Internal models, subordinated debt, and regulatory capital requirements for bank credit risk /
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| Author / Creator: | Kupiec, Paul H. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, ©2002. |
| Description: | 1 online resource (29 pages) : illustrations |
| Language: | English |
| Series: | IMF working paper, 2227-8885 ; WP/02/157 IMF working paper ; WP/02/157. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12496084 |
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| 050 | 4 | |a HG3881.5.I58 |b W67 no.02/157 | |
| 100 | 1 | |a Kupiec, Paul H. | |
| 245 | 1 | 0 | |a Internal models, subordinated debt, and regulatory capital requirements for bank credit risk / |c Paul Kupiec. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2002. | ||
| 300 | |a 1 online resource (29 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/02/157 | |
| 504 | |a Includes bibliographical references (pages 26-29). | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 588 | 0 | |a Print version record. | |
| 520 | 8 | |a Annotation |b 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. | |
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| 655 | 4 | |a Electronic books. | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Exchange Affairs Department. |0 http://id.loc.gov/authorities/names/no92029436 | |
| 776 | 0 | 8 | |i Print version: |a Kupiec, Paul H. |t Internal models, subordinated debt, and regulatory capital requirements for bank credit risk. |d [Washington, D.C.] : International Monetary Fund, ©2002 |w (OCoLC)50903994 |
| 830 | 0 | |a IMF working paper ; |v WP/02/157. |0 http://id.loc.gov/authorities/names/no89010263 | |
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