Rethinking the Use of Credit Ratings in Capital Regulations: Evidence From the Insurance Industry
研究了保险监管机构用第三方预期信用损失估计替代信用评级来改革抵押贷款支持证券资本监管的效果，发现新规减少了保险公司抛售困境资产和外部融资，但促使它们购买更多低评级证券以节省资本。
Abstract We analyze an initiative by insurance regulators to reform capital regulations for mortgage-backed securities (MBS) by replacing credit ratings with third-party estimates of expected credit losses and by considering an insurer’s exposure to future losses when determining regulatory capital. After implementation, insurers are less likely to sell distressed MBS, gains trade corporate bonds, and/or raise external financing. However, the new regime allows insurers to purchase more low-rated MBS at significant capital savings and insurers with greater capital savings are more likely to do so. Our analysis highlights the potential costs and benefits of an alternative methodology for determining regulatory capital. JEL (G11, G18, G22, G28, G32, G38). Received May 6, 2019; editorial decision April 4, 2020 by Editor Andrew Ellul.