摘要：Regulatory capital requirements represent the foundation of risk management embodied in the Basel Capital Ac cords. This paper questions the effectiveness of this approach in actually reducing the risk of financial institutions. The authors thorougly analyze a large cross-section of bank holding company data from 1993 to 2008 to determine the relationship between capital and bank risk-taking. The authors identify and use seven different dimensions of bank risk in their analysis. The paper also notes the inherent endogeneity between risk and capital and deals with the endogeneity through stochastic frontier analysis. The results support the theory that banks respond to higher capital requirements by increasing the risk in their earning asset portfolios and,to some extent,their off-balance-sheet activity. In the areas of credit risk,liquidity risk,composite risk (using two separate definitions),and using two broad?based performance measures the results show higher levels of capital are associated with higher levels of risk. This perverse result suggests that bank regulation should be thoroughly reexamined and alternative tools developed to ensure a stable financial system.
