Regulatory Capital and Incentives for Risk Model Choice under Basel 3*
研究了巴塞尔3监管框架如何影响银行选择风险管理模型，发现最小化监管资本的模型虽能稳定资本要求，但通常被拒绝为正确设定且预测风险指标较差。
Abstract In response to the Subprime mortgage crisis, the Basel Committee on Banking Supervision (BCBS) has spent the previous decade overhauling the regulatory framework that governs how banks calculate minimum capital requirements. In 2019, the BCBS finalized the Basel 3 regulatory regime, which changes the regulatory measure of market risk and adds new complex calculations based on liquidity and risk factors. This article is motivated by these changes and seeks to answer the question of how regulation affects banks’ choice of risk-management models, whether it incentivizes them to use correctly specified models, and if it results in more stable capital requirements. Our results show that, although the models that minimize regulatory capital for a representative bank portfolio also result in the most stable requirements, these models are generally rejected as being correctly specified and tend to produce inferior forecasts of the regulatory risk measures.