Calibrating your intuition: capital allocation for market and credit risk, Issues 2002-2099
International Monetary Fund, Monetary and Exchange Affairs Dept., 2002 - Business & Economics - 22 pages
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Using VaR to Set Accurate Risk Capital Calculations
accurate buffer stock amount of equity approach for setting asset value asset's initial market Banking Supervision Basel Committee Black-Scholes bond valuation BSM model buffer stock capital capital allocation credit capital allocation process Committee on Banking Compound Options credit risk capital credit risk measurement credit VaR measures credit VaR models end-of-period value distribution equilibrium interest equity capital allocation equity capital requirement equivalent martingale expected value firm's assets firm's funding debt funding debt holders funding debt issue geometric Brownian motion initial market value initial value J.P. Morgan Journal of Derivatives Kupiec Market Risk Capital maturity maximum par value measured relative ParF Parp percent critical value portfolio probability distribution probability of default purchased discount bond put option required interest payment risk capital allocation risk capital requirements risk free rate risk VaR measure risky discount bond stock capital allocation target default rate unexpected credit loss Value at Risk value of 100 values that evolve