Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk /
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...
| Hlavní autor: | |
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| Médium: | Časopis |
| Jazyk: | English |
| Vydáno: |
Washington, D.C. :
International Monetary Fund,
2002.
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| Edice: | IMF Working Papers; Working Paper ;
No. 2002/157 |
| On-line přístup: | Full text available on IMF |