国际清算银行-银行的监管风险承受能力（英）

BIS Working PapersNo 1287 Banks’ regulatory risk tolerance by Mikael Juselius, Aurea Ponte Marques and Nikola Tarashev Monetary and Economic Department September 2025 JEL classification: G21, G28, E51, G31 Keywords: capital management, management buffer target, speed of reversion, regulatory regimes BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2025. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) Banks’ regulatory risk tolerance∗Mikael Juselius†Aurea Ponte Marques‡Nikola Tarashev§August 26, 2025AbstractIn managing their capital, banks balance the risk of breaching regulatory requirements against the costof maintaining and speedily restoring “management” buffers. Using 68 quarters of data on 17 US and 17euro-area banks, we find systematic reductions in steady-state management buffer targets and attendantrises in regulatory risk tolerance (RRT) following the Great Financial Crisis (GFC). This phenomenon isparticularly pronounced at banks with higher capital requirements post GFC. In parallel, banks facingmore volatile management buffer shocks set higher management buffer targets, suggesting that RRT is aconscious choice. High-RRT banks tend to respond to a depletion of their management buffers by cuttinglending, whereas low-RRT banks reduce the riskiness of their assets in other ways — thus highlightingreal-economy effects of capital management strategies.Keywords: Capital management, Management buffer target, Speed of reversion, Regulatory regimesJEL Codes: G21, G28, E51, G31∗For useful comments, we thank Patrizia Baudino, Claudio Borio, Rodrigo Coelho, Mathias Drehmann, Marc Farag, GastonGelos, Bryan Hardy, Wenqian Huang, Aakriti Mathur (discussant), Daniel Rees as well as participants at a BIS research seminarand the 2024 Czech National Bank Workshop on Financial Stability and Macroprudential Policy. Jhuvesh Sobrun providedvaluable assistance with the data. The views expressed in this paper are those of the authors and do not necessarily reflectthose of the Bank for International Settlements, the Bank of Finland, the European Central Bank or the Eurosystem.†Bank for International Settlements and Bank of Finland: mikael.juselius@bis.org‡European Central Bank: aurea.marques@ecb.europa.eu§Bank for International Settlements: nikola.tarashev@bis.org1IntroductionThrough several regulatory regimes, banks have consistently operated with management buffers (MBs) –defined as the headroom in regulatory capita