금융위기 하에서의 은행 자기자본규제의 한계와 정책적 시사점

Subprime mortgage financial crisis which started from U.S.A. has revealed that the traditional risk weighted BIS capital regulation has many flaws and limitation. Banks suffering losses should replenish capital either through issuing the new equities or shrinking the balance sheet by reducing the assets in order to satisfy the capital regulation. However, uncertainty in the financial market during the crisis makes the issuance of new equity impossible and balance sheet is usually adjusted through the reduction of balance sheets. This requires banks to call in the loans earlier than due date or engage in the fire sale, which have the adverse external effects on the economy. Capital regulation also has the problem of regulatory arbitrage due to the on-going financial innovation. Capital regulation which focuses on the solvency of an individual bank could have a destabilizing effect on the financial system as a whole. Various recapitalization methods such as capital insurance by Kashyap et. al. (2008) or Reverse Convertible Debentures by Flannery (2005) have been proposed to improve on the limitation of the capital regulation. It is also noted to be important to identify the asset whose credit risk is low but is important in terms of the financial system. Liquidity and leverage regulation can work to stabilize the financial system during the crisis.