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Value at risk and precommitment: approaches to market risk regulation

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  • Arupratan Daripa
  • Simone Varotto

Abstract

This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 4, "Incentive-compatible regulations: views on the precommitment approach." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.

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Bibliographic Info

Article provided by Federal Reserve Bank of New York in its journal Economic Policy Review.

Volume (Year): (1998)
Issue (Month): Oct ()
Pages: 137-143

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Handle: RePEc:fip:fednep:y:1998:i:oct:p:137-143:n:v.4no.3

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Related research

Keywords: Bank capital ; Risk;

References

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  1. Garen, John E, 1994. "Executive Compensation and Principal-Agent Theory," Journal of Political Economy, University of Chicago Press, vol. 102(6), pages 1175-99, December.
  2. Yuk-Shee Chan & Stuart I. Greenbaum & Anjan V. Thakor, 2004. "Is Fairly Priced Deposit Insurance Possible?," Finance 0411018, EconWPA.
  3. Tim S. Campbell & Yuk-Shee Chan & Anthony M. Marino, 1990. "An incentive based theory of bank regulation," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
  4. Giammarino, R.M. & Sappington, D.E.M., 1990. "An Incentive Approach to Banking Regulation," Papers 367, California Davis - Institute of Governmental Affairs.
  5. Mathias Dewatripont & Jean Tirole, 1994. "The prudential regulation of banks," ULB Institutional Repository 2013/9539, ULB -- Universite Libre de Bruxelles.
  6. Jensen, Michael C. & Warner, Jerold B., 1988. "The distribution of power among corporate managers, shareholders, and directors," Journal of Financial Economics, Elsevier, vol. 20(1-2), pages 3-24, January.
  7. Edward S. Prescott, 1997. "The pre-commitment approach in a model of regulatory banking capital," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 23-50.
  8. Paul H. Kupiec & James M. O'Brien, 1997. "The pre-commitment approach: using incentives to set market risk capital requirements," Finance and Economics Discussion Series 1997-14, Board of Governors of the Federal Reserve System (U.S.).
  9. Rochet, Jean-Charles, 1992. "Capital requirements and the behaviour of commercial banks," European Economic Review, Elsevier, vol. 36(5), pages 1137-1170, June.
  10. Murphy, K.J. & Gibbons, R., 1990. "Optimal Incentive Contracts in the Presence of Career Concerns : Theory and Evidence," Papers 90-09, Rochester, Business - Managerial Economics Research Center.
  11. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
  12. Patricia Jackson & David Maude & William Perraudin, 1998. "Bank Capital and Value at Risk," Bank of England working papers 79, Bank of England.
  13. Jensen, M.C. & Murphy, K.J., 1988. "Performance Pay And Top Management Incentives," Papers 88-04, Rochester, Business - Managerial Economics Research Center.
  14. David Marshall & Subu Venkataraman, 1997. "Bank capital standards for market risk: a welfare analysis," Working Paper Series, Issues in Financial Regulation WP-97-09, Federal Reserve Bank of Chicago.
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