2002 | OriginalPaper | Buchkapitel
A Guide to Choosing Absolute Bank Capital Requirements
verfasst von : Mark Carey
Erschienen in: Ratings, Rating Agencies and the Global Financial System
Verlag: Springer US
Enthalten in: Professional Book Archive
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Resampling implementation of a stress-scenario approach to estimating portfolio default loss distributions is proposed as the basis for estimates of the appropriate absolute level of economic capital allocations for portfolio credit risk. Estimates are presented for stress scenarios of varying severity and implications of different time horizons are analyzed. Results for a numeraire portfolio are quite sensitive to such variations. Although the analysis is framed in terms of recent proposals to revise regulatory capital requirements for banks, the arguments and results are also relevant for bankers making capital structure decisions.