Calibrating Your Intuition : Capital Allocation for Market and Credit Risk /
Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate on funding debt. Typical VaR "buffer stock" capital calculations produce biased estimates. To ensure accuracy, VaR must be modified by: (1) measuring loss relative to init...
| Autor principal: | |
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| Format: | Revista |
| Idioma: | English |
| Publicat: |
Washington, D.C. :
International Monetary Fund,
2002.
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| Col·lecció: | IMF Working Papers; Working Paper ;
No. 2002/099 |
| Accés en línia: | Full text available on IMF |