Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk

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 that limits both the probability of bank... READ MORE...

Publication date: September 2002
ISBN 9781451857504
$15.00

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