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| Economic Policy Review |
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| Volume 4, Number 3 October 1998 |
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| Financial Services
at the Crossroads: Capital Regulation in the Twenty-First
Century |
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Conference Overview: Major Themes and Directions for the Future 4
pages / 38 kbWilliam J. McDonough |
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Opening Remarks3
pages / 27 kb Chester B. Feldberg |
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| Session 1: Impact of Capital Requirements
on Bank Risk Taking: Empirical Evidence The Impact of Capital Requirements on U.K. Bank Behaviour 8
pages / 449 kbTolga Ediz, Ian Michael, and William Perraudin |
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Assessing the Impact of Prompt Corrective Action on Bank Capital
and Risk10
pages / 82 kb Raj Aggarwal and Kevin T. Jacques |
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Fair Value Accounting and Regulatory Capital Requirements11
pages / 94 kb Tatsuya Yonetani and Yuko Katsuo |
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Measuring the Relative Marginal Cost of Debt and Capital for
Banks1
pages / 13 kb Thuan Le and Kevin P. Sheehan |
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Commentary3
pages / 26 kb Stephen G. Cecchetti |
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| Session 2: Credit Risk Modeling Industry Practices in Credit Risk Modeling and Internal Capital Allocations: Implications for a Models-Based Regulatory Capital Standard 8
pages / 72 kbDavid Jones and John Mingo |
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Credit Risk in the Australian Banking Sector10
pages / 84 kb Brian Gray |
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Portfolio Credit Risk12
pages / 255 kb Thomas C. Wilson |
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Capital Allocation and Bank Management Based on the Quantification
of Credit Risk12
pages / 214 kb Kenji Nishiguchi, Hiroshi Kawai, and Takanori Sazaki |
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Commentary3
pages / 29 kb William Perraudin |
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| Distinguished Address Supervisory Capital Standards: Modernise or Redesign? 4
pages / 34 kbEdgar Meister |
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| Session 3: Issues in Value-at-Risk
Modeling and Evaluation The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations 2
pages / 22 kbJon Danielsson, Casper G. de Vries, and Bjørn N. Jørgensen |
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Horizon Problems and Extreme Events in Financial Risk Management10
pages / 128 kb Peter F. Christoffersen, Francis X. Diebold, and Til Schuermann |
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Methods for Evaluating Value-at-Risk Estimates6
pages / 200 kb Jose A. Lopez |
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Commentary4
pages / 123 kb Beverly Hirtle |
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| Session 4: Incentive-Compatible
Regulation: Views on the Precommitment Approach Pilot Exercise-Pre-Commitment Approach to Market Risk 6
pages / 130 kbJill Considine |
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Value at Risk and Precommitment: Approaches to Market Risk Regulation7
pages / 138 kb Arupratan Daripa and Simone Varotto |
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Designing Incentive-Compatible Regulation in Banking: The Role of Penalty in the Precommitment Approach9
pages / 92 kb Shuji Kobayakawa |
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Commentary5
pages / 174 kb Patrick Parkinson |
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| Keynote Address The Role of Capital in Optimal Banking Supervision and Regulation 6
pages / 135 kbAlan Greenspan |
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| Session 5: International Capital
Allocation at Financial Institutions Building a Coherent Risk Measurement and Capital Optimisation Model for Financial Firms 12
pages / 185 kbTim Shepheard-Walwyn and Robert Litterman |
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Capital from an Insurance Company Perspective3
pages / 116 kb Robert E. Lewis |
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Commentary2
pages / 106 kb Masatoshi Okawa |
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| Session 6: The Role of Capital Regulation
in Bank Supervision Formulas or Supervision? Remarks on the Future of Regulatory Capital 10
pages / 166 kbArturo Estrella |
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Deposit Insurance, Bank Incentives, and the Design of Regulatory
Policy11
pages / 223 kb Paul H. Kupiec and James M. O'Brien |
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Issues in Financial Institution Capital in Emerging Market Economies11
pages / 268 kb Allen B. Frankel |
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Commentary3
pages / 112 kb Christine M. Cumming |
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| Session 7: The Future of Capital
Regulation Capital Regulations: The Road Ahead 5
pages / 131 kbTom de Swaan |
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Risk Management: One Institution's Experience4
pages / 119 kb Thomas G. Labrecque |
