Ratings-Based Regulation and Systematic Risk Incentives
模型显示，当监管依赖信用评级时，低特许权价值的银行通过最小化资本并选择同评级但系统性风险最高的贷款和债券来最大化股东价值，实证证实了信用利差、评级与债务贝塔之间的关系。
Our model shows that when regulation is based on credit ratings, banks with low charter value maximize shareholder value by minimizing capital and selecting identically rated loans and bonds with the highest systematic risk. This regulatory arbitrage is possible if the credit spreads on same-rated loans and bonds are greater when their systematic risk (debt beta) is higher. We empirically confirm this relationship between credit spreads, ratings, and debt betas. We also show that banks with lower capital select syndicated loans with higher debt betas and credit spreads. Banks with lower charter value choose overall assets with higher systematic risk.Received July 27, 2016; editorial decision May 29, 2018 by Editor Itay Goldstein.