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Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives

Kupiec, Paul H. - 2002

Advocates for internal model-based capital regulation argue that this approach will reduce costs and remove distortions that are created by rules-based capital regulations. These claims are examined using a Merton-style model of deposit insurance. Analysis shows that internal model-based capital...

Persistent link: https://www.econbiz.de/10014399573

On the ramifications of a securities transaction tax for the function and efficiency of capital markets

Kupiec, Paul H. - 1992

Persistent link: https://www.econbiz.de/10000985766

Credit risk capital : more than one way to guard a guarantee

Kupiec, Paul H. - In: Risk management : the state of the art, (pp. 15-25). 2002

Persistent link: https://www.econbiz.de/10001698271

What exactly does credit VaR measure?

Kupiec, Paul H. - In: The journal of derivatives : the official publication … 9 (2002) 3, pp. 46-59

Persistent link: https://www.econbiz.de/10001708437

Portfolio diversification in concentrated bond and loan portfolios

Kupiec, Paul H. - In: Journal of investment management : JOIM 14 (2016) 2, pp. 49-70

Persistent link: https://www.econbiz.de/10011690864

Capital for concentrated credit portfolios

Kupiec, Paul H. - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 314-322

Persistent link: https://www.econbiz.de/10011531169

Risk capital and VaR

Kupiec, Paul H. - In: The journal of derivatives : the official publication … 7 (2000) 2, pp. 41-52

Persistent link: https://www.econbiz.de/10001497765

Stress testing in a value at risk framework

Kupiec, Paul H. - In: The journal of derivatives : the official publication … 6 (1998) 1, pp. 7-24

Persistent link: https://www.econbiz.de/10001248811

Margin requirements, volatility, and market integrity : what have we learned since the crash?

Kupiec, Paul H. - In: Journal of financial services research : JFSR 13 (1998) 3, pp. 231-255

Persistent link: https://www.econbiz.de/10001250344

Noise traders, excess volatility, and a securities transactions tax

Kupiec, Paul H. - In: Journal of financial services research : JFSR 10 (1996) 2, pp. 115-129

Persistent link: https://www.econbiz.de/10001202857