Risk-Adjusted-Return-On-Capital (RAROC) is a loan-pricing criterion under which a bank sets the loan term such that a certain rate of return is achieved on the regulatory capital required by the Basel regulation. Some banks calculate the amount of regulatory capital for each loan under the standardized approach (“standardized banks,” the regulatory capital is proportional to the loan amount), and others under the internal rating-based (IRB) approach (“IRB banks,” the regulatory capital is related to the Value-at-Risk of the loan). This article examines the impact of the RAROC criterion on the bank's loan-pricing decision and the retailer's inventory decision. We find that among the loan terms that satisfy the bank's RAROC criterion, the one that benefits the retailer the most requires the bank to specify an inventory advance rate in addition to the interest rate. Under this loan term, the retailer's inventory level is more sensitive to his asset level when facing an IRB bank compared to a standardized bank. An IRB (standardized) loan leads to higher profit and inventory level for retailers with high (low) asset. For retailers with medium asset, an IRB loan results in a higher retailer profit but a lower consumer welfare. Calibrated numerical study reveals that the benefit of choosing standardized banks (relative to IRB banks) can be as high as 30% for industries with severe capital constraints, volatile demands, and low profit margins, highlighting the importance for retailers to carefully choose the type of banks to borrow from. When the interest rate is capped by regulation, retailers borrowing from a standardized bank are more likely to be influenced by the interest rate cap than those borrowing from an IRB bank. Under strong empire-building incentives (the bank will offer loan terms to maximize the size of the loan), retailers with medium initial asset level shift their preference from IRB banks to standardized banks.

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风险调整后资本回报率标准下的存货融资

风险调整资本回报率 (RAROC) 是一种贷款定价标准，根据该标准，银行设定贷款期限，以便在巴塞尔法规要求的监管资本上实现一定的回报率。一些银行根据标准化法计算每笔贷款的监管资本金额（“标准化银行”，监管资本与贷款金额成正比），而另一些银行则根据内部评级（IRB）法（“IRB银行”，监管资本与贷款的风险价值相关）。本文考察了 RAROC 标准对银行贷款定价决策和零售商库存决策的影响。我们发现，在满足银行 RAROC 标准的贷款条件中，对零售商最有利的一项要求银行指定除利率外的库存预付率。在此贷款期限下，与标准化银行相比，零售商面对 IRB 银行时的库存水平对其资产水平更为敏感。IRB（标准化）贷款为高（低）资产的零售商带来更高的利润和库存水平。对于中等资产的零售商，IRB 贷款会导致更高的零售商利润，但会降低消费者福利。校准数值研究表明，对于资金紧张、需求波动和利润率低的行业，选择标准化银行（相对于 IRB 银行）的收益可高达 30%，凸显零售商谨慎选择银行类型的重要性。向银行借款。当利率受到监管限制时，从标准化银行借款的零售商比从 IRB 银行借款的零售商更容易受到利率上限的影响。在强大的帝国建设激励下（银行将提供贷款条件以最大化贷款规模），中等初始资产水平的零售商将其偏好从 IRB 银行转向标准化银行。