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：The regulatory use of banks' internal models aims at making capital requirementsmore accurate and reducing regulatory arbitrage, but may also give banks incentives tochoose their risk models strategically. Current policy answers to this problem includethe use of risk-weight oors and leverage ratios. I show that banks for which those arebinding reduce their credit supply, which drives interest rates up, invites other banksto adopt optimistic models and possibly increases aggregate risk in the banking sector.Instead, the strategic use of risk models can be avoided by imposing penalties onbanks with low risk-weights when they su er abnormal losses or bailing out defaultingbanks that truthfully reported high risk measures. If such selective bail-outs are notdesirable, second-best capital requirements still rely on internal models, but less thanin the rst-best
