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：2014
出版社：European Central Bank
摘要：Basel III has introduced a non-risk-weighted leverage ratio requirement (LRR)which complements the internal ratings based (IRB) capital requirements. Itprovides a backstop against model risk which arises if some loans get incorrectlyrated and become toxic. We study the e¤ects of the LRR on lending strategiesand its implications for banksstability. We show that the LRR might inducebanks with low-risk lending strategies to diversify their portfolios into high-riskloans until the LRR is no longer the binding capital constraint on them. Ifthe LRR is lower than the average banks IRB requirement, the aggregate cap-ital costs of banks do not increase. However, because the diversi cation makesbanksportfolios more alike the banking sector as a whole may become moreexposed to model risk in each loan category. This may undermine banking sec-tor stability. On balance, our calibrated model motivates a signi cantly higherLRR than the current one.
关键词：Bank regulation; Basel III; capital requirements; credit risk; leverage;ratio
