英文标题：
《Basel III capital surcharges for G-SIBs fail to control systemic risk
and can cause pro-cyclical side effects》
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作者：
Sebastian Poledna, Olaf Bochmann and Stefan Thurner
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最新提交年份：
2016
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英文摘要：
In addition to constraining bilateral exposures of financial institutions, there are essentially two options for future financial regulation of systemic risk (SR): First, financial regulation could attempt to reduce the financial fragility of global or domestic systemically important financial institutions (G-SIBs or D-SIBs), as for instance proposed in Basel III. Second, future financial regulation could attempt strengthening the financial system as a whole. This can be achieved by re-shaping the topology of financial networks. We use an agent-based model (ABM) of a financial system and the real economy to study and compare the consequences of these two options. By conducting three \"computer experiments\" with the ABM we find that re-shaping financial networks is more effective and efficient than reducing leverage. Capital surcharges for G-SIBs can reduce SR, but must be larger than those specified in Basel III in order to have a measurable impact. This can cause a loss of efficiency. Basel III capital surcharges for G-SIBs can have pro-cyclical side effects.
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中文摘要：
除了限制金融机构的双边风险敞口外，未来对系统性风险（SR）的金融监管基本上有两种选择：第一，金融监管可以尝试降低全球或国内具有系统重要性的金融机构（G-SIB或D-SIB）的金融脆弱性，如巴塞尔协议III中提出的。第二，未来的金融监管可能会试图加强整个金融体系。这可以通过重塑金融网络的拓扑结构来实现。我们使用金融系统和实体经济的基于代理的模型（ABM）来研究和比较这两种选择的后果。通过对ABM进行三次“计算机实验”，我们发现重塑金融网络比降低杠杆更有效。全球系统重要性银行的资本附加费可以降低SR，但必须大于巴塞尔协议III中规定的附加费，才能产生可衡量的影响。这可能会导致效率下降。《巴塞尔协议III》对全球系统重要性银行的资本附加费可能会产生顺周期的副作用。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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