Internal models-based capital regulation and bank risk-taking incentives /

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Bibliographic Details
Author / Creator:Kupiec, Paul H.
Imprint:[Washington, D.C.] : International Monetary Fund, ©2002.
Description:1 online resource (31 pages) : illustrations
Language:English
Series:IMF working paper, 2227-8885 ; WP/02/125
IMF working paper ; WP/02/125.
Subject:
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12496704
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Other authors / contributors:International Monetary Fund. Monetary and Exchange Affairs Department.
ISBN:1282026771
9781282026773
9781451900088
1451900082
1462367062
9781462367061
9786613796509
6613796506
Notes:Cover title.
"July 2002"--Page 1
At head of title: Monetary and Exchange Affairs Department.
Includes bibliographical references (pages 29-31).
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:Advocates for internal model-based capital regulation argue that this approach will reduce costs and remove distortions that are created by rules-based capital regulations. These claims are examined using a Merton-style model of deposit insurance. Analysis shows that internal model-based capital estimates are biased by safety-net-generated funding subsidies that convey to bank shareholders when market and credit risk regulatory capital requirements are set using bank internal model estimates. These subsidies are not uniform across the risk spectrum, and, as a consequence, internal model regulatory capital requirements will cause distortions in bank lending behavior.
Other form:Print version: Kupiec, Paul H. Internal models-based capital regulation and bank risk-taking incentives. [Washington, D.C.] : International Monetary Fund, ©2002
Standard no.:10.5089/9781451900088.001