Теневой банковский сектор при регулировании капитала и режиме ПВР

Известия Дальневосточного федерального университета. Экономика и управление. 2020. Т. 4. № 96. С. 113–128.

Ermolova M. D.

The article discusses the mechanism of risk shifting in the presence of information asymmetry. The model is based on (Ordonez, 2018). Due to the asymmetry of information, the regulator cannot differentiate bank assets by the risk level, and therefore cannot guarantee (in particular, to investors) an adequate risk level of banks such that is sufficient to cover losses by capital in the event of stress. As a result, the regulator designs a policy that prohibits investments in any risky assets. This leads to the fact that banks transfer their activities outside the control of the regulator. It is defined as shadow banking. Information asymmetry leads to not optimal decisions. In particular, banks cannot invest in superior assets, despite the fact that these assets generally have an acceptable risk level. (Ordonez, 2018) proposed reducing the problem of asymmetry by maintaining subsidies, in which banks in shadow banking must pay fees for their choice to operate outside of regulation. This article suggests another method for reducing the volume of shadow banking. This method involves the introduction of IRB, namely a differentiated calculation of the risk level for each asset individually based on internal models of banks that meet the requirements of the regulator. Due to a more differentiated risk assessment, constant validation of models and detailed reporting, the regulator will be able to control investments in superior assets and thereby reduce banks’ entry into shadow banking. The paper notes the impact of the capital requirements on the volume of shadow banking. The modification of the model (Ordonez, 2018) by adding IRB mode and introducing banks’ calculation and compliance with capital requirements allowed to find the boundary levels of the capital adequacy ratio at which banks charge their strategy in favour of shadow banking.

Keywords: благосостояние общества, подход на основе внутренних рейтингов, welfare, shadow banking, capital regulation, internal ratings-based approach, теневой банкинг, регулирование капитала

Publication based on the results of: Decision making and data analysis in socio-economic and political systems (2020)