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 rela...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2002
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 02/99 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 URL des Erstveröffentlichers |
| Zusammenfassung: | 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 initial market value; and (2) augmenting VaR to account for the interest income required by investors. While this issue has been identified in the market risk setting, it has yet to be recognized in the credit risk literature. Credit VaR techniques, as typically described, are not an appropriate basis for setting equity capital allocations |
| Beschreibung: | 1 Online-Ressource (23 p) |
| ISBN: | 1451852282 9781451852288 |
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| 520 | 3 | |a 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 initial market value; and (2) augmenting VaR to account for the interest income required by investors. While this issue has been identified in the market risk setting, it has yet to be recognized in the credit risk literature. Credit VaR techniques, as typically described, are not an appropriate basis for setting equity capital allocations | |
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| index_date | 2024-07-03T20:13:25Z |
| indexdate | 2024-07-10T09:35:34Z |
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| spelling | Kupiec, Paul H. Verfasser aut Calibrating Your Intuition Capital Allocation for Market and Credit Risk Kupiec, Paul H Washington, D.C International Monetary Fund 2002 1 Online-Ressource (23 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 02/99 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 initial market value; and (2) augmenting VaR to account for the interest income required by investors. While this issue has been identified in the market risk setting, it has yet to be recognized in the credit risk literature. Credit VaR techniques, as typically described, are not an appropriate basis for setting equity capital allocations Online-Ausg http://elibrary.imf.org/view/IMF001/00941-9781451852288/00941-9781451852288/00941-9781451852288.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Kupiec, Paul H. Calibrating Your Intuition Capital Allocation for Market and Credit Risk |
| title | Calibrating Your Intuition Capital Allocation for Market and Credit Risk |
| title_auth | Calibrating Your Intuition Capital Allocation for Market and Credit Risk |
| title_exact_search | Calibrating Your Intuition Capital Allocation for Market and Credit Risk |
| title_exact_search_txtP | Calibrating Your Intuition Capital Allocation for Market and Credit Risk |
| title_full | Calibrating Your Intuition Capital Allocation for Market and Credit Risk Kupiec, Paul H |
| title_fullStr | Calibrating Your Intuition Capital Allocation for Market and Credit Risk Kupiec, Paul H |
| title_full_unstemmed | Calibrating Your Intuition Capital Allocation for Market and Credit Risk Kupiec, Paul H |
| title_short | Calibrating Your Intuition |
| title_sort | calibrating your intuition capital allocation for market and credit risk |
| title_sub | Capital Allocation for Market and Credit Risk |
| url | http://elibrary.imf.org/view/IMF001/00941-9781451852288/00941-9781451852288/00941-9781451852288.xml |
| work_keys_str_mv | AT kupiecpaulh calibratingyourintuitioncapitalallocationformarketandcreditrisk |