资本充足率监管与商业银行经营目标的路径选择

满足资本充足率监管要求和实现盈利是商业银行需要完成的两个基本经营目标。本文建立了单期模型，从理论角度分析了商业银行是如何通过调整资本金水平、存贷款总量以及风险偏好等不同的路径选择来实现上述双重经营目标。文章对我国商业银行近年来的经营行为进行实证分析表明，依靠股东注资、上市融资和发行次级债的方式已成为有效补充商业银行资本金以达到资本充足率监管要求的中长期主要路径．而调整存贷款总量和贷款组合的风险偏好是调节商业银行资本充足率水平的短期工具。在此基础上，指出国有商业银行完成上述双重基本指标是一项涉及政府、监管机构和商业银行三位一体的系统工程，     

Liquidity creation,regulatory capital,and bank profitability

We examine the interrelationships among liquidity creation, regulatory capital, and bank profitability of US banks. We find that regulatory capital and liquidity creation affect each other positively after controlling for bank profitability. However, this relationship is largely driven by small banks and primarily during non-crisis periods. It is also sensitive to the level of banks' regulatory capital and how it is measured. Furthermore, we find that banks which create more liquidity and exhibit higher illiquidity risk have lower profitability. Finally, the relationship between regulatory capital and bank performance is not linear and depends on the level of capitalization. Regulatory capital is negatively related to bank profitability for higher capitalized banks but positively related to profitability for lower capitalized banks. Therefore, a change in regulatory capital has differential impacts on bank performance. Our findings have various implications for policymakers and bank regulators.     

资本充足率监管与商业银行经营目标的路径选择

满足资本充足率监管要求和实现盈利是商业银行需要完成的两个基本经营目标。本文建立了单期模型,从理论角度分析了商业银行是如何通过调整资本金水平、存贷款总量以及风险偏好等不同的路径选择来实现上述双重经营目标。文章对我国商业银行近年来的经营行为进行实证分析表明,依靠股东注资、上市融资和发行次级债的方式已成为有效补充商业银行资本金以达到资本充足率监管要求的中长期主要路径,而调整存贷款总量和贷款组合的风险偏好是调节商业银行资本充足率水平的短期工具。在此基础上,指出国有商业银行完成上述双重基本指标是一项涉及政府、监管机构和商业银行三位一体的系统工程。     

Bank Capital Standards for Market Risk: A Welfare Analysis

We propose a simple model that is suitable for evaluating alternative bank capital regulatory proposals for market risk. Our model formalizes the conflict between bank objectives and regulatory goals. Banks' decisions represent a tension between their desire to exploit the deposit-insurance put option and their desire to preserve franchise value. Regulators seek to balance the social value of deposits in mediating transactions against the deadweight costs of failure resolution. Our social welfare criterion is standard: a weighted average agents' utilities.We demonstrate that banks do not incrementally alter their portfolio risk as the economic environment changes. Rather, banks either choose the minimal feasible risk or the maximal feasible risk. This pattern, in turn, drives regulatory decisions: The first goal of the regulator is to induce banks to choose the minimal risk level. For all nontrivial cases, unregulated banks fail to choose the first-best allocations. Traditional ex-ante capital requirements can induce banks to choose the socially-optimal level of portfolio risk, but the required capital is often inefficiently high. In contrast, variants of the Federal Reserve Board's precommitment proposal imply far smaller efficiency losses, and achieve allocations at or near the first-best for most reasonable model specifications. The ex-post penalties required for the optimal implementation of precommitment are not excessively large. The welfare gains from precommitment are even higher when the precommitment penalty function is precluded from sending banks into default. We conclude that state-contingent regulatory mechanisms, of which the precommitment approach is an example, offer the possibility of substantial gains in regulatory efficiency, relative to traditional state non-contingent regulation.     

Credit Card Securitization and Regulatory Arbitrage

This paper explores the motivations and desirability of off-balance sheet financing of credit card receivables by banks. We explore three related issues: the degree to which securitizations result in the transfer of risk out of the originating bank, the extent to which securitization permits banks to economize on capital by avoiding regulatory minimum capital requirements, and whether banks' avoidance of minimum capital regulation through securitization with implicit recourse has been undesirable from a regulatory standpoint. We show that regulatory capital arbitrage is an important consequence of securitization. The avoidance of capital requirements could be motivated either by efficient contracting or by safety net abuse. We find that securitizing banks set their capital relative to managed assets according to market perceptions of their risk, and seem not to be motivated by maximizing implicit subsidies relating to the government safety net when managing their risk. This evidence is more consistent with the efficient contracting view of securitization with implicit recourse than with the safety net abuse view.     

