Strategic Selection of Risk Models and Bank Capital Regulation

• 成果类型: Article
• 署名作者: Colliard, Jean-Edouard
• 署名单位: Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2017.2898
• 发表日期: 2019
• 页码: 2591-2606
• 关键词: Basel risk weights; internal risk models; Leverage ratio; supervisory audits

摘要

The regulatory use of banks' internal models makes capital requirements more risk sensitive but invites regulatory arbitrage. I develop a framework to study bank regulation with strategic selection of risk models. A bank supervisor can discourage arbitrage by auditing risk models and implements capital ratios less risk sensitive than in the first-best to reduce auditing costs. The optimal capital ratios of a national supervisor can be different from those set by supranational authorities, in which case the supervisor optimally tolerates biased models. I discuss the empirical implications of this hidden model problem, and policy answers such as leverage ratios and more reliance on backtesting mechanisms.