审视内部评级体系:风险权重、风险偏好与银行业务策略

内部评级法下,违约概率、违约损失率、违约暴露、期限是风险加权资产计算的重要参数,假设资本总量不变的前提下,4个重要参数的变化都会对资本充足率产生影响。本文按照内部评级法的资产分类方法,通过分别分析每个参数的变化对各类资产风险权重的不同影响,提出实施内部评级法以后银行业务策略应该关注的问题。     

Capital, Portfolio, and Growth: Bank Behavior Under Risk-Based Capital Guidelines

This paper examines banks' capital, portfolio and growth decisions from 1986 to 1995, when risk-based capital guidelines were proposed and implemented. Overall, we observe complementarity between equity financing and risk. We find no systematic differences in pre- and postregulation behavior consistent with banks reacting to risk-based capital standards implementation. We do find significant differences, however, between low-capital banks and other banks. For example, increases in equity generally do not lead to increases in assets unless the bank has low capital. We also find that the impact of regulatory variables, such as the ratio of equity to total assets or the of ratio risk-weighted assets to total assets, have the predicted, significant effects for low-capital banks but not necessarily for other banks.     

Banks’ regulatory capital buffer and the business cycle: Evidence for Germany

This paper analyzes the effect of the business cycle on the regulatory capital buffers of German local banks in the period 1993–2004. The capital buffers are found to fluctuate countercyclically over the business cycle. The evidence supports that low-capitalized banks do not catch up with their well-capitalized peers over the observation period and they do not decrease risk-weighted assets during a recession. This finding suggests that their low capitalization does not force them to retreat from lending.     

Testing macroprudential stress tests: The risk of regulatory risk weights

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.     

Risk-weighted capital requirements and portfolio rebalancing

We use a 2013 Norwegian policy reform to study how banks react to higher capital requirements and how these adjustments transmit to the real economy. Using bank balance sheet data, we document that banks raise capital ratios by reducing risk-weighted assets. Most of the reduction in risk-weighted assets is accounted for by a reduction in average risk weights. Consistent with this reduction in risk, we document a substantial decline in credit supply to the corporate sector relative to the household sector. We also show that banks react to higher requirements by increasing interest rates, consistent with the reduction in corporate credit growth being supply driven. Using administrative loan level tax data, we document a reduction in lending on the firm level. This is robust to controlling for firm fixed effects, thereby accounting for potential firm-bank matching. Finally, we find that the reduction in bank lending has a negative impact on firm employment growth and that this effect is driven by small firms.     

Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests

This paper proposes a novel methodology to calibrate the magnitude of the countercyclical capital buffer (CCyB) using market-based stress tests. The macroprudential authority in our paper aims to contain the possibility of a breach of a minimum capital ratio in the event of a severe system-wide shock within a certain permissible failure probability. We apply the methodology by stress-testing major banks in six advanced economies on a quarterly basis over a period of 27 years. The estimates suggest that the cap on the CCyB should not be less than around 1.7% of total assets. Its potential normal-times level is estimated at approximately 0.8% of total assets.     

Bank Managers' Heterogeneous Decisions on Discretionary Loan Loss Provisions

This study examines bank managers' three major motivations for discretionary behavior with respect to loan loss provisions: signaling, income smoothing, and capital management. To do so, it utilizes a bank-specific time-series regression approach that captures heterogeneity in the banks' priorities and strategies for alternative motives and compares the results to those from alternative model specifications. The statistical tests and results presented in this study lead to three conclusions. First, significant results for the income smoothing hypothesis are robust to the various model specifications. Second, average signaling coefficients estimated from bank-specific regressions are systematically larger than corresponding coefficients from pooled time-series cross-sectional regressions and are statistically significant. Finally, bank managers appear to use loan loss provisions to manage their regulatory capital levels by comparing them with the minimum ratios specified by regulators rather than with a time-series bank-specific ratio or pooled time-series cross-sectional mean ratio.     

The pass-through of bank capital requirements to corporate lending spreads

We study the impact of higher bank capital requirements on corporate lending spreads using granular bank- and loan-level data. Our empirical strategy employs the heterogeneity in capital requirements across banks and time of implementation in Switzerland. We find that changes in the capital deviation from the regulatory minimum affect lending spreads asymmetrically. In response to a reduction in the capital deviation, banks with deficits with respect to their risk-weighted capital requirement raise spreads relative to banks with surpluses and de-leverage. Banks respond to higher requirements by raising spreads and, for deficit banks, by cutting lending.     

