Bank of Korea (BOK), South Korea's central bank, said Tuesday that it has developed its own systemic risk assessment model for the first time among central banks in Asia as part of efforts to better conduct its mandate of maintaining financial stability granted after the BOK act's revision late last year.

According to the BOK, the model named 'Systemic risk Assessment model for Macro-prudential Policy (SAMP)' will analyze quantitative systemic risks, including macro risk factors, profits and losses in the banking sector, losses from macro-financial linkage, risks in the wholesale funding market under the stringent conditions, multi-period assessment on banks' balance sheet.

The BOK said that the model had a comparative advantage in assessing tail risks, contagion risks from liquidity shortfall, credit crunch from macro-financial feedback as well as multi- period assessment compared with other models developed by central banks in the UK, Canada and Australia.

However, the bank noted that it will continue to enhance the efficiency of the model by adding foreign exchange liquidity stress test and assessment on risks of household and corporate sectors to the existing model, saying that it will widen its systemic risks assessment to the non-banking financial institutions.