文章基本信息

标题：Capital Regulation and Tail Risk
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作者：Enrico Perotti ; Lev Ratnovski ; Razvan Vlahu 等
期刊名称：International Journal of Central Banking
印刷版ISSN：1815-4654
出版年度：2011
卷号：2011
期号：04
出版社：IJCB Publications Fulfillment
摘要：The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk taking driven by limited liability. Moreover, higher capital may have an unintended effect of enabling banks to take more tail risk without the fear of breaching the minimal capital ratio in non-tail risky project realizations. The results are consistent with stylized facts about pre-crisis bank behavior, and suggest implications for the optimal design of capital regulation.