Capital and Earnings Management: Evidence from Alternative Banking Business Models

This paper examines whether institutional characteristics distinguishing Islamic from conventional banks lead to distinctive capital and earnings management behavior through the use of loan loss provisions. In our sample countries, the two banking sectors operate under different regulatory frameworks: conventional banks currently apply the “incurred” loan loss model until 2018 whereas Islamic banks mandatorily adopt an “expected” loan loss model. Our results provide significant evidence of capital and earnings management practices via loan loss provisions in conventional banks. This finding is more prominent for large and loss-generating banks. By contrast, Islamic banks tend not to use loan loss provisions in either capital or earnings management, irrespective of the bank's size, earnings profile, or the structure of their loan loss model. This difference may be attributed to the constrained business model of Islamic banking, strict governance, and ethical orientation.     

Risk-Taking Behavior and Capital Adequacy in a Mixed Banking System: New Evidence from Malaysia Using Dynamic OLS and Two-Step Dynamic System GMM Estimators

This study is the first attempt to investigate the relationship between the level of risky assets and capital level in a mixed Malaysian banking system covering 83 months starting December 2006. The results of dynamic ordinary least squares indicate positive relationship between capital ratio (CAR) and risk-weighted asset ratio (RWA) in the long run. Furthermore, the causality analysis based on panel vector error correction model (VECM) and two-step dynamic system generalized method of moments indicates unidirectional causality from CAR to RWA. Our results further suggest that higher capital growth and capital buffer provide an extra cushion for the Malaysian banks to pursue relatively riskier financial activities, and the nature of risk-taking behavior of Islamic banks follows that of the conventional banks.     

Assessing banks’ resilience: A complementary approach to stress testing using fair values from banks’ financial statements

For more than a decade, supervisory banking authorities in Europe and the United States have sought to assess the resilience of banks to adverse economic episodes to safeguard the financial system's stability. They rely on regulatory capital measures like Common Equity Tier 1 (CET1) relative to risk-weighted assets in the aftermath of potential economic crises. We propose a new measure of banks' resilience based on financial statements. The fair value margin (FVM) is estimated as the difference between the fair value of assets and the book value of liabilities, scaled by the book value of equity. We find that FVM is positively associated with the surplus or shortfall of CET1 resulting from the stress testing results from 2014, 2016 and 2018. To corroborate the relevance of FVM for supervisory authorities, we compare the ability of the loan component of FVM to predict future credit losses with the capital surplus/shortfall metric derived from the stress test. The findings indicate that the fair value of loans predicts net charge-offs better than stress test outcomes. Therefore, we suggest that FVM could be used as a readily available and relatively low-cost tool to assess bank resilience, thus complementing the stress test exercises.     

《新资本协议》对商业银行信贷运行的影响——兼论其宏观经济效应

《新资本协议》的出台和实施是银行监管历史上一个具有里程碑意义的事件。本文认为,《新资本协议》特别是内部评级法极大地提高了资本监管的风险敏感度,将对商业银行的信贷增长方式、信贷结构调整和贷款损失准备计提、以及宏观经济运行产生一定的影响。按照目前我国商业银行资本充足水平和资产质量,无论是实施标准法还是内部评级法都将强化信贷扩张的资本约束效应。我国应慎重选择《新资本协议》的实施时机,避免由此对信贷供给和宏观经济运行造成的负面冲击。     

Bank capital buffers in a dynamic model

We estimate a dynamic structural banking model to examine the interaction between risk-weighted capital adequacy and unweighted leverage requirements, their differential impact on bank lending, and equity buffer accumulation in excess of regulatory minima. Tighter risk-weighted capital requirements reduce loan supplies and lead to an endogenous fall in bank profitability, reducing bank incentives to accumulate equity buffers and, therefore, increasing the incidence of bank failure. Alternatively, tighter leverage requirements increase lending, preserve bank charter value, and incentives to accumulate equity buffers leading to lower bank failure rates.     

Estimating the cost of capital with basis assets

Instead of using industry groups or asset pricing models to estimate the cost of capital we propose using risk equivalent classes known as basis assets. A basis asset is constructed by grouping firms together whose returns indicate they share a common risk exposure, which in theory permits a precise and accurate expected return estimate. Thus, knowing to which basis asset a firm belongs, the firm’s cost of capital can be obtained. Empirically, we show that basis assets lead to superior cost of capital estimates when compared with widely used industry groupings. This means we are no longer reliant on asset pricing models or industry groups to estimate the cost of capital of a firm.     

Risk shifting and regulatory arbitrage: Evidence from operational risk

We document a robust negative relation between operational risk exposure and bank capital levels for a sample of large U.S. banks under the Basel I Capital Accords. The results are consistent with the notion that capital-constrained banks increased operational risk exposure at the time when Basel I regulations did not require an explicit capital charge for operational risk. More broadly, our results show new channel by which financial regulations incentivize banks to shift their risk taking to less regulated risk areas. We focus on the case of operational risk because it went from a largely unregulated risk type to a major risk that accounts for about 25% of large U.S. banks’ risk-weighted assets.     

Funding liquidity and bank risk taking

This study examines the relationship between funding liquidity and bank risk taking. Using quarterly data for U.S. bank holding companies from 1986 to 2014, we find evidence that banks having lower funding liquidity risk as proxied by higher deposit ratios, take more risk. A reduction in banks’ funding liquidity risk increases bank risk as evidenced by higher risk-weighted assets, greater liquidity creation and lower Z-scores. However, our results show that bank size and capital buffers usually limit banks from taking more risk when they have lower funding liquidity risk. Moreover, during the Global Financial Crisis banks with lower funding liquidity risk took less risk. The findings of this study have implications for bank regulators advocating greater liquidity and capital requirements for banks under Basel III.     

The association between fair value measurements and banks' discretionary accounting choices

This study examines the association between fair value measurements and banks' discretionary loan loss provisions using regulatory financial data from 2009 to 2016 for a sample of U.S. public bank holding companies. I find that banks recognizing larger proportions of fair value assets and liabilities based on level 2 and level 3 inputs are associated with lower discretionary loan loss provisions. However, there is no significant association between level 1 fair value assets and liabilities and discretionary loan loss provisions. When pre-managed earnings are lower, banks with larger proportions of level 2 and level 3 fair value assets and liabilities report smaller discretionary loan loss provisions to inflate earnings. Banks reporting larger proportions of level 2 and level 3 fair value assets and liabilities are more likely to use discretionary loan loss provisions to beat earnings benchmarks and manage tier one capital ratios. Overall, the results support the proposition that fair value assets and liabilities based on level 2 and level 3 inputs are less transparent and are subject to more discretion regarding loan loss provisions.     

我国商业银行资本充足率与风险资产关系研究

资本充足率管理是商业银行风险管理的核心。本文构建了反映我国商业银行资本充足率和风险资产关系的模型,对我国商业银行资本充足率和风险资产之间的关系进行分析。结果发现:商业银行资本充足率的变化会引起资本结构的变化,从而对风险资产产生影响。风险资产的变化又会对资本充足率产生影响。商业银行资本充足率与风险资产这种相互影响的关系为商业银行风险资产管理提供了理论依据。     

论商业银行资产增长约束机制构建与资本充足率提升

我国商业银行资本充足率低且呈现不断下降的趋势,原因在于没有建立起约束资产扩张的内在机制。提高商业银行资本充足率,不能片面依赖于在资本市场扩股增资,根本出路在于建立资产增长的内在约束机制。     

Labor cost voluntary disclosures and firm equity values: Is human capital information value-relevant?

This study examines the market value relevance of labor cost voluntary disclosures using a valuation model relating firm market values to book values of equity and to disclosed human capital information, such as labor costs, net pension liabilities (NPLs), and estimated average and marginal labor productivity and efficiency indicators. Results indicate that labor cost disclosing companies command higher equity market values in general, and that labor productivity and efficiency measures appear to be undervalued. Both findings suggest that there might be market opportunities for firms with valuable human capital to differentiate themselves from their industry peers, which might encourage further human capital disclosure in the future. More refined measures of human capital assets and investments are needed to assess firms’ human resource management decisions and performance impacts in the capital markets more adequately.