Internal models, subordinated debt, and regulatory capital requirements for bank credit risk /

Bibliographic Details
Main Author: Kupiec, Paul
Format: eBook
Language:English
Published: Washington, D.C. : International Monetary Fund, 2002
Series:IMF working paper ; no. 02/157
Subjects:
Online Access:http://www.imf.org/external/pubs/ft/wp/2002/wp02157.pdf

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245 1 0 |a Internal models, subordinated debt, and regulatory capital requirements for bank credit risk /  |c prepared by Paul Kupiec.  |h [recurso electrónico] 
260 |a Washington, D.C. :  |b International Monetary Fund,  |c 2002 
300 |a 30 p. 
490 0 |a IMF working paper ;  |v no. 02/157 
504 |a Bibliografía: p. 26-29. 
505 0 |a 1. Introduction -- 2. The appeal of an internal models approach for capital regulation -- 3. Internal models and regulatory objectives -- 4. Credir risk and the value of safety-net guarantees -- 5. Credit VaR and Buffer stock capital allocation -- 6. Safety net externalities and internal models capital estimates -- 7. Using subordinated debt to implement an internal models capital regulation -- 8. Conclusions -- Text tables -- Figures - References. 
650 4 |a MODELOS ECONOMICOS  |9 381 
650 4 |9 2258  |a RIESGO DEL CREDITO 
856 4 |u http://www.imf.org/external/pubs/ft/wp/2002/wp02157.pdf 
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