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.

Esposito, L., Mastromatteo, G., Profitti, rischi e capital ratios: come sviluppare una vigilanza prudenziale neutrale al risk-appetite delle banche, <<MONETA E CREDITO>>, 2020; 73 (290): 141-154. [doi:10.13133/2037-3651_73.290_2] [http://hdl.handle.net/10807/160314]

Profitti, rischi e capital ratios: come sviluppare una vigilanza prudenziale neutrale al risk-appetite delle banche

Esposito, Lorenzo
Primo
;
Mastromatteo, Giuseppe
Secondo
2020

Abstract

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.
2020
Italiano
Esposito, L., Mastromatteo, G., Profitti, rischi e capital ratios: come sviluppare una vigilanza prudenziale neutrale al risk-appetite delle banche, <<MONETA E CREDITO>>, 2020; 73 (290): 141-154. [doi:10.13133/2037-3651_73.290_2] [http://hdl.handle.net/10807/160314]
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/160314
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 0
  • ???jsp.display-item.citation.isi??? ND
social impact