Review Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk

Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk High quality books

Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk
By:Paul H. Kupiec
Published on 2002-09-01 by International Monetary Fund

Shortcomings make credit VaR estimates an unsuitable basis for setting bank regulatory capital requirements. If, alternatively, banks are required to issue subordinated debt that has a minimum market value and maximum acceptable probability of default, banks must set their equity capital in a manner that limits both the probability of bank default and the expected loss on insured deposits, largely removing any safety net-related funding cost subsidy and the moral hazard incentives it creates. Required equity capital can be estimated using a modified credit-VaR framework, and supervisors can use external credit ratings to indirectly verify the accuracy of bank internal model estimates.

This Book was ranked at 12 by Google Books for keyword Credit.

Book ID of Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk's Books is ZZMS0KNv3sgC, Book which was written byPaul H. Kupiechave ETAG "tFtTXNbYX+I"

Book which was published by International Monetary Fund since 2002-09-01 have ISBNs, ISBN 13 Code is and ISBN 10 Code is

Reading Mode in Text Status is false and Reading Mode in Image Status is true

Book which have "29 Pages" is Printed at BOOK under CategoryChômage - Grande-Bretagne - Modèles économétriques

This Book was rated by Raters and have average rate at ""

This eBook Maturity (Adult Book) status is NOT_MATURE

Book was written in en

eBook Version Availability Status at PDF is falseand in ePub is false

Book Preview