A PRACTICAL APPROACH TO CAPITAL STRUCTURE FOR BANKS

Like U.S. companies in many industries. American's bank's attention to capital structure is reflected in their high level of stock repurchases in recent years. But, if banks are responding to some of the same economic forces that are driving industrial firms to shed excess capital, there are some important differences between banks and industrials that complicate the process of establishing appropriate capital levels for banks. The most important difference comes from regulation. Since the implementation by FDICIA of risk based capital guidelines in the early 1990s, the capital ratios of U.S. banks have increased substantially. In fact, most U.S. banks today carry considerably more capital than is required by the regulators. This tendency to exceed regulatory capital levels is especially pronounced for smaller institutions, which can in turn be explained by the riskier profile of smaller banks: While such banks have the highest proportion of the lowest-risk assets (such as cash, mortgages, and marketable securities), they also have a much greater degree of concentration (and co-variance) among their riskier assets.
This article recommends using a quantitative economic approach (such as a RAROC model) to generate a lower bound on the amount of necessary capital. This estimate can then be translated into a target capital structure by taking account of a variety of practical, qualitative considerations, including banks' preference to maintain capital levels that provide a comfortable margin above bank regulators' "well capitalized" levels. Although such considerations will vary in importance from one bank to another, they will generally include management's risk tolerance, regulatory constraints, market pressures (as reflected in peer group capital levels), the bank's prospects and investment plans, and, for larger banks, rating agency requirements.     

The impact of the choice of VaR models on the level of regulatory capital according to Basel II

The Basel II framework allows the calculation of the capital requirements for market risk with Value-at-Risk models. Since no special model is prescribed in the framework, banks may use simple models with questionable assumptions concerning their underlying distributions. Our numerical analysis reveals that simple VaR models that perform noticeably worse than comparable simple models with more realistic assumptions may lead to a lower level of regulatory capital for banks. For this reason, banks have a major incentive to implement bad models. This is obviously contrary to the interests of regulatory authorities.     

Structural effects of asset-backed securitization

This paper analyses the potential changes in the operational structure of deposit-taking financial institutions that securitize assets. Findings indicate that banks can create an asset securitization pipeline structure that enables them to increase their return on capital. In other words, through securitization banks can expand their loan provision business without increasing their liabilities or their capital levels. Using a contingent claims model, four factors that impact on the bank's decision to securitize are highlighted and analysed: (i) the level of deposit insurance; (ii) capital adequacy requirements; (iii) insolvency risk; and, (iv) the risk of credit enhancements. Furthermore, we identify key accounting and regulatory challenges that emerge for banks from the process of asset backed securitization.     

Why ‘Basel II’ may need a leverage ratio restriction

We analyze regulatory capital requirements where the amount of required capital depends on the level of risk reported by the banks. It is shown that if the supervisors have a limited ability to identify or to sanction dishonest banks, an additional, risk-independent leverage ratio restriction may be necessary to induce truthful risk reporting. The leverage ratio helps to offset the banks’ potential capital savings of understating their risks by (i) reducing banks’ put option value of limited liability ex ante, and by (ii) increasing the banks’ net worth, which in turn enhances the supervisors’ ability to sanction banks ex post.     

The regulations–risk taking nexus under competitive pressure: What about the Islamic banking system?

Does market power condition the effect of bank regulations and supervision on bank risk taking? We focus on three regulatory tools: capital requirements, the restriction of activities, and official supervisory powers. Employing 10 years of unbalanced panel data on 123 Islamic and conventional banks operating in the Middle East and Asia, we arrive at the following conclusions. First, banking market power strengthens the negative impact of capital regulation on bank risk taking. Second, our empirical results suggest that the negative effect of activity restrictions on stability is diminished when banks have greater market power. Finally, we do not find strong evidence that the negative effect of supervisory power on banks’ risk taking is conditioned by their competitive behavior. In further analysis, we differentiate between Islamic and conventional banks regarding their competition, as well as their risk behavior. The results differ according to the banking business model. These findings could be useful for bank regulators in light of the accomplishment of Islamic banks’ regulatory framework. Indeed, the adoption of Basel III represents a significant regulatory challenge, given that it does not take into account the specificities of Islamic banks.     

Value-at-risk vs. building block regulation in banking

Existing regulatory capital requirements are often criticized for only being loosely linked to the economic risk of the banks' assets. In view of the attempts of international regulators to introduce more risk sensitive capital requirements, we theoretically examine the effect of specific regulatory capital requirements on the risk-taking behavior of banks. More precisely, we develop a continuous time framework where the banks' choice of asset risk is endogenously determined. We compare regulation based on the Basel I building block approach to value-at-risk or ‘internal model’-based capital requirements with respect to risk taking behavior, deposit insurance liability, and shareholder value. The main findings are: (i) value-at-risk-based capital regulation creates a stronger incentive to reduce asset risk when banks are solvent, (ii) solvent banks that reduce their asset risk reduce the current value of the deposit insurance liability significantly, (iii) under value-at-risk regulation the risk reduction behavior of banks is less sensitive to changes in their investment opportunity set, and (iv) banks' equityholders can benefit from risk-based capital requirements.     

