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...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Washington, D.C
International Monetary Fund
2002
|
| Series: | IMF Working Papers
Working Paper No. 02/157 |
| Online Access: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Summary: | 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 |
| Physical Description: | 1 Online-Ressource (30 p) |
| ISBN: | 1451857500 9781451857504 |
Staff View
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| spelling | Kupiec, Paul H. Verfasser aut Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk Kupiec, Paul H Washington, D.C International Monetary Fund 2002 1 Online-Ressource (30 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 02/157 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 Online-Ausg http://elibrary.imf.org/view/IMF001/03656-9781451857504/03656-9781451857504/03656-9781451857504.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Kupiec, Paul H. Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk |
| title | Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk |
| title_auth | Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk |
| title_exact_search | Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk |
| title_exact_search_txtP | Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk |
| title_full | Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk Kupiec, Paul H |
| title_fullStr | Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk Kupiec, Paul H |
| title_full_unstemmed | Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk Kupiec, Paul H |
| title_short | Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk |
| title_sort | internal models subordinated debt and regulatory capital requirements for bank credit risk |
| url | http://elibrary.imf.org/view/IMF001/03656-9781451857504/03656-9781451857504/03656-9781451857504.xml |
| work_keys_str_mv | AT kupiecpaulh internalmodelssubordinateddebtandregulatorycapitalrequirementsforbankcreditrisk |