Regolamentazione del sistema finanziario e rischio sistematico

[Autom. eng. transl.] By not effectively distinguishing between systematic risk and specific risk, supervisory rules could incentivize risk-taking of the first type, thus increasing the likelihood that multiple financial institutions will be in difficulty simultaneously. Some of the current rules define capital requirements based on credit ratings. If these ratings did not reflect systematic risk, the regulation would make the granting of loans and investment in bonds with greater systematic risk more convenient. The validity of this conclusion depends crucially on whether credit spreads and ratings reflect systematic risk or not. The empirical results of this study indicate that systematic risk has a significantly positive effect on the credit spread of bonds, even after checking for the rating.