This paper empirically investigates the effects of bank capital on its risk-taking activities. Specifically we examined whether the bank capital-risk link varies with the degree of bank risk. Applied to 54 American commercial banks during the period of 1997-2002, the quantile regression results show that the high-risk banks tended to bear greater risk as capital increased due either to capital regulation or market forces than the low and middle-risk banks did. As such, stringent capital regulation would lead to more instability in the financial system. Our analysis thus suggests that the monetary authorities need to consider the heterogeneous response of banks with different risk in order to reduce bank risk via the relevant capital reforms.