文章基本信息

标题：Dynamic Loss Probabilities and Implications for Financial Regulation
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作者：Brennan, Thomas J. ; Lo, Andrew W.
期刊名称：Yale Journal on Regulation
印刷版ISSN：0741-9457
出版年度：2014
卷号：31
期号：3
页码：5
出版社：Yale Law School
摘要：Much of financial regulation and supervision is devoted to ensuring the safety and soundness of financial institutions. Such micro- and macro-prudential policies are almost always formulated as capital requirements, leverage constraints, and other statutory restrictions designed to limit the probability of extreme financial loss to some small but acceptable threshold. However, if the risks of a financial institution's assets vary over time and across circumstances, then the efficacy of financial regulations necessarily varies in lockstep unless the regulations are adaptive. We illustrate this principle with empirical examples drawn from the financial industry, and show how the interaction of certain regulations with dynamic loss probabilities can have the unintended consequence of amplifying financial losses. We propose an ambitious research agenda in which legal scholars and financial economists collaborate to develop optimally adaptive regulations that anticipate the endogeneity of risk-taking behavior.