1 option
Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk / Paul Kupiec.
- Format:
- Book
- Government document
- Author/Creator:
- Kupiec, Paul.
- Series:
- IMF Working Papers; Working Paper ; No. 2002/157
- IMF Working Papers
- Language:
- English
- Physical Description:
- 1 online resource (30 pages)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2002.
- Language Note:
- English
- Summary:
- Shortcomings make credit VaR estimates an unsuitable basis for setting bank regulatory capital requirements. If, alternatively, banks are required to issue subordinated debt that has a minimum market value and maximum acceptable probability of default, banks must set their equity capital in a manner that limits both the probability of bank default and the expected loss on insured deposits, largely removing any safety net-related funding cost subsidy and the moral hazard incentives it creates. Required equity capital can be estimated using a modified credit-VaR framework, and supervisors can use external credit ratings to indirectly verify the accuracy of bank internal model estimates.
- Notes:
- Bibliographic Level Mode of Issuance: Monograph
- Description based on print version record.
- ISBN:
- 9786613797216
- 9781462302451
- 1462302459
- 9781452733050
- 1452733058
- 9781282042742
- 1282042742
- 9781451902648
- 1451902646
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.