超越普通股:次级资本对银行破产风险的影响

T. Conlon, J. Cotter, P. Molyneux
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引用次数: 19

摘要

银行必须遵守严格的监管资本持有数量的规定,但在资本构成方面有一定的灵活性。在本文中,我们检验了银行破产(违约距离)是否对除普通股以外的资本敏感,以上市的北美和欧洲银行为样本。将一级资本分解为有形权益和非核心部分,揭示了一系列迄今尚未确定的与破产风险的非线性联系。我们评估了约束性资本要求的影响,发现低监管资本缓冲与持有大量非核心一级和二级资本的银行破产风险增加有关。当资本相对于有形资产或总监管资本计价时,破产与资本之间的联系很明显,但当相对于风险加权资产定义时,这种联系就被消除了。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Beyond Common Equity: The Influence of Secondary Capital on Bank Insolvency Risk
Banks must adhere to strict rules regarding the quantity of regulatory capital held but have some flexibility as to its composition. In this paper, we examine if bank insolvency (distance to default) is sensitive to capital other than common equity for a sample of listed North American and European banks. Decomposing tier 1 capital into tangible equity and non-core components reveals a series of heretofore unidentified non-linear links with insolvency risk. We assess the influence of binding capital requirements, finding that low regulatory capital buffers are associated with increased insolvency risk for banks holding greater quantities of non-core tier 1 and tier 2 capital. The links between insolvency and capital, evident when the latter is denominated relative to tangible assets or total regulatory capital, are found to be expunged when defined relative to risk-weighted assets.
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