Paul H. Kupiec

Federal Deposit Insurance Corporation (FDIC)

Associate Director

550 Seventeenth Street, NW

Washington, DC 20057

United States

SCHOLARLY PAPERS

20

DOWNLOADS
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Top 8,259

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4,453

CITATIONS
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Top 6,977

in Total Papers Citations

69

Scholarly Papers (20)

1.
Downloads 1,443 ( 9,432)
Citation 4

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 H. Kupiec
Federal Deposit Insurance Corporation (FDIC)
Downloads 934 (18,281)
Citation 4

Abstract:

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 H. Kupiec
Federal Deposit Insurance Corporation (FDIC)
Downloads 509 (42,676)
Citation 4

Abstract:

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

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 H. Kupiec and James M. O'Brien
Federal Deposit Insurance Corporation (FDIC) and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section
Downloads 403 (57,166)
Citation 6

Abstract:

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 H. Kupiec and James M. O'Brien
Federal Deposit Insurance Corporation (FDIC) and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section
Downloads 55 (312,726)
Citation 6

Abstract:

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 H. Kupiec
Federal Deposit Insurance Corporation (FDIC)
Downloads 389 (57,702)
Citation 11

Abstract:

4.

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

Number of pages: 52 Posted: 29 Jul 1997
Paul H. Kupiec and James M. O'Brien
Federal Deposit Insurance Corporation (FDIC) and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section
Downloads 314 (74,024)
Citation 25

Abstract:

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 H. Kupiec
Federal Deposit Insurance Corporation (FDIC)
Downloads 309 (73,544)
Citation 7

Abstract:

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

6.

Financial Stability and Basel II

FDIC Center for Financial Research, Working Paper Number 2006-10
Number of pages: 36 Posted: 05 Nov 2006
Paul H. Kupiec
Federal Deposit Insurance Corporation (FDIC)
Downloads 304 (78,889)
Citation 4

Abstract:

credit risk measurement, credit risk capital allocation, Basel II

7