银行的监管风险承受能力（英）

by Mikael Juselius, Aurea Ponte Marques and NikolaTarashev Monetary and Economic Department September 2025 JEL classification: G21, G28, E51, G31Keywords: capital management, management buffer BISWorking Papers are written by members of the Monetary and EconomicDepartment of the Bank for International Settlements, and from time to time by othereconomists, and are published by the Bank. The papers are on subjects of topical This publication is available on the BIS website (www.bis.org). ©Bank for International Settlements 2025. All rights reserved. Brief excerpts may be Banks’ regulatory risk tolerance Mikael Juselius† Abstract In managing their capital, banks balance the risk of breaching regulatory requirements against the costof maintaining and speedily restoring “management” buffers. Using 68 quarters of data on 17 US and 17euro-area banks, we find systematic reductions in steady-state management buffer targets and attendantrises in regulatory risk tolerance (RRT) following the Great Financial Crisis (GFC). This phenomenon is Keywords:Capital management, Management buffer target, Speed of reversion, Regulatory regimesJEL Codes:G21, G28, E51, G31 1Introduction Through several regulatory regimes, banks have consistently operated with management buffers (MBs) –defined as the headroom in regulatory capital ratios above the corresponding requirements.Importantly,the implications of a regulatory breach have differed across the regimes. Under Basel I and II — in placebefore the Great Financial Crisis (GFC) — a marginal breach entailed violating regulatory minima and couldtherefore trigger severe, or “terminal” penalties. Such penalties could involve a withdrawal of the bankinglicense or a declaration of failure, allowing supervisors to seize the bank’s loss-absorbing resources to ensure Hence the interest in the macroeconomic importance of MBs.For instance, Aiyar et al. (2016) findthat increases in capital requirements, which reduce the MB all else equal, depress credit supply.Similarfindings are reported by Thakor (1996), Peek and Rosengren (1997), and Gambacorta and Mistrulli (2004).Consistent with these studies, Gambacorta and Shin (2018) find that banks with higher MB support creditgrowth as they face lower funding costs.Likewise, Carlson et al. (2013), Berrospide et al. (2021), ECB Contribution.We deepen the analysis of bank capital management in four key ways.First, we seekevidence of clearly defined capital-management strategies by drawing on long time series of bank capitalrequirements and balance-sheet ratios. These data cover several regulatory regimes and both US and euro- area banks – including the latter’s non-public requirements.Second, as a new summary metric of capitalmanagement, we introduce “regulatory risk tolerance” (RRT), which combines estimates of asteady-state management buffer target (MBT),2the speed of reversion to that target3and the volatility of MB shocks.And we study the extent to which RRT differs across individual banks and between groups of banks basedon nationality, size, business model, riskiness and performance.Third, we study whether the overhaul ofinternational regulatory standards after the GFC — which tightened capital requirements and introduced The RRT components relate directly to banks’ trade-off between (i) the cost of maintaining a persistentlyrobust capital position; and (ii) the cost of breaching regulatory requirements.Banks could perceive the preserving actions that potentially destroy shareholder value — such as cutting shareholders payouts, raisingcapital externally, or lowering risk-weighted assets.These costs increase with the MBT and the speed ofreversion but decline if banks do not seek to endogenously counteract exogenous drivers of MB shocks. In To capture how banks handle this trade-off, our RRT metric is equal to the MB shortfall (or excess) thata typical one-time shock generates relative to the MBT over a given horizon. The metric increases with thevolatility of MB shocks and decreases with the MBT and the speed of MB reversion. At time horizon zero,the RRT reveals the share of the MBT that e.g.a one standard-deviation negative MB shock wipes out Empirical approach and findings.Long time series are of great importance in studying the MB’sevolution. Conditional on having identified a period with a single steady state, longer time series are morelikely to reveal mean reversion of the MB, if present.In turn, detectable mean reversion of the MB is a Focusing separately on two periods that correspond to distinct regulatory regimes, we express the MB interms of the highest quality regulatory capital relative to risk-weighted assets (RWA) and robustly estimatea partial adjustment model of the MB. The first period covers 34 pre-GFC quarters – corresponding to the Basel I and II regulatory standards, which did not differ in terms of the level of capital requirements andthe attendant definition of capital. The second period covers 34 post