On Regulatory Capital Arbitrage and International Financial Crisis
研究了银行通过资产证券化进行监管资本套利的两种模式，指出这些操作将大部分风险留在银行内部，美国楼市下跌时风险暴露导致银行巨额损失，对资本监管和公司治理提出改进建议。
Regulatory capital arbitrage refers to the behaviors that banks evade capital regulation and make cos- metic adjustments to boost their reported capital ratios, which result from saving of regulatory tax; the gap be- tween economic capital and regulatory capital. The operation tactics can be classified into cherry-picking, direct credit enhancement and indirect credit enhancement in asset securitization. Banks whereas, transform them into two models: holding securitization products and offering SPVs with liquidity backup, which retain most risk of underlying assets in banks. When the housing market in the US became declined, these risks began to realize and led to the substantial loss in banks. As far as the policy measurements are concerned, some improvements should be made in capital regulation and corporate governance.