Franklin

Calibrating Your Intuition [electronic resource] : Capital Allocation for Market and Credit Risk, Kupiec, Paul H..

Author/Creator:
Kupiec, Paul H.
Publication:
Washington, D.C. : International Monetary Fund, 2002.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 02/99.
IMF Working Papers; Working Paper No. 02/99
Format/Description:
Government document
Book
1 online resource (23 p.)
Local subjects:
Applications.
Arbitrage.
Banks.
Bond.
Bond investors.
Bond valuation.
Bonds.
Capital Budgeting.
Capital requirements.
Cash flows.
Contingent Pricing.
Credit risk.
Credit risks.
Derivative.
Discount bond.
Discounting.
Equity capital.
Equity finance.
Equity share.
Financial assets.
Financial economics.
Financial institutions.
Financial services.
Future value.
Futures Pricing.
Government Policy and Regulation.
Investment Policy.
Market risk.
Mortgages.
Other Depository Institutions.
Present value.
Risk management.
Risk managers.
Risk market.
Risk measure.
Risk modeling.
Stock capital.
Switzerland.
Summary:
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.
Notes:
Description based on print version record.
Contributor:
Kupiec, Paul H.
Other format:
Print Version:
ISBN:
1451852282:
9781451852288
ISSN:
1018-5941
Publisher Number:
10.5089/9781451852288.001
Access Restriction:
Restricted for use by site license.
Location Notes Your Loan Policy
Description Status Barcode Your Loan Policy