Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Monetary and Exchange Affairs Department.
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| ISBN: | 1282042742
9781282042742
9781451902648
1451902646
1462302459
9781462302451
1452733058
9781452733050
9786613797216
6613797219
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| Notes: | Includes bibliographical references (pages 26-29).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
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. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | Annotation 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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| Other form: | Print version: Kupiec, Paul H. Internal models, subordinated debt, and regulatory capital requirements for bank credit risk. [Washington, D.C.] : International Monetary Fund, ©2002
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| Standard no.: | 10.5089/9781451902648.001
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