Calibrating your intuition : capital allocation for market and credit risk /

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Bibliographic Details
Author / Creator:Kupiec, Paul H.
Imprint:[Washington, D.C.] : International Monetary Fund, Monetary and Exchange Affairs Dept., ©2002.
Description:1 online resource (22 pages) : illustrations
Language:English
Series:IMF working paper, 2227-8885 ; WP/02/99
IMF working paper ; WP/02/99.
Subject:
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12496637
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Other authors / contributors:International Monetary Fund. Monetary and Exchange Affairs Department.
ISBN:1451897995
9781451897999
1281601853
9781281601858
1462330770
9781462330775
1452714924
9781452714929
9786613782540
6613782548
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.
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
Other form:Print version: Kupiec, Paul H. Calibrating your intuition. [Washington, D.C.] : International Monetary Fund, Monetary and Exchange Affairs Dept., ©2002
Standard no.:10.5089/9781451897999.001