Economic Policy Review

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Volume 4, Number 3October 1998
Download full bookPDF247 pages / 1,860 kb

Financial Services at the Crossroads: Capital Regulation in the Twenty-First Century
Proceedings of a Conference Held at the Federal Reserve Bank of NewYork on February26-27,1998
See: Press Release »

Conference Overview: Major Themes and Directions for the FuturePDF4 pages / 38 kb
William J. McDonough
Opening RemarksPDF3 pages / 27 kb
Chester B. Feldberg
Session 1: Impact of Capital Requirements on Bank Risk Taking: Empirical Evidence

The Impact of Capital Requirements on U.K. Bank Behaviour
PDF8 pages / 449 kb
Tolga Ediz, Ian Michael, and WilliamPerraudin
Assessing the Impact of Prompt Corrective Action on Bank Capital and RiskPDF10 pages / 82 kb
Raj Aggarwal and Kevin T. Jacques
Fair Value Accounting and Regulatory Capital RequirementsPDF11 pages / 94 kb
Tatsuya Yonetani and Yuko Katsuo
Measuring the Relative Marginal Cost of Debt and Capital for BanksPDF1 pages / 13 kb
Thuan Le and Kevin P. Sheehan
CommentaryPDF3 pages / 26 kb
Stephen G. Cecchetti
Session 2: Credit Risk Modeling

Industry Practices in Credit Risk Modeling and Internal Capital Allocations: Implications for a Models-Based Regulatory Capital Standard
PDF8 pages / 72 kb
David Jones and John Mingo
Credit Risk in the Australian Banking SectorPDF10 pages / 84 kb
Brian Gray
Portfolio Credit RiskPDF12 pages / 255 kb
Thomas C. Wilson
Capital Allocation and Bank Management Based on the Quantification of Credit Risk
PDF12 pages / 214 kb

Kenji Nishiguchi, Hiroshi Kawai, and TakanoriSazaki
CommentaryPDF3 pages / 29 kb
William Perraudin
Distinguished Address
Supervisory Capital Standards: Modernise or Redesign?
PDF4 pages / 34 kb
Edgar Meister
Session 3: Issues in Value-at-Risk Modeling and Evaluation

The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations
PDF2 pages / 22 kb
Jon Danielsson, Casper G. de Vries, and BjørnN.Jørgensen
Horizon Problems and Extreme Events in Financial Risk ManagementPDF10 pages / 128 kb
Peter F. Christoffersen, Francis X. Diebold, and TilSchuermann
Methods for Evaluating Value-at-Risk EstimatesPDF6 pages / 200 kb
Jose A. Lopez
CommentaryPDF4 pages / 123 kb
Beverly Hirtle
Session 4: Incentive-Compatible Regulation: Views on the Precommitment Approach

Pilot Exercise-Pre-Commitment Approach to Market Risk
PDF6 pages / 130 kb
Jill Considine
Value at Risk and Precommitment: Approaches to Market Risk RegulationPDF7 pages / 138 kb
Arupratan Daripa and Simone Varotto
Designing Incentive-Compatible Regulation in Banking: The Role of Penalty in the Precommitment ApproachPDF9 pages / 92 kb
Shuji Kobayakawa
CommentaryPDF5 pages / 174 kb
Patrick Parkinson
Keynote Address
The Role of Capital in Optimal Banking Supervision and Regulation
PDF6 pages / 135 kb
Alan Greenspan
Session 5: International Capital Allocation at Financial Institutions

Building a Coherent Risk Measurement and Capital Optimisation Model for Financial Firms

PDF12 pages / 185 kb
Tim Shepheard-Walwyn and RobertLitterman
Capital from an Insurance Company PerspectivePDF3 pages / 116 kb
Robert E. Lewis
CommentaryPDF2 pages / 106 kb
Masatoshi Okawa
Session 6: The Role of Capital Regulation in Bank Supervision

Formulas or Supervision? Remarks on the Future of Regulatory Capital
PDF10 pages / 166 kb
Arturo Estrella
Deposit Insurance, Bank Incentives, and the Design of Regulatory PolicyPDF11 pages / 223 kb
Paul H. Kupiec and James M. O'Brien
Issues in Financial Institution Capital in Emerging Market EconomiesPDF11 pages / 268 kb
Allen B. Frankel
CommentaryPDF3 pages / 112 kb
Christine M. Cumming
Session 7: The Future of Capital Regulation

Capital Regulations: The Road Ahead
PDF5 pages / 131 kb
Tom de Swaan
Risk Management: One Institution's ExperiencePDF4 pages / 119 kb
Thomas G. Labrecque