Paul Kupiec

American Enterprise Institute

Resident Scholar

1789 Massachusetts ave NW

Washington DC, DC 20036

United States

  • American Enterprise Institute

SCHOLARLY PAPERS

32

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SSRN CITATIONS
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25

CROSSREF CITATIONS

47

Scholarly Papers (32)

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1.

Capital Allocation for Portfolio Credit Risk

Downloads 1,517 ( 17,462)

Capital Allocation for Portfolio Credit Risk

FDIC Center For Financial Research Working Paper No. 2006-08, Revision of WP2005-04
Number of pages: 34 Posted: 01 Apr 2005
Paul Kupiec
American Enterprise Institute
Downloads 965 (33,374)

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economic capital, credit risk internal models, Basel II Internal Ratings Approach

Capital Allocation for Portfolio Credit Risk

Number of pages: 34 Posted: 05 Apr 2005
Paul Kupiec
American Enterprise Institute
Downloads 552 (70,244)

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Economic capital, credit risk internal models, Basel II, Internal Ratings Approach

2.

Deposit Insurance, Bank Incentives, and the Design of Regulatory Policy

Downloads 495 ( 81,284)
Citation 2

Deposit Insurance, Bank Incentives, and the Design of Regulatory Policy

Number of pages: 34 Posted: 26 Jun 1998
Paul Kupiec and James M. O'Brien
American Enterprise Institute and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section
Downloads 431 (94,907)

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Deposit Insurance, Bank Incentives, and the Design of Regulatory Policy

Economic Policy Review, Vol. 4, No. 3, October 1998
Number of pages: 11 Posted: 15 Nov 2007
Paul Kupiec and James M. O'Brien
American Enterprise Institute and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section
Downloads 64 (475,219)

Abstract:

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G2, G3

3.

Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?

Number of pages: 40 Posted: 03 Dec 1997
Paul Kupiec
American Enterprise Institute
Downloads 419 (98,854)
Citation 6

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4.

How Well Does the Vasicek-Basel Airb Model Fit the Data? Evidence from a Long Time Series of Corporate Credit Rating Data

FDIC Working Paper Series
Number of pages: 62 Posted: 17 Dec 2009
Paul Kupiec
American Enterprise Institute
Downloads 395 (105,825)
Citation 11

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Portfolio Credit Risk Measurement, Corporate Ratings, Basel II, Vasicek Credit Risk Model, Economic Capital Allocation

5.

The Pre-Commitment Approach: Using Incentives to Set Market Risk Capital Requirements

Number of pages: 52 Posted: 29 Jul 1997
Paul Kupiec and James M. O'Brien
American Enterprise Institute and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section
Downloads 372 (113,245)
Citation 24

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6.

The New Basel Capital Accord: The Devil is in the (Calibration) Details

IMF Working Paper No. 01/113
Number of pages: 21 Posted: 01 Feb 2006
Paul Kupiec
American Enterprise Institute
Downloads 350 (121,263)

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bank regulation, Basel Accord, regulatory capital requirements, credit risk

7.

Financial Stability and Basel Ii

FDIC Center for Financial Research, Working Paper Number 2006-10
Number of pages: 36 Posted: 05 Nov 2006
Paul Kupiec
American Enterprise Institute
Downloads 336 (126,759)
Citation 2

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credit risk measurement, credit risk capital allocation, Basel II

8.

Bank Failures and the Cost of Systemic Risk: Evidence from 1900-1930

Federal Deposit Insurance Corporation (FDIC) Working Paper
Number of pages: 48 Posted: 18 Jun 2009
Paul Kupiec and Carlos D. Ramirez
American Enterprise Institute and George Mason University - Department of Economics
Downloads 276 (155,441)
Citation 12

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bank failures, systemic risk, financial accelerator, vector autoregressions, Panic of 1907, non-bank commercial failures

9.

Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk

IMF Working Paper No. 02/157
Number of pages: 30 Posted: 01 Feb 2006
Paul Kupiec
American Enterprise Institute
Downloads 244 (175,676)

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regulatory capital requirements, credit VaR, subordinated debt, internal risk models

10.

Calibrating Your Intuition Capital Allocation for Market and Credit Risk

IMF Working Paper No. 02/99
Number of pages: 23 Posted: 15 Feb 2006
Paul Kupiec
American Enterprise Institute
Downloads 232 (184,345)

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value at risk market risk credit risk capital allocation

11.

Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives

IMF Working Paper No. 02/125
Number of pages: 32 Posted: 02 Feb 2006
Paul Kupiec
American Enterprise Institute
Downloads 212 (200,692)

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Regulatory capital requirements, credit risk, credit VaR, internal models

12.

Testing for Systemic Risk Using Stock Returns

Number of pages: 52 Posted: 22 Jan 2015
Paul Kupiec and Levent Guntay
American Enterprise Institute and Federal Deposit Insurance Corporation (FDIC)
Downloads 203 (208,958)
Citation 5

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systemic risk, conditional value at risk, CoVaR, marginal expected shortfall, MES, systemically important financial institutions, SIFIs

13.

Taking the Risk Out of Systemic Risk Measurement

Number of pages: 42 Posted: 08 Jan 2014 Last Revised: 14 Aug 2014
Levent Guntay and Paul Kupiec
Federal Deposit Insurance Corporation (FDIC) and American Enterprise Institute
Downloads 199 (213,677)
Citation 13

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systemic risk, conditional value at risk, CoVaR, marginal expected shortfall, MES, systemically important financial institutions, SIFIs

14.

Will TLAC Regulations Fix the G-SIB Too-Big-To-Fail Problem?