Bank Capital Standards for Market Risk: A Welfare Analysis

We propose a simple model that is suitable for evaluating alternativebank capital regulatory proposals for market risk. Our modelformalizes the conflict between bank objectives and regulatorygoals. Banks' decisions represent a tension between their desireto exploit the deposit-insurance put option and their desireto preserve franchise value. Regulators seek to balance thesocial value of deposits in mediating transactions against thedeadweight costs of failure resolution. Our social welfare criterionis standard: a weighted average agents' utilities. We demonstrate that banks do not incrementally alter their portfoliorisk as the economic environment changes. Rather, banks eitherchoose the minimal feasible risk or the maximal feasible risk.This pattern, in turn, drives regulatory decisions: The firstgoal of the regulator is to induce banks to choose the minimalrisk level. For all nontrivial cases, unregulated banks failto choose the first-best allocations. Traditional ex-ante capitalrequirements can induce banks to choose the socially-optimallevel of portfolio risk, but the required capital is often inefficientlyhigh. In contrast, variants of the Federal Reserve Board's precommitmentproposal imply far smaller efficiency losses, and achieve allocationsat or nearthe first-best for most reasonable model specifications.The ex-post penalties required for the optimal implementationof precommitment are not excessively large. The welfare gainsfrom precommitment are even higher when the precommitment penaltyfunction is precluded from sending banks into default. We concludethat state-contingent regulatory mechanisms, of which the precommitmentapproach is an example, offer the possibility of substantialgains in regulatory efficiency, relative to traditional statenon-contingent regulation.     

The pernicious effects of contaminated data in risk management

Banks hold capital to guard against unexpected surges in losses and long freezes in financial markets. The minimum level of capital is set by banking regulators as a function of the banks’ own estimates of their risk exposures. As a result, a great challenge for both banks and regulators is to validate internal risk models. We show that a large fraction of US and international banks uses contaminated data when testing their models. In particular, most banks validate their market risk model using profit-and-loss (P/L) data that include fees and commissions and intraday trading revenues. This practice is inconsistent with the definition of the employed market risk measure. Using both bank data and simulations, we find that data contamination has dramatic implications for model validation and can lead to the acceptance of misspecified risk models. Moreover, our estimates suggest that the use of contaminated data can significantly reduce (market-risk induced) regulatory capital.     

How do banks adjust their capital ratios?

We analyze the dynamics of banks’ regulatory capital ratios. Using monthly regulatory data of large German banks, we estimate the target level and the adjustment speed of the capital ratio for each bank separately. There exists a target level for a substantial percentage of banks. Unlike with panel regressions, we can estimate individual adjustment speeds and find large variation across banks. Adjustments on the liability side are most effective, although adjustment rates on the asset side are higher. Private commercial banks (neither state-owned nor cooperative) and banks with a high level of proprietary trading are more likely to adjust their capital ratio tightly. Banks with a target capital ratio compensate for low target ratios with low asset volatilities and high adjustment speeds. They seem to care mainly about the resulting probability to comply with the regulatory minimum. Assuming low variation of this probability explains most of the large cross-sectional variation of bank capital.     

城市商业银行跨区域经营:信贷扩张、风险水平及银行绩效

本文使用我国城市商业银行2004～2009年跨区域经营数据,首次对城市商业银行跨区域经营的相关问题进行了实证研究。结果发现,现阶段进行跨区域经营的城市商业银行中多是资产规模大、资本水平高、资产质量好、市场势力强的"好银行"。与只在本区域经营的银行相比,跨区域经营能有效分散投资风险,避免区域经济波动的风险,有益于降低银行风险水平。此外,跨区域经营的程度越高,银行的信贷增速越快、风险水平也显著降低。本文的这些发现为城市商业银行跨区域经营战略提供了经验支持,也为监管当局进一步改革监管政策提供了相关依据。     

Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books

In attempting to promote international financial stability, the Basel Committee on Banking Supervision (2006) provided a framework that sought to control the amount of tail risk that large banks around the world would take in their trading books relative to their corresponding minimum capital requirements. However, many of these banks suffered significant trading losses during the recent financial crisis. Our paper examines whether the Basel framework allowed banks to take substantive tail risk in their trading books without a capital requirement penalty. We find that it allowed banks to do so and that its minimum capital requirements can be notably procyclical. Hence, focusing on the way the Basel framework sought to control the amount of tail risk in trading books relative to their corresponding minimum capital requirements, our paper supports the view that it was not properly designed to promote financial stability. We also discuss alternative regulatory frameworks that would potentially be more effective than the Basel framework in preventing banks from taking substantive tail risk in their trading books without a capital requirement penalty.     

