Do Financial Regulations Shape the Functioning of Financial Institutions’ Risk Management in Asset-Backed Securities Investment?
研究了金融监管如何影响金融机构风险管理的实际效果，发现仅加强风险管理不足以约束机构对资产支持证券等潜在风险资产的投资，监管规则（如市值报告与资本要求的组合）会显著影响风险管理的约束力。
Abstract We show that installing stronger risk management into financial institutions—a proposal widely discussed following the 2008 financial crisis—is insufficient to constrain institutions’ exposure to investment with lurking risk, such as asset-backed securities (ABS). Regulations affect the functioning of risk management: risk management constrains institutions’ exposure to risky ABS when they face mark-to-market reporting combined with capital requirements; however, this role is considerably weaker when capital requirements are combined with historical cost accounting. We find suggestive evidence that financial regulations affect risk management functions through promoting risk managers’ efforts in uncovering ABS risk and curbing executives’ incentives to take excessive risk. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.