یک رویکرد مبتنی بر ریسک مبتنی بر مفهوم مالی یکپارچه به نیاز سرمایه استرس

In order to fulfill the stressed minimum capital requirement recently implemented by the Basel III Accord, this paper proposes a risk-based approach to integrate the change of macro-financial environments in which financial institutions operate into the modeling of the new required capital charge. Particularly, using a variety of regime-switching models, I characterize the stressed minimum capital requirement from high risk regimes which are associated with economic recessions and crises. The empirical results show that the proposed approach leads to capital charges 2–3 times higher than those estimated under Basel II Accord, so as to discourage excessive risk taking and hence stabilizing banks' balance sheets. Among competing models, the regime-switching GJR − GARCH model spends the highest proportion of the out-of-sample time in the green zone, which results in the lowest penalties. The results are robust to subsamples.