Model Secrecy and Stress Tests
研究监管机构是否应公开压力测试模型，发现保密虽防操纵但导致银行对优质资产投资不足，适度披露可缓解此问题，并给出最优披露规则。
ABSTRACT Should regulators reveal the models they use to stress‐test banks? In our setting, revealing leads to gaming, but secrecy can induce banks to underinvest in socially desirable assets for fear of failing the test. We show that although the regulator can solve this underinvestment problem by making the test easier, some disclosure may still be optimal (e.g., if banks have high appetite for risk or if capital shortfalls are not very costly). Cutoff rules are optimal within monotone disclosure rules, but more generally optimal disclosure is single‐peaked. We discuss policy implications and offer applications beyond stress tests.