Do the business cycle and revenue diversification matter for banks’ capital buffer and credit risk: Evidence from ASEAN banks

We examine the association of the business cycle and revenue diversification with the banks’ capital buffer and credit risk for a sample of banks from the Association of Southeast Asian Nations (ASEAN) region from 1998 to 2018, using 2847 banking firm–year observations. We find that ASEAN region banks react anticyclically in adjusting their capital buffer levels and credit risk. We find revenue diversification benefits and that banks, through revenue diversification, can reduce their credit risk while achieving capital savings when confronting economic downturns. Our results offer support for the Basel III accord. However, the relations revealed are somewhat moderated by the regulatory quality, competition, and phase of the business cycle encountered by ASEAN region banks.     

Statement of the Financial Economists Roundtable: Bank Capital as a Substitute for Prudential Regulation

The Financial CHOICE Act recently passed by the House proposes to create an “off‐ramp” that would allow banks to escape burdensome prudential regulation if the ratio of their equity capital to their total assets is 10% or more. The Financial Economists Roundtable supports this idea as a means of reducing regulatory costs, but believes some additional safeguards are needed. A capital ratio of 10% may not be high enough to discourage banks from excessive risk taking. A solution is to have two capital requirements for banks choosing the off‐ramp: one absolute (as proposed in the act) and one risk‐based. The FER believes that many banks will prefer this regime to the current burdensome prudential regulation, especially if regulators simplify the setting of risk weights and make them more rule‐based. Regulators setting minimum capital requirements should consider not only a bank’s stand‐alone risk, but also the systemic risk posed by banks, as well as the tendency of accounting measures of income and assets to overstate the economic value of banks’ equity capital. The Financial Choice Act would also eliminate useful elements of ongoing supervision and regulation, not all of which can be addressed by higher capital alone. Furthermore, to facilitate regulatory learning about risks, off‐ramped banks should continue to report the data that regulators use for stress tests, even if they are no longer subjected to the discipline of stress tests. Finally, the act is viewed as too permissive in its treatment of off‐ramped banks that get into trouble. To prevent gaming of regulation, FERC recommends that off‐ramped banks that subsequently fall below the minimum requirements should be required to raise new capital immediately.     

Diversification and Value-at-Risk

A pervasive and puzzling feature of banks’ Value-at-Risk (VaR) is its abnormally high level, which leads to excessive regulatory capital. A possible explanation for the tendency of commercial banks to overstate their VaR is that they incompletely account for the diversification effect among broad risk categories (e.g., equity, interest rate, commodity, credit spread, and foreign exchange). By underestimating the diversification effect, bank’s proprietary VaR models produce overly prudent market risk assessments. In this paper, we examine empirically the validity of this hypothesis using actual VaR data from major US commercial banks. In contrast to the VaR diversification hypothesis, we find that US banks show no sign of systematic underestimation of the diversification effect. In particular, diversification effects used by banks is very close to (and quite often larger than) our empirical diversification estimates. A direct implication of this finding is that individual VaRs for each broad risk category, just like aggregate VaRs, are biased risk assessments.     

Measuring systemic risk: A risk management approach

This paper proposes a new method to measure and monitor the risk in a banking system. Standard tools that regulators require banks to use for their internal risk management are applied at the level of the banking system to measure the risk of a regulator’s portfolio. Using a sample of international banks from 1988 until 2002, I estimate the dynamics and correlations between bank asset portfolios. To obtain measures for the risk of a regulator’s portfolio, I model the individual liabilities that the regulator has to each bank as contingent claims on the bank’s assets. The portfolio aspect of the regulator’s liability is explicitly considered and the methodology allows a comparison of sub-samples from different countries. Correlations, bank asset volatility, and bank capitalization increase for North American and somewhat for European banks, while Japanese banks face deteriorating capital levels. In the sample period, the North American banking system gains stability while the Japanese banking sector becomes more fragile. The expected future liability of the regulator varies substantially over time and is especially high during the Asian crisis starting in 1997. Further analysis shows that the Japanese banks contribute most to the volatility of the regulator’s liability at that time. Larger and more profitable banks have lower systemic risk and additional equity capital reduces systemic risk only for banks that are constrained by regulatory capital requirements.