Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach

• 成果类型: Article
• 署名作者: Alexander, Gordon J.; Baptista, Alexandre M.
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; George Washington University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.05.013
• 发表日期: 2006
• 页码: 1631-1660
• 关键词: Bank regulation; VaR; portfolio choice; risk management

摘要

We examine the economic implications arising from a bank using a VaR-constrained mean-variance model for the selection of its trading portfolio as a consequence of the Basle Capital Accord. Surprisingly, we show that when a VaR constraint is imposed, it is plausible that certain banks will end up selecting 'riskier' portfolios than they would have chosen in the absence of the constraint. Accordingly, regulators such as the Basle Committee on Banking Supervision should be aware that allowing a bank to use VaR to determine its minimum regulatory capital may increase its fragility. Alternatives to VaR-based bank capital regulation that mitigate or even preclude its perverse implications are presented. (c) 2006 Elsevier B.V. All rights reserved.