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首页> 外文期刊>Journal of banking & finance >Unexpected shortfalls of Expected Shortfall: Extreme default profiles and regulatory arbitrage
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Unexpected shortfalls of Expected Shortfall: Extreme default profiles and regulatory arbitrage

机译：预期缺口的意外缺口：极端违约状况和监管套利

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摘要

The purpose of this paper is to dispel some common misunderstandings about capital adequacy rules based on Expected Shortfall. We establish that, from a theoretical perspective, Expected Shortfall based regulation can provide a misleading assessment of tail behavior, does not necessarily protect liability holders' interests much better than Value-at-Risk based regulation, and may also allow for regulatory arbitrage when used as a global solvency measure. We also show that, for a value-maximizing financial institution, the benefits derived from protecting its franchise may not be sufficient to disincentivize excessive risk taking. We further interpret our results in the context of portfolio risk measurement. Our results do not invalidate the possible merits of Expected Shortfall as a risk measure but instead highlight the need for its cautious use in the context of capital adequacy regimes and of portfolio risk control. (C) 2015 Elsevier B.V. All rights reserved.
机译：本文的目的是消除对基于预期缺口的资本充足率规则的一些常见误解。我们认为，从理论上讲，基于“预期缺口”的监管可以提供对尾部行为的误导性评估，并不一定比基于“风险价值”的监管更好地保护负债持有人的利益，并且在使用时也可能允许监管套利作为全球偿付能力指标。我们还表明，对于一家价值最大化的金融机构，保护其特许经营权所获得的收益可能不足以消除过度冒险的动机。我们将在投资组合风险衡量的背景下进一步解释我们的结果。我们的结果并没有使“预期短缺”作为一种风险度量的可能优点无效，而是强调了在资本充足率制度和投资组合风险控制的背景下谨慎使用该需求的必要性。 （C）2015 Elsevier B.V.保留所有权利。

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