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

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

Table of Contents:

• 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.