Abstract

Distinguishing between risk and uncertainty, this article draws on the psychological literature on heuristics to consider whether and when simpler approaches may outperform more complex methods for modeling and regulating the financial system. We find that: simple methods can sometimes dominate more complex modeling approaches for calculating banks’ capital requirements, especially when data are limited or underlying risks are fat-tailed; simple indicators often outperformed more complex metrics in predicting individual bank failure during the global financial crisis; when combining different indicators to predict bank failure, simple and easy-to-communicate “fast-and-frugal” decision trees can perform comparably to standard, but more information-intensive, regressions. Taken together, our analyses suggest that because financial systems are better characterized by uncertainty than by risk, simpler approaches to modeling and regulating financial systems can usefully complement more complex ones and ultimately contribute to a safer financial system.

中文翻译：

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认真对待不确定性：金融监管的简单性与复杂性

摘要

区分风险和不确定性，本文借鉴有关启发式的心理学文献，考虑在金融系统建模和监管方面，更简单的方法是否以及何时可能优于更复杂的方法。我们发现： 在计算银行资本要求时，简单的方法有时可以支配更复杂的建模方法，尤其是在数据有限或潜在风险为肥尾的情况下；在全球金融危机期间，简单指标在预测个别银行倒闭方面的表现往往优于更复杂的指标；当结合不同的指标来预测银行倒闭时，简单且易于沟通的“快速而节俭”的决策树可以与标准但信息密集型的回归相媲美。综合起来，