Strategic Selection of Risk Models and Bank Capital Regulation
研究了银行在资本监管中策略性选择内部风险模型以进行监管套利的问题，分析了监管者如何通过审计和调整资本比率来应对，并讨论了隐藏模型问题的实证含义和政策对策。
The regulatory use of banks’ internal models makes capital requirements more risk sensitive but invites regulatory arbitrage. I develop a framework to study bank regulation with strategic selection of risk models. A bank supervisor can discourage arbitrage by auditing risk models and implements capital ratios less risk sensitive than in the first-best to reduce auditing costs. The optimal capital ratios of a national supervisor can be different from those set by supranational authorities, in which case the supervisor optimally tolerates biased models. I discuss the empirical implications of this “hidden model” problem, and policy answers such as leverage ratios and more reliance on backtesting mechanisms. The online appendix is available at https://doi.org/10.1287/mnsc.2017.2898 . This paper was accepted by Amit Seru, finance.