期刊名称：Bank of Finland Research Discussion Papers (früher: Bank of Finland Discussion Papers)
印刷版ISSN：0785-3572
电子版ISSN：1456-6184
出版年度：2013
卷号：2013
出版社：Suomen Pankki = Bank of Finland
摘要：The aim of the Internal Ratings Based Approach (IRBA) of Basel II was that capital su¢ ces for unexpected losses with at least a 99.9% probability. However, because only a fraction of the required regulatory capital (a quarter to a half) had to be loss absorbing capital, the actual bank solvency probabilities may have been much lower, as the global nancial crisis illustrates. Our estimates suggest that under Basel II IRBA the loss-absorbing capital of an average-quality portfolio bank su¢ ces for unexpected losses with a 95%-99% probability. This translates into an expected bank failure rate as high as once in twenty years. Even if the banks interest income is incorporated into our model, the expected failure rate is still substantial. We show that the expected failure rate increases with loan portfolio riskiness. Our calculations may be viewed as a measure of regulatory "self-delusion" included in Basel II capital requirements.
关键词：capital requirements; Internal Ratings Based Approach; Basel II; nancial crisis
