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Improving regulatory capital allocation: a case for the internal ratings-based approach for retail credit risk exposures
Journal of Financial Regulation and Compliance Pub Date : 2021-05-28 , DOI: 10.1108/jfrc-08-2020-0076
Robert Stewart

Purpose

The purpose of this study is to demonstrate that the internal ratings-based (IRB) approach provides more effective risk discrimination than the standardized approach when calculating regulatory capital for retail credit risk exposures.

Design/methodology/approach

The author uses four retail credit data sets to compare regulatory capital appropriation using the IRB approach and the standardized approach. The author follows the regulatory capital calculation method recommended under Basel III. For the IRB approach, the author uses a logistic regression to determine the probability of default.

Findings

The results suggest that the IRB approach provides more effective risk discrimination across individual exposures, which allows more regulatory capital to be held against riskier exposures and less regulatory capital to be held against less risky exposures. The author further argues that the Basel III output floor, as presently constructed, may disincentivize the use of the IRB approach and further diminish the value of secured lending under the IRB approach. To address this issue, the author offers two simple adjustments to the current design of the output floor.

Originality/value

While studies have argued the idea of risk-sensitive regulatory capital, the author has not observed any research that empirically compares the risk-sensitivity of regulatory capital across retail credit exposures, which makes up a significant portion of many banks’ credit exposures. This study also highlights what appears to be a major point of concern for the output floor, which is set to be phased in starting January 2022. This is of particular value because this point has not appeared to receive any attention in the literature thus far.



中文翻译:

改善监管资本配置:零售信用风险敞口基于内部评级的方法的案例

目的

本研究的目的是证明在计算零售信用风险敞口的监管资本时,基于内部评级 (IRB) 的方法比标准化方法提供了更有效的风险识别。

设计/方法/方法

作者使用四个零售信贷数据集来比较使用 IRB 方法和标准化方法的监管资本拨款。作者遵循巴塞尔协议III推荐的监管资本计算方法。对于 IRB 方法,作者使用逻辑回归来确定违约概率。

发现

结果表明,IRB 方法对各个风险敞口提供了更有效的风险区分,这允许针对风险较高的敞口持有更多监管资本,而针对风险较低的敞口持有较少监管资本。作者进一步认为,目前构建的巴塞尔协议 III 产出底线可能会抑制 IRB 方法的使用,并进一步降低 IRB 方法下担保贷款的价值。为了解决这个问题,作者对当前输出层的设计提供了两个简单的调整。

原创性/价值

虽然研究已经论证了风险​​敏感监管资本的概念,但作者没有观察到任何研究对零售信贷敞口中监管资本的风险敏感度进行实证比较,零售信贷敞口占许多银行信贷敞口的很大一部分。这项研究还强调了输出底线的一个主要关注点,该底线定于 2022 年 1 月开始分阶段进行。这一点特别有价值,因为迄今为止这一点似乎并未在文献中受到任何关注。

更新日期:2021-07-14
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