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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Scholarly Papers (32)

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1.

Capital Allocation for Portfolio Credit Risk

Downloads 1,475 ( 11,613)

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 951 (22,367)

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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 524 (50,583)

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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 471 ( 58,584)

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

Finance and Economics Discussion Series FEDS Paper Number 98-10
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 414 (67,845)

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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 57 (364,450)

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G2, G3

3.

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

Board of Governors of the Federal Reserve System Finance and Economics Discussion Series FEDS PAPER NUMBER: (97-22)
Number of pages: 40 Posted: 03 Dec 1997
Paul Kupiec
American Enterprise Institute
Downloads 408 (69,700)

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4.

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 337 (87,070)

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5.

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 336 (87,378)

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

6.

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 328 (89,767)

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

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 322 (91,606)

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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 255 (117,578)

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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 238 (126,098)

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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 227 (132,212)

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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 207 (144,372)

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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 193 (154,147)

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

13.

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 158 (183,821)

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

14.

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 138 (205,397)

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

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 130 (215,517)

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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 80 (299,606)

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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 68 (328,518)

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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 53 (371,555)

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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 53 (371,555)

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

20.

The Leverage Ratio Is Not the Problem

Number of pages: 19 Posted: 12 Sep 2017
Paul Kupiec
American Enterprise Institute
Downloads 24 (489,443)

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

21.

Policy Uncertainty, Financial Stability, and Stress Testing

Number of pages: 47 Posted: 22 Apr 2019
Paul Kupiec
American Enterprise Institute
Downloads 22 (500,558)

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policy uncertainty, stress test, financial stability

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 15 (540,648)

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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

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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

Journal of Real Estate Finance and Economics, Vol. 28, No. 2
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

FEDS Paper Number: 95-26
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

FEDS Paper Number 95-51
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

Board of Governors of the Federal Reserve System Finance and Economics Discussion Series FEDS Paper Number: 96-11
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 (655,960)

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

FEDS Paper Number: 95-24
Posted: 13 Sep 1995
Paul Kupiec
American Enterprise Institute

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