文章基本信息

标题：The limits of model-based regulation
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作者：Markus Behn ; Rainer Haselmann ; Vikrant Vig 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：In this paper, we investigate how the introduction of sophisticated, model-based capital regulationaffected the measurement of credit risk by financial institutions. Model-based regulationwas meant to enhance the stability of the financial sector by making capital charges more sensitiveto risk. Exploiting the introduction of the model-based approach in Germany and therichness of our loan-level data set, we show that (1) internal risk estimates employed for regulatorypurposes systematically underpredict actual default rates by 0.5 to 1 percentage points; (2)both default rates and loss rates are higher for loans that were originated under the model-basedapproach, while corresponding risk-weights are significantly lower; and (3) interest rates arehigher for loans originated under the model-based approach, suggesting that banks were awareof the higher risk associated with these loans and priced them accordingly. Counter to the statedobjective of the reform, financial institutions have lower capital charges and at the same timeexperience higher loan losses. Further, we document that large banks benefited from the reformas they experienced a reduction in capital charges and consequently expanded their lending at theexpense of smaller banks that did not introduce the model-based approach. Overall, our resultshighlight that if the challenges that accompanies complex regulation are too high simpler rulesmay increase the efficacy of financial regulation
关键词：capital regulation; internal ratings; complexity of regulation; Basel regulation