Abstract

In response to the Subprime mortgage crisis, the Basel Committee on Banking Supervision (BCBS) has spent the previous decade overhauling the regulatory framework that governs how banks calculate minimum capital requirements. In 2019, the BCBS finalized the Basel 3 regulatory regime, which changes the regulatory measure of market risk and adds new complex calculations based on liquidity and risk factors. This article is motivated by these changes and seeks to answer the question of how regulation affects banks’ choice of risk-management models, whether it incentivizes them to use correctly specified models, and if it results in more stable capital requirements. Our results show that, although the models that minimize regulatory capital for a representative bank portfolio also result in the most stable requirements, these models are generally rejected as being correctly specified and tend to produce inferior forecasts of the regulatory risk measures.

中文翻译：

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巴塞尔协议3下的监管资本和风险模型选择的激励措施*

摘要

为了应对次贷危机，巴塞尔银行监管委员会（BCBS）在过去十年中对监管银行如何计算最低资本要求的监管框架进行了全面改革。BCBS在2019年最终确定了《巴塞尔协议3》的监管制度，该制度改变了市场风险的监管措施，并根据流动性和风险因素增加了新的复杂计算方法。本文受到这些变化的激励，并试图回答以下问题：监管如何影响银行的风险管理模型选择，是否激励他们使用正确指定的模型以及是否导致更稳定的资本要求。我们的结果表明，尽管将代表银行资产组合的监管资本降至最低的模型也能带来最稳定的要求，