监管资本让银行更安全了吗?游戏中的皮肤vs道德风险

PSN: Markets & Investment (Topic) Pub Date : 2019-05-01 DOI:10.2139/ssrn.3332501

Ernest Dautović

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引用次数: 18

摘要

本文评估了宏观审慎资本监管对银行资本、风险承担行为和偿付能力的影响。这种识别依赖于欧洲具有系统重要性的银行的银行级资本要求的外生政策变化。资本要求提高1个百分点，CET1资本水平平均提高13%，提高了他们的损失吸收能力。

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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Has Regulatory Capital Made Banks Safer? Skin in the Game vs Moral Hazard

The paper evaluates the impact of macroprudential capital regulation on bank capital, risk taking behaviour, and solvency. The identication relies on an exogenous policy change in bank-level capital requirements across systemically important banks in Europe. A one percentage point hike in capital requirements leads to anaverage CET1 capital level increase of 13 percent improving their loss absorption capacity.

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PSN: Markets & Investment (Topic)

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