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Journal Article
Risk-based standards for capital requirements
anonymous
(1998-07)
Financial Update
, Volume 11
, Issue Jul
, Pages 8-9
Working Paper
Updated Primer on the Forward-Looking Analysis of Risk Events (FLARE) Model: A Top-Down Stress Test Model
Correia, Sergio A.; Seay, Matthew P.; Vojtech, Cindy M.
(2022-03-04)
This is an updated technical note describes the Forward-Looking Analysis of Risk Events (FLARE) model, which is a top-down model that helps assess how well the banking system is positioned to weather exogenous macroeconomic shocks. FLARE estimates banking system capital under varying macroeconomic scenarios, time horizons, and other systemic shocks.
Finance and Economics Discussion Series
, Paper 2022-009
Report
Regulatory evaluation of value-at-risk models
Lopez, Jose A.
(1997)
Beginning in 1998, commercial banks may determine their regulatory capital requirements for market risk exposure using value-at-risk (VaR) models; i.e., time-series models of the distributions of portfolio returns. Currently, regulators have available three statistical methods for evaluating the accuracy of VaR models: the binomial method, the interval forecast method, and the distribution forecast method. These methods test whether the VaR forecasts in question exhibit properties characteristics of accurate VaR forecasts. However, the statistical tests can have low power against alternative ...
Research Paper
, Paper 9710
Working Paper
The long-run relationship between bank capital and lending
Gunther, Jeffery W.; Moore, Robert R.
(1993)
Financial Industry Studies Working Paper
, Paper 93-3
Journal Article
Modifications of risk-based capital guidelines adopted, effective December 30, 1992
anonymous
(1993-02)
Federal Reserve Bulletin
, Issue Feb
Journal Article
Capital regulations: the road ahead
Swaan, Tom de
(1998-10)
This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 7, "The future of capital regulation." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.
Economic Policy Review
, Volume 4
, Issue Oct
, Pages 231-235
Conference Paper
Reforming bank capital requirements: a rating agency perspective
Fons, Jerome S.
(2000)
Proceedings
, Paper 671
Journal Article
Formulas or supervision? Remarks on the future of regulatory capital
Estrella, Arturo
(1998-10)
This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 6, "The role of capital regulation in bank supervision." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.
Economic Policy Review
, Volume 4
, Issue Oct
, Pages 191-200
Working Paper
The role of banks in influencing regional flow of funds
Samolyk, Katherine A.
(1989)
A presentation of a theoretical model of regional banking using plausible information asymmetries to explain how local bank capital may affect the funding of regional investments, concluding that regional banking conditions can affect the efficiency of investment and the level of future aggregate output.
Working Papers (Old Series)
, Paper 8914
Journal Article
Final amendments to risk-based capital guidelines to account for netting contracts, effective December 31, 1994
anonymous
(1995-02)
Federal Reserve Bulletin
, Issue Feb
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