纽约联储-银行经济资本（英）-2025.3_87页_10mb

报告摘要

Summary of "Bank Economic Capital"

Introduction and Methodology

This paper introduces a novel measure of bank solvency called "economic capital" to address the limitations of standard accounting-based metrics. Traditional measures overlook the unique interplay of credit, liquidity, and market risks, particularly depositor behavior during bank runs. The economic capital framework estimates the net present value of bank assets, liabilities, and necessary expenses under both normal and stress scenarios, incorporating deposit insurance and depositor withdrawal risks.

Key Innovations

Economic Capital (EC): A forward-looking metric based on the present value of assets and liabilities, relaxing assumptions embedded in accounting rules.
Run-Economic Capital (R-EC): EC under a depositor run scenario, where uninsured deposits are repriced at market rates.
Comprehensive Data Approach: Uses Call Report data to estimate present values for loans, securities, deposits, and expenses.

Table: Calculation Components of Economic Capital

Component	Description	Estimation Method
Assets	Held-for-investment loans, securities	Present value using amortized cost or fair value; incorporates prepayment and credit risks
Liabilities	Demand deposits, time deposits, expenses	Demand deposits valued with time-varying betas; other liabilities/ expenses use risk-free or near-risk-free rates
Discount Rates	Risk-free rates, risk premiums	Zero-coupon yields for assets; corporate credit spreads for loan risk premia

Key Findings

Despite regulatory reforms post-GFC, liquidity and market risks have grown, with insufficient improvement in bank capital buffers.
EC and R-EC significantly outperform traditional metrics like Tangible Common Equity (TCE) in predicting bank failures across various economic conditions.
R-EC identified failing banks (e.g., SVB, First Republic) 1-2 years before their distress during the 2023 crisis.
Bank solvency is more sensitive to depositor behavior and funding liquidity than credit quality alone.

Comparison to Traditional Measures

Unlike TCE, which marks only assets to market, EC includes liabilities and expenses, providing a more holistic view.
Time-series analysis shows that EC recovers slower from the GFC than TCE, reflecting persistent liquidity risks.

Conclusion and Data Methodology

The paper demonstrates that economic capital is superior for monitoring financial stability due to its ability to incorporate market risks, funding liquidity, and depositor behavior. Calculation relies on publicly available Call Report data, but requires assumptions for items like loan prepayment rates and deposit betas.

Data and Estimation Details

Call Report Data: Used for assets, liabilities, and expenses; supplemented with external data for interest rates, credit spreads, and deposit behavior.
Regression Approach: Empirical models estimate deposit betas and expense ratios using bank characteristics and cycle-specific variables.
Limitations: Omitted items include fair-value adjustments for some assets and off-balance sheet positions; future refinements recommended.

Figures and Supporting Evidence

Figures 8, 11, and 13: Demonstrate temporal variations and predictive power.
Internet Appendix: Provides detailed methodologies for fixed-rate portfolios (Section B), demand deposits (Section C), and expenses (Section D).

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