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Recent developments in bank capital regulation of market risks

Author

Listed:
  • Paul H. Kupiec
  • James M. O'Brien

Abstract

No abstract is available for this item.

Suggested Citation

  • Paul H. Kupiec & James M. O'Brien, 1995. "Recent developments in bank capital regulation of market risks," Finance and Economics Discussion Series 95-51, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfe:95-51
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    Citations

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    Cited by:

    1. Marshall, David A. & Prescott, Edward Simpson, 2006. "State-contingent bank regulation with unobserved actions and unobserved characteristics," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2015-2049, November.
    2. David A. Marshall & Edward Simpson Prescott, 2004. "State-Contingent Bank Regulation with Unobserved Actions and Unobserved Characteristics," Working Papers wp2004_0407, CEMFI.
    3. Marshall, David A. & Prescott, Edward Simpson, 2001. "Bank capital regulation with and without state-contingent penalties," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 54(1), pages 139-184, June.
    4. Patricia Jackson & David Maude & William Perraudin, 1998. "Bank Capital and Value at Risk," Bank of England working papers 79, Bank of England.
    5. repec:zbw:bofrdp:1997_018 is not listed on IDEAS
    6. 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.).
    7. Mayes, David G., 1997. "A market based approach to maintaining systemic stability : experiences from New Zealand," Research Discussion Papers 18/1997, Bank of Finland.
    8. Mr. Sunil Sharma & Mr. Ralph Chami & Mr. Mohsin S. Khan, 2003. "Emerging Issues in Banking Regulation," IMF Working Papers 2003/101, International Monetary Fund.
    9. Flavio Bazzana, 2001. "I modelli interni per la valutazione del rischio di mercato secondo l'approccio del Value at Risk," Alea Tech Reports 011, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    10. Arupratan Daripa & Simone Varotto, 1997. "Agency Incentives and Reputational Distortions: a Comparison of the Effectiveness of Value-at-Risk and Pre-commitment in Regulating Market Risk," Bank of England working papers 69, Bank of England.
    11. Edward Simpson 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.
    12. Mayes, David G., 1997. "A market based approach to maintaining systemic stability: experiences from New Zealand," Bank of Finland Research Discussion Papers 18/1997, Bank of Finland.

    More about this item

    Keywords

    Bank capital; Risk;

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