We present a screening model of the risk sensitivity of bank capital regulation. A banker funds a project with uninsured deposits and costly capital. Capital resolves a moral hazard problem in the choice of the probability of default (PD). The project’s loss given default (LGD) is the banker’s private information. The regulator receives a noisy signal about the LGD and imposes a minimum capital requirement. We show that the optimal sensitivity of capital regulation is non-monotonic in the accuracy of risk assessment. If the signal is inaccurate, the regulator should use risk-insensitive capital requirements. Given sufficient accuracy, the regulator should separate types via risk-sensitive capital requirements, reducing the risk-sensitivity of bank capital as accuracy improves.

我们提出了对银行资本监管风险敏感性的筛选模型。一位银行家用没有保险的存款和昂贵的资金为一个项目提供资金。资本解决了违约概率（PD）选择中的道德风险问题。该项目的默认损失（LGD）是银行的私人信息。监管机构收到有关LGD的嘈杂信号，并规定了最低资本要求。我们表明，在风险评估的准确性上，资本监管的最佳敏感性是非单调的。如果信号不准确，监管机构应使用对风险不敏感的资本要求。如果具有足够的准确性，监管机构应通过对风险敏感的资本要求来区分类型，从而随着准确性的提高而降低银行资本的风险敏感性。