Testing macroprudential stress tests: The risk of regulatory risk weights

• 成果类型: Article
• 署名作者: Acharya, Viral; Engle, Robert; Pierret, Diane
• 署名单位: New York University; Universite Catholique Louvain
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.04.014
• 发表日期: 2014
• 页码: 36-53
• 关键词: Macroprudential regulation; Stress test; Systemic risk; Risk-weighted assets

摘要

We compare the capital shortfall measured by regulatory stress tests, to that of a benchmark methodology the - V-Lab stress test - that employs only publicly available market data. We find that when capital shortfalls are measured relative to risk-weighted assets, the ranking of financial institutions is not well correlated to the ranking of the V-Lab stress test, whereas rank correlations increase when required capitalization is a function of total assets. We show that the risk measures used in risk-weighted assets are cross-sectionally uncorrelated with market measures of risk, as they do not account for the risk that risk will change. Furthermore, the banks that appeared to be best capitalized relative to risk-weighted assets were no better than the rest when the European economy deteriorated into the sovereign debt crisis in 2011. (C) 2014 Elsevier B.V. All rights reserved.