policy analysis of major pension systems. Specifically, the research examines the experiences of the United Kingdom, the Netherlands, and Australia—three countries that represent different models of decumulation governance. These cases were selected for their advanced policy frameworks in areas such as default drawdown design, collective risk-sharing, and fiduciary protection. In each of these countries, recent reforms have moved away from binary choices between annuities and full drawdowns, and toward hybrid structures that combine longevity protection with investment flexibility. For instance, the UK has introduced “investment pathways” as a default drawdown mechanism, supported by regulatory oversight to ensure product suitability. The Netherlands has transitioned to a collective defined contribution (CDC) framework, where decumulation is based on pooled longevity risk and conditional benefit adjustments. Australia, while maintaining flexibility through its superannuation system, is now moving toward setting a standard retirement income strategy (RIS) for each fund. Across these jurisdictions, fiduciary responsibilities are expanding to include not only asset accumulation but also the adequacy and stability of retirement income. Drawing on these insights, the study evaluates the structural limitations of Korea’s current decumulation landscape. Korea’s retirement pension market is dominated by defined contribution (DC) and corporate defined benefit (DB) plans operating in account-based frameworks. There is no system-wide default payout structure, nor are employers or trustees mandated to provide income guidance post-retirement. The paper analyzes the institutional factors that contribute to this gap, including fragmented plan governance, limited annuity supply, and a lack of fiduciary engagement during decumulation. To develop a practical design model suited for Korea, the study presents an institutional case analysis of the Small and Medium Business Retirement Pension Fund (SMBRPF)—Korea’s first fund-type occupational pension plan. As a centralized, trustee-governed fund with pooled asset management, the SMBRPF represents a unique testbed for integrating fiduciary-driven decumulation strategies. Based on interviews with stakeholders and analysis of fund design features, the study proposes a two-stage payout model for the SMBRPF. The first stage involves a default drawdown strategy offering flexibility within actuarially guided withdrawal limits. The second stage introduces a pooled income payout structure, akin to a tontine or CDC model, for long-term longevity protection. The paper further supports its proposal with a conceptual simulation framework. While a full stochastic simulation is reserved for subsequent research, the paper outlines key parameters to be tested, such as payout sustainability, income volatility, and longevity-adjusted income efficiency across different payout rules. The simulation design is based on the application of national life tables, projected investment returns, and policy-based mortality pooling rules. Policy recommendations include introducing fiduciary obligations for decumulation oversight, adopting standardized payout options as default mechanisms, and enabling collective risk-sharing structures, such as CDCs or longevity pools, within institutional plans. The study emphasizes that pension trustees must not only protect accumulated assets but also ensure that those assets translate into sustainable income streams after retirement. In conclusion, this study contributes to the academic and policy discourse by reframing the decumulation phase as an institutional design problem rather than an individual choice dilemma. It calls for a shift from product-centered approaches to governance-centered models in the Korean retirement pension system. By embedding fiduciary oversight and pooled payout mechanisms into the decumulation phase, the study offers a pathway for transforming Korea’s retirement pensions into a true income security system for an aging population.