AEI Economic Policy Working Paper 2015-08
Number of pages: 33 Posted: 18 Jul 2015 Last Revised: 27 Nov 2015
Paul Kupiec
American Enterprise Institute
Downloads 178 (234,513)
Citation 5

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TLAC total loss absorbing capacity, G-SIBs, global systemically important banks, bail-in capital, SPOE, single point of entry strategy

15.

Can the 'Single Point of Entry' Strategy Be Used to Recapitalize a Failing Bank?

Number of pages: 42 Posted: 07 Nov 2014 Last Revised: 10 Dec 2014
Paul Kupiec and Peter J. Wallison
American Enterprise Institute and American Enterprise Institute (AEI)
Downloads 151 (268,901)
Citation 5

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Dodd-Frank Act, Orderly Liquidation Authority, Single Point of Entry strategy, Orderly Liquidation Fund, bankruptcy, bank resolution

16.

Is Dodd Frank Orderly Liquidation Authority Necessary to Fix Too-Big-to-Fail?

AEI Economic Policy Working Paper No. 2015-09
Number of pages: 56 Posted: 23 Oct 2015
Paul Kupiec
American Enterprise Institute
Downloads 92 (382,482)
Citation 1

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Reforming the Dodd-Frank Act, ending too-big-to-fail

17.

Capital for Concentrated Credit Portfolios

Number of pages: 14 Posted: 05 May 2015
Paul Kupiec
American Enterprise Institute
Downloads 76 (428,276)

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Portfolio diversification, idiosyncratic default risk, obligor concentration, Vasicek single common factor model of credit risk, credit value at risk, Basel bank capital requirements

18.

Fixing Prompt Corrective Action

Number of pages: 15 Posted: 29 Jan 2016
Paul Kupiec
American Enterprise Institute
Downloads 69 (451,141)
Citation 1

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Prompt Corrective Action, Bank Resolution, Deposit Insurance Fund losses

19.

Does Bank Supervision Impact Bank Loan Growth?

Number of pages: 48 Posted: 13 May 2015
Paul Kupiec, Yan Y. Lee and Claire M. Rosenfeld
American Enterprise Institute, FDIC, Division of Insurance and Research and College of William and Mary - Finance
Downloads 57 (495,531)
Citation 3

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Bank supervision, bank loan growth, bank capital, bank liquidity

20.

Policy Uncertainty, Financial Stability, and Stress Testing

Number of pages: 47 Posted: 22 Apr 2019
Paul Kupiec
American Enterprise Institute
Downloads 53 (511,972)
Citation 3

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policy uncertainty, stress test, financial stability

21.

The Leverage Ratio Is Not the Problem

Number of pages: 19 Posted: 12 Sep 2017
Paul Kupiec
American Enterprise Institute
Downloads 42 (563,044)

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supplemental leverage ratio, Basel III, market liquidity, debt overhang, deposit insurance pricing

22.

Incentive Compensation for Risk Managers When Effort is Unobservable

AEI Economic Policy Working Paper 2013-07
Number of pages: 33 Posted: 26 Oct 2013 Last Revised: 05 Nov 2014
Paul Kupiec
American Enterprise Institute
Downloads 34 (606,157)
Citation 4

Abstract:

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risk management, incentive compensation, regulatory policy, deposit insurance

23.

Portfolio Diversification in Concentrated Bond and Loan Portfolios

Posted: 03 Apr 2015
Paul Kupiec
American Enterprise Institute

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Portfolio diversification, idiosyncratic default risk, obligor concentration, Vasicek single common factor model of credit risk, credit value at risk, Basel bank capital requirements

24.

A Generalized Single Common Factor Model of Portfolio Credit Risk

FDIC Center for Financial Research Working Paper Series
Posted: 02 Jul 2007
Paul Kupiec
American Enterprise Institute

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Credit risk measurement, portfolio credit risk, portfolio loss distribution

25.

Basel Ii: A Case for Recalibration

FDIC Center for Financial Resarch Working Paper No. 2006-13
Posted: 05 Nov 2006
Paul Kupiec
American Enterprise Institute

Abstract:

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credit risk measurement, credit risk capital allocation, Basel II

26.

Assessing Systemic Risk Exposure from Banks and Gses Under Alternative Approaches to Capital Regulation

Posted: 01 Oct 2003
Paul Kupiec and David B. Nickerson
American Enterprise Institute and Ryerson University, TGSM

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capital regulation, government sponsored enterprise, housing

27.

Noise Traders, Excess Volatility, and a Securities Transactions Tax

Posted: 25 Aug 1998
Paul Kupiec
American Enterprise Institute

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28.

The Use of Bank Trading Risk Models for Regulatory Capital Purposes

Posted: 25 Aug 1998
Paul Kupiec and James M. O'Brien
American Enterprise Institute and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section

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29.

A Pre-Commitment Approach to Capital Requirements for Market Risk

Posted: 24 Aug 1998
Paul Kupiec and James M. O'Brien
American Enterprise Institute and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section

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30.

Recent Developments in Bank Capital Regulation; Regulation of Market Risks

Posted: 05 Jul 1998
Paul Kupiec and James M. O'Brien
American Enterprise Institute and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section

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31.

Regulatory Competition and the Efficiency of Alternative Derivative Product Margining Systems

Posted: 02 Jul 1998
Paul Kupiec and A. Patricia White
American Enterprise Institute and Government of the United States of America - Division of Research and Statistics

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32.

Techniques for Verifying the Accuracy of Risk Measurement Models

Downloads 0 (909,419)

Techniques for Verifying the Accuracy of Risk Measurement Models

THE J. OF DERIVATIVES, Vol. 3 No. 2, Winter 1995
Posted: 09 Jan 1996
Paul Kupiec
American Enterprise Institute

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Techniques for Verifying the Accuracy of Risk Measurement Models

Posted: 13 Sep 1995
Paul Kupiec
American Enterprise Institute

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