01677cas a2200241 a 4500 AALejournalIMF001981 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451852288 1018-5941 BD-DhAAL BD-DhAAL Kupiec, Paul. Calibrating Your Intuition : Capital Allocation for Market and Credit Risk / Paul Kupiec. Washington, D.C. : International Monetary Fund, 2002. 1 online resource (23 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate on funding debt. Typical VaR "buffer stock" capital calculations produce biased estimates. To ensure accuracy, VaR must be modified by: (1) measuring loss relative to initial market value; and (2) augmenting VaR to account for the interest income required by investors. While this issue has been identified in the market risk setting, it has yet to be recognized in the credit risk literature. Credit VaR techniques, as typically described, are not an appropriate basis for setting equity capital allocations. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2002/099 Full text available on IMF http://elibrary.imf.org/view/journals/001/2002/099/001.2002.issue-099-en.xml IMF e-Library