Maintaining Adequate Bank Capital
指出巴塞尔框架基于账面比率的资本充足定义存在缺陷，银行偿付能力实际取决于市场价值，短期负债持有者的挤兑可导致大银行倒闭，而监管未能有效维持最低风险承担能力。
The Basel framework has produced complex definitions of “adequate” capital, expressed in terms of book (accounting) ratios. However, solvency actually depends not on accounting ratios but on private investors’ valuation of the firm’s assets’ and liabilities’ market values. At large banking firms, short-term liability-holders key off the firm’s economic solvency when deciding whether to renew their claims. Runs can cause a large bank’s failure regardless of its book capital ratio. Yet supervisors have been largely unable to maintain minimum risk-bearing capacity at large institutions. Actual default probabilities have often exceeded the 0.1% annual rate to which Basel II was calibrated. Over the past 25 years, the median probability of failure (PD) was 0.55%, with some large banks substantially higher. The value of conjectural guarantees has averaged 11.41% of the largest 25 U.S. BHCs’ equity value. I conclude by discussing the extent to which orderly resolution or contingent capital bonds might improve supervisory oversight.