An Acedemic Response to Basel II.pdf

《An Acedemic Response to Basel II.pdf》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

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