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1、AnAcademicResponsetoBaselIIByJÛnDanÌelsson,PaulEmbrechts,CharlesGoodhart,ConKeating,FelixMuennich,OlivierRenaultandHyunSongShinSPECIALPAPERNO130LSEFinancialMarketsGroupanESRCResearchCentreSpecialPaperSeriesMay2001ISSN1359-9151-130*SubmittedinResponsetotheBaselCommitteeforBankingSupervisionísReq
2、uestforCommentsby+Dr.JÛnDanÌelsson(LSE/FMG)Prof.PaulEmbrechts(ETHZ)Prof.CharlesGoodhart(LSE/FMG)ConKeating(FinanceDevelopmentCentre)FelixMuennich(LSE/FMG)Dr.OlivierRenault(LSE/FMG)Prof.HyunSongShin(LSE/FMG/CEP)May31,2001*Theviewsexpressedinthisresponsedonotnecessarilyreflectthoseofanyofthewider
3、groupswithwhichtheauthorsareassociatedandareineachcasepersonalviews.+CorrespondingAuthor:JÛnDanÌelsson,LondonSchoolofEconomics,LondonWC2A2AE,UK;Tel.+44-207-955-6056;e-mail:j.danielsson@lse.ac.uk;www.riskresearch.orgAnAcademicResponsetoBaselIIExecutiveSummaryItisourviewthattheBaselCommitteeforBa
4、nkingSupervision,initsBaselIIproposals,hasfailedtoaddressmanyofthekeydeficienciesoftheglobalfinancialregulatorysystemandevencreatedthepotentialfornewsourcesofinstability.Inthisdocumentwepresentthefollowingarguments:·Theproposedregulationsfailtoconsiderthefactthatriskisendogenous.Value-at-Riskca
5、ndestabiliseaneconomyandinducecrasheswhentheywouldnototherwiseoccur.·Statisticalmodelsusedforforecastingriskhavebeenproventogiveinconsistentandbiasedforecasts,notablyunder-estimatingthejointdownsideriskofdifferentassets.TheBaselCommitteehaschosenpoorqualitymeasuresofriskwhenbetterriskmeasuresar
6、eavailable.·Heavyrelianceoncreditratingagenciesforthestandardapproachtocreditriskismisguidedastheyhavebeenshowntoprovideconflictingandinconsistentforecastsofindividualclients'creditworthiness.Theyareunregulatedandthequalityoftheirriskestimatesislargelyunobservable.·Operationalriskmodellingisnot
7、possiblegivencurrentdatabasesandtechnologyevenifameaningfuldefinitionofthisriskweretobeprovidedbyBasel.Noconvincingargumentfortheneedofregulationinthisareahasyetbeenmade.·Financialregulationisinherentlyprocyclical.Ourviewisthatthi
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