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...
| Yazar: | |
|---|---|
| Materyal Türü: | Dergi |
| Dil: | English |
| Baskı/Yayın Bilgisi: |
Washington, D.C. :
International Monetary Fund,
2002.
|
| Seri Bilgileri: | IMF Working Papers; Working Paper ;
No. 2002/157 |
| Online Erişim: | Full text available on IMF |