Unintended consequences of the market risk requirement in banking regulation

Jussi Keppo; Leonard Kofman; Xu Meng

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Unintended consequences of the market risk requirement in banking regulation

机译：银行监管中市场风险要求的意外后果

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We analyze a bank that operates under the Basel credit and market risk requirements, and that maximizes its value through recapitalizations, dividends, and liquid asset investments. According to our model, the market risk requirement may postpone recapitalization and this way increase the bank's default probability. We show that this is indeed the case if the expected return and volatility of the liquid asset portfolio are high, i.e., then the market risk requirement raises the default probability of the bank. In this sense the market risk requirement is inefficient.

机译：我们分析了一家在巴塞尔信贷和市场风险要求下运作的银行，该银行通过资本重组，股息和流动资产投资实现其价值最大化。根据我们的模型，市场风险要求可能会推迟资本重组，从而增加银行的违约概率。我们证明，如果流动资产投资组合的预期收益和波动率很高，即确实存在这种情况，即市场风险要求会提高银行的违约概率。从这个意义上讲，市场风险要求是无效的。

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来源
《Journal of Economic Dynamics and Control》 |2010年第10期|p.2192-2214|共23页
作者
Jussi Keppo; Leonard Kofman; Xu Meng;
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作者单位

IOE Department, University of Michigan, 1205 Beat Avenue, Ann Arbor, Ml 48109-2117, USA;

Bank of Montreal, Toronto, ON M5X 1A1, Canada;

IOE Department, University of Michigan, 1205 Beat Avenue, Ann Arbor, MI 48109-2117, USA;

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原文格式 PDF
正文语种 eng
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关键词
bank capital; dividends; capital issues; investment; bank regulation;

机译：银行资本;股息;资本问题;投资;银行监管;

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Unintended consequences of the market risk requirement in banking regulation

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