Journal of International Money and Finance ( IF 2.762 ) Pub Date : 2021-04-27 , DOI: 10.1016/j.jimonfin.2021.102411 Cai Liu
By using a novel dataset on bank-level exposures to specific countries, I investigate how model-based capital regulations can be misused by European banks for capital saving purposes during the Eurozone sovereign debt crisis. I find that relative to banks from core countries, banks from peripheral countries (1) could greatly reduce the risk-weight of their assets in capital requirement calculations by applying more model-based capital rules, and (2) that the default frequency of their assets is not properly reflected in their capital requirement calculations. These results indicate that banks from peripheral countries are more likely to conduct regulatory arbitrage against model-based capital rules
中文翻译:
IRB模型,银行监管套利和欧元区危机
通过使用关于特定国家/地区银行级别风险敞口的新颖数据集,我研究了欧洲银行如何在欧元区主权债务危机期间将基于模型的资本法规滥用以节省资本。我发现相对于核心国家的银行,外围国家的银行(1)通过应用更多基于模型的资本规则,可以在资本要求计算中极大地降低其资产的风险权重;以及(2)资产未正确反映在其资本要求计算中。这些结果表明,来自外围国家的银行更有可能针对基于模型的资本规则进行监管套利