ELPR: A New Measure of Capital Adequacy for Commercial Banks
提出了一个基于会计的贷款组合风险变量，并构建了股权与贷款组合风险比率（ELPR），发现该比率能提前五年预测银行倒闭，且对市场压力下的资本成本有解释力，弥补了当前巴塞尔风险加权资产计算的不足。
ABSTRACT We develop and evaluate an accounting-based Loan Portfolio Risk (LPR) variable that captures time-varying contagion effects in default risk for a portfolio of bank loans. Our results show that an Equity-to-LPR ratio (ELPR) is additive in predicting bank failure up to five years in advance, after controlling for all the capital adequacy, asset quality, management experience, earnings, liquidity, and sensitivity to market risks (CAMELS) variables as well as other fundamental-based bank risk measures from prior studies. Further, we find that publicly listed banks with higher ELPR have lower market-implied costs of capital, especially under market stress conditions. We conclude that ELPR captures key aspects of bank risk that are missing in current Basel Committee risk-weighted-asset calculations. JEL Classifications: E32; G14; G21; K23; M41; M48.