The Risk Sensitivity of Capital Requirements: Evidence from an International Sample of Large Banks*
The Risk Sensitivity of Capital Requirements: Evidence from an International Sample of Large Banks*
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资本要求的风险敏感性：来自国际大型银行样本的证据*
DOI：
10.1093/rof/rfs042
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发表时间：
2013
影响因子：
4.4
通讯作者：
Jens Hagendorff
中科院分区：
文献类型：
--
作者：
Francesco Vallascas;Jens Hagendorff
本文以2000年至2010年的国际大型银行为样本，对最低资本要求的风险敏感性进行了评估。我们的研究结果表明，风险加权资产（投资组合风险的监管措施，决定最低资本要求）是不正确的银行投资组合风险的市场措施校准。我们发现，这种低风险的敏感性资本要求允许银行建立资本缓冲，通过低报他们的投资组合风险，并削弱银行的能力，抵御不利冲击。虽然采用巴塞尔II的银行对资本要求的风险敏感度较高，但各银行和各国的风险敏感度仍然较低。版权所有2013，牛津大学出版社。
Using an international sample of large banks between 2000 and 2010, we evaluate the risk sensitivity of minimum capital requirements. Our results show that risk-weighted assets (the regulatory measure of portfolio risk, which determines minimum capital requirements) are ill-calibrated to a market measure of bank portfolio risk. We show that this low-risk sensitivity of capital requirements permits banks to build up capital buffers by underreporting their portfolio risk and undermines banks' ability to withstand adverse shocks. While the risk sensitivity of capital requirements is higher for banks that have adopted Basel II, it remains low across banks and countries. Copyright 2013, Oxford University Press.