Comment on: 'Testing macroprudential stress tests: The risk of regulatory risk weights' by Viral Acharya,Robert Engle, and Diane Pierret

摘要

How should regulators measure the contribution to systemic risk from individual financial institutions, and how should capital requirements be structured to offer adequate protection against that risk? Answering those questions has taken on new urgency in light of the recent financial crisis and its costly spillover to the real economy. The authors make a convincing case that macroprudential stress tests-at least as they are currently conducted-are inadequate for identifying systemically risky institutions, and that an important part of the problem lies in the way in which capital measures are constructed. Specifically, the practice of using risk-weighted assets has the disadvantages that the risk weights can be gamed; that it does not capture changes in risk over time (importantly in the current environment, when the credit risk of sovereign debt becomes significant); and that it neglects covariance effects on total portfolio risk.