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|c 5.00 USD
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|z 9781451857504
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Kupiec, Paul.
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|a Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk /
|c Paul Kupiec.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2002.
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| 300 |
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|a 1 online resource (30 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2002/157
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2002/157/001.2002.issue-157-en.xml
|z IMF e-Library
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