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30 September 2016

BIS(国際決済銀行)、レバレッジ比率とリスク・ウェイト資本要件に関するワーキング・ペーパーを公表


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This paper seeks an answer to how does the leverage ratio behave over the cycle compared with the RWA ratio; what are the costs and the benefits of introducing a leverage ratio; and what can be learned about the behavior of the two ratios in the long run and their optimal calibration.


The main benefit of bank capital requirements is to make the financial system more resilient, reducing the probability of banking crises and their associated output losses.

However, the global financial crisis has highlighted the limitations of risk-sensitive bank capital ratios (regulatory capital divided by risk-weighted assets). Despite numerous refinements and revisions over the last two decades, the weights applied to asset categories seem to not have been able to fully reflect banks portfolio risk.

To tackle this problem, the Basel III regulatory framework has introduced a minimum leverage ratio, defined as a bank’s Tier 1 capital over an exposure measure, which is independent of risk assessment.

To this end, authors have used a medium sized DSGE model that features a banking sector, financial frictions, and economic agents with differing degrees of creditworthiness as a means of evaluating the regulators problem.

In particular, they built on the model by Angelini et al. (2014), augmenting it in two ways. First, they introduce a leverage ratio, independent of risk assessment, whose deviation from the minimum requirements produces additional capital adjustment costs. Second, they allow the risk weights on lending to households and non-financial firms to be different in the steady state.

This modification allows them to mimic the real characteristics of the evolution of bank-risk-setting behavior and to generate different interest rates for the two classes of loans.

The main results are the following:

  • The leverage ratio acts as a backstop to the risk-sensitive capital requirement: it is a tight constraint during a boom and a soft constraint in a bust;
  • the net benefits of introducing the leverage ratio could be substantial;
  • the steady state value of the regulatory minima for the two ratios strongly depends on the riskiness and the composition of bank lending portfolios.

Full working paper



© BIS - Bank for International Settlements


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