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The Resource Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk, Paul H Kupiec

Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk, Paul H Kupiec

Label
Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk
Title
Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk
Statement of responsibility
Paul H Kupiec
Creator
Author
Subject
Genre
Language
eng
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
Member of
Cataloging source
DcWaIMF
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Kupiec, Paul H
Government publication
international or intergovernmental publication
LC call number
K4452.I57
LC item number
K875 2002 ONLINE
Literary form
non fiction
Nature of contents
dictionaries
Series statement
IMF Working Paper
Series volume
WP/02/157
http://library.link/vocab/subjectName
  • Banking
  • Bond
  • Credit Var
  • Deposit Insurance
  • Equity Capital
  • Financial Institutions and Services: General
  • Switzerland
Label
Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk, Paul H Kupiec
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
imfWPIEA1572002
Dimensions
unknown
Extent
1 online resource (30 pages)
Form of item
online
Isbn
9781451857504
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781451857504.001
Specific material designation
remote
System control number
(IMF)WPIEA1572002
Label
Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk, Paul H Kupiec
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
imfWPIEA1572002
Dimensions
unknown
Extent
1 online resource (30 pages)
Form of item
online
Isbn
9781451857504
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781451857504.001
Specific material designation
remote
System control number
(IMF)WPIEA1572002

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