Design of Risk Weights

P. Glasserman, Wanmo Kang
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引用次数: 19

Abstract

Banking regulations set minimum levels of capital for banks. These requirements are generally formulated through a ratio of capital to risk-weighted assets. A risk-weighting scheme assigns a weight to each asset or category of assets and effectively functions as a linear constraint on a bank's portfolio choice; it also changes the incentives for banks to hold various kinds of assets. In this paper, we investigate the design of risk weights to align regulatory and private objectives in a simple mean-variance framework for portfolio selection. By setting risk weights proportional to profitability rather than risk, the regulator can induce a bank to reduce its overall level of risk without distorting its asset mix. Because the regulator is unlikely to know the true profitability of assets, we introduce an adaptive formulation in which the regulator sets weights by observing a bank's portfolio. The adaptive scheme converges to the same combination of weights and portfolio choice that would hold if the regulator knew the asset profitability. We also investigate other objectives, including steering banks to a target mix of assets, adding robustness, mitigating procyclicality, and reducing system-wide risk in a setting with multiple heterogeneous banks.
风险权重的设计
银行业监管规定了银行的最低资本水平。这些要求通常是通过资本与风险加权资产的比率来制定的。风险加权方案为每项资产或资产类别分配权重,并有效地对银行的投资组合选择起到线性约束作用;它还改变了银行持有各种资产的动机。在本文中,我们研究了风险权重的设计,以在一个简单的均值-方差框架中调整投资组合选择的监管和私人目标。通过设定与盈利能力(而非风险)成正比的风险权重,监管机构可以促使银行在不扭曲其资产组合的情况下降低其整体风险水平。由于监管机构不太可能知道资产的真实盈利能力,我们引入了一个自适应公式,其中监管机构通过观察银行的投资组合来设定权重。如果监管机构知道资产的盈利能力,自适应方案将收敛于相同的权重和投资组合选择组合。我们还研究了其他目标,包括将银行引导到目标资产组合,增加稳健性,减轻顺周期性,以及在多个异构银行的环境中降低系统风险。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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