ABSTRACT

The issue of banks’ loss-absorbing capacity (LAC) has been extensively discussed in recent years. That debate was triggered by the idea of a “bail in”: the use of certain bank’s liabilities to cover losses and recapitalization when it is failing or likely to fail. The objective of this article is to determine the volume of a bank’s equity and liabilities available for bail in that would ensure a feasible resolution. To determine that amount, we propose a general quantitative model, considering that the troubled bank must cover its losses (in any resolution path) and restore both its equity and LAC (in the event of recapitalization). One novelty of our approach is that it accounts for the decline in a bank’s size as a result of the resolution process and the time-varying regulatory regime (capital requirements). The approach presented in this article makes it possible to determine the amount of LAC required as well as the importance of capital constraints and buffers, which might play a key role in determining the best resolution path. The calculations based on the model under Basel II and Basel III regimes confirm the importance of the time-varying capital buffers to enhance bank resilience. However, if the losses are large, other regulatory actions are required to increase bank LAC.

摘要

近年来，银行的损失吸收能力（LAC）问题引起了广泛的讨论。这场辩论是由“救助”的想法引发的：当银行倒闭或可能倒闭时，使用某些银行的负债来弥补损失和资本重组。本文的目的是确定银行可供保释的股本和负债的数量，以确保可行的解决方案。为了确定该金额，我们提出了一个通用的量化模型，考虑到陷入困境的银行必须弥补其损失（在任何解决途径中）并恢复其股权和 LAC（在资本重组的情况下）。我们的方法的一个新颖之处在于，它解释了由于决议过程和随时间变化的监管制度（资本要求）而导致的银行规模下降。本文中介绍的方法可以确定所需的 LAC 数量以及资本约束和缓冲的重要性，这可能在确定最佳解决路径方面发挥关键作用。根据巴塞尔协议 II 和巴塞尔协议 III 制度下的模型进行的计算证实了随时间变化的资本缓冲对于增强银行弹性的重要性。但是，如果损失较大，则需要采取其他监管措施来增加银行 LAC。