Series: IMF Working Papers
Author(s): Paul Kupiec
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 May 2002
Keywords: value at risk, capital allocation, bond, equity capital, stock capital, Financial Institutions and Services: Government Policy and Regulation,
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 e...