Level 3 Assets: Booking Profits and Concealing Losses
研究银行如何通过暂停交易三级资产来虚增账面价值、规避市值重估，并分析监管工具（罚款、资本要求、审计）对银行风险承担和报表操纵的影响。
Fair value accounting forces institutions to revalue inventory whenever a transaction occurs. An institution that faces a balance sheet constraint may have incentives to suspend trading in Level 3 assets (traded on opaque over-the-counter markets) in order to avoid such marking-to-market. This keeps the book valuation artificially high, relaxing the balance sheet constraint. But, the institution loses direct control of the risk of its position. Solving this "real options" problem, the institution will report profits as they occur but delay reporting losses. A regulator trying to control risk imposes fines for balance sheet manipulation and capital requirements. Both these tools can increase risk-taking and balance sheet manipulation. Audits in comparision generally decrease risk-taking but may be costly to the regulator. The model provides predictions on the distribution of a bank's trading gains in illiquid markets. The Author 2011. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.