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

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:	Deposit insurance -- Econometric models. Banking law. Risk management -- Econometric models. Capital -- Econometric models. Bank reserves -- Econometric models. Bank reserves -- Econometric models. Banking law. Capital -- Econometric models. Deposit insurance -- Econometric models. Risk management -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12496704

Hidden Bibliographic Details
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

Description
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.
Item Description:	Cover title. "July 2002"--Page 1 At head of title: Monetary and Exchange Affairs Department.
Physical Description:	1 online resource (31 pages) : illustrations
Format:	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.
Bibliography:	Includes bibliographical references (pages 29-31).
ISBN:	1282026771 9781282026773 9781451900088 1451900082 1462367062 9781462367061 9786613796509 6613796506
ISSN:	2227-8885 ;