The Strategic Underreporting of Bank Risk
研究发现银行在股权资本较低时会显著低报交易账簿风险，尤其是在系统性风险高企时期和交易业务较大的银行中，低报行为更频繁，导致自报风险指标在最需要时最不具信息量。
We show that banks significantly underreport the risk in their trading book when they have lower equity capital. Specifically, a decrease in a bank’s equity capital results in substantially more violations of its self-reported risk levels in the following quarter. Underreporting is especially frequent during the critical periods of high systemic risk and for banks with larger trading operations. We exploit a discontinuity in the expected benefit of underreporting present in Basel regulations to provide further support for a causal link between capital-saving incentives and underreporting. Overall, we show that banks’ self-reported risk measures become least informative precisely when they matter the most. Received April 30, 2015; editorial decision October, 27 2016 by Editor Itay Goldstein.