Hidden Bibliographic Details
Other authors / contributors: | International Monetary Fund. Monetary and Exchange Affairs Department.
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ISBN: | 1451897995 9781451897999 1281601853 9781281601858 1462330770 9781462330775 1452714924 9781452714929 9786613782540 6613782548
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Notes: | Includes bibliographical references (pages 21-22). 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: | Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate on funding debt. Typical VaR "buffer stock" capital calculations produce biased estimates. To ensure accuracy, VaR must be modified by: (1) measuring loss relative to initial market value; and (2) augmenting VaR to account for the interest income required by investors. While this issue has been identified in the market risk setting, it has yet to be recognized in the credit risk literature. Credit VaR techniques, as typically described, are not an appropriate basis for setting equity capital allocations
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Other form: | Print version: Kupiec, Paul H. Calibrating your intuition. [Washington, D.C.] : International Monetary Fund, Monetary and Exchange Affairs Dept., ©2002
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Standard no.: | 10.5089/9781451897999.001
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