Calibrating your intuition : capital allocation for market and credit risk /
Saved in:
| 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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| 050 | 4 | |a HG3881.5.I58 |b W67 no.02/99 | |
| 100 | 1 | |a Kupiec, Paul H. |0 http://id.loc.gov/authorities/names/no95046206 | |
| 245 | 1 | 0 | |a Calibrating your intuition : |b capital allocation for market and credit risk / |c Paul Kupiec. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, Monetary and Exchange Affairs Dept., |c ©2002. | ||
| 300 | |a 1 online resource (22 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/02/99 | |
| 504 | |a Includes bibliographical references (pages 21-22). | ||
| 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 | |a 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 | ||
| 546 | |a English. | ||
| 650 | 0 | |a Asset allocation |x Econometric models. | |
| 650 | 0 | |a Risk |x Econometric models. | |
| 650 | 0 | |a Credit |x Econometric models. | |
| 650 | 0 | |a Venture capital |x Econometric models. | |
| 650 | 6 | |a Affectation de l'actif |x Modèles économétriques. | |
| 650 | 6 | |a Risque |x Modèles économétriques. | |
| 650 | 6 | |a Crédit |x Modèles économétriques. | |
| 650 | 6 | |a Capital à risques |x Modèles économétriques. | |
| 650 | 7 | |a Asset allocation |x Econometric models. |2 fast |0 (OCoLC)fst00819050 | |
| 650 | 7 | |a Credit |x Econometric models. |2 fast |0 (OCoLC)fst00882527 | |
| 650 | 7 | |a Risk |x Econometric models. |2 fast |0 (OCoLC)fst01098121 | |
| 650 | 7 | |a Venture capital |x Econometric models. |2 fast |0 (OCoLC)fst01165300 | |
| 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 Calibrating your intuition. |d [Washington, D.C.] : International Monetary Fund, Monetary and Exchange Affairs Dept., ©2002 |w (OCoLC)50318030 |
| 830 | 0 | |a IMF working paper ; |v WP/02/99. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2002/099/001.2002.issue-099-en.xml |y INTERNATIONAL MONETARY FUND |
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