Profitti, rischi e capital ratios: come sviluppare una vigilanza prudenziale neutrale al risk-appetite delle banche (Profits, risk, and capital ratios: how to design a prudential supervision neutral with respect to banks’ risk appetite)

Lorenzo Esposito, Giuseppe Mastromatteo

Abstract


La crisi finanziaria del 2008 ha determinato un ripensamento di molti aspetti della vigilanza prudenziale. È, in particolare emerso che la ponderazione degli attivi non era in grado di coglierne l’effettiva rischiosità, che era calcolata in via indiretta, ad esempio attraverso il rating. Ciò ha favorito il circolo vizioso tra crescita dei volumi creditizi e crescita della loro rischiosità. Si propone un metodo alternativo di ponderazione (“profit weighted assets”) usando il profitto effettivo di un determinato attivo, individuando anche una condizione di neutralità della ponderazione rispetto alla rischiosità, in grado di evitare incentivi regolamentari distorti alle banche. Si discutono le modalità di creazione operativa e possibili sviluppi dello strumento.

The 2008 financial crisis led to a rethinking of many aspects of prudential supervision. In particular, it emerged that the weighting of the assets was not able to grasp the effectiveness of their risk, which was measured indirectly, for example through their rating. This has favored the vicious circle between the growth of credit volumes and the growth of their riskiness. We propose an alternative weighting method (“profit-weighted assets”) using the actual profit of a given asset, also identifying a condition of neutrality of risk weighting, able to avoid distorted regulatory incentives to banks. We also discuss how to develop concretely the tool and its possible refinements.

JEL codes: G28



Parole chiave


prudential regulation, profitability, crisis

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DOI: https://doi.org/10.13133//2037-3651_73.290_2

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