|
|
 Login |
|
|
|
Volume 12/Number 4, Summer 2010 Research Papers Rating targeting and dynamic economic capital Esa Jokivuolle
Bank of Finland, PO Box 160, FI-00101 Helsinki, Finland; email: esa.jokivuolle@bof.fi Samu Peura
Pohjola Bank plc, PO Box 308, FI-00013 Pohjola, Finland; email: samu.peura@pohjola.fi The standard one-period economic capital model for credit risk has been shown to fall short of explaining the capital levels of large banks, given the usual AA confidence level for banks' solvency. Missing risk factors have been the commonly accepted explanation for this puzzle. We study an alternative explanation that complements the missing risk factor theory; a more dynamic capitalization model motivated by banks' rating targeting behavior, as evidenced in Jackson et al (2002), among others. Our model can be seen as a bottom-up alternative to Nocco and Stulz (2006)'s approach to the modeling of rating targeting. In the light of empirical evidence our model better calibrates to actual bank capital levels than the standard one-period economic capital model.
|
|
|
|
| Subscribe to The Journal of Risk and every quarter you will receive: |
- Ground-breaking, high quality, original research papers on financial risk management from the world's leading academics and practitioners.
- On-line archive of past papers – providing you with instant access to a library of papers on financial risk management.
- Email alerts notifying you when new issues are posted
- Discounts of Risk Books and conferences
To subscribe now click here. |
|
|
What to do if you do not know your username and password:
• If you are a The Journal of Risk subscriber, click here and we will email you straight away with your username and password.
What to do if you are not a The Journal of Risk subscriber:
• If you are not a The Journal of Risk subscriber, click here to subscribe now or click here for a FREE sample.
Further information about The Journal of Risk:
• Are you a new user? Click here for our guide.
• Are you having problems logging in to this website? Please click here for help. |
|
|
 |
 |
|
|
www.thejournalofrisk.com |
|
|
|
|
| View latest issue |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
The Risk Books and Journals group on  is where editors, authors and readers can launch discussions about published and forthcoming books.
Click here to read these discussions and become part of the Risk Books and Journals group. |
|
|
|
|
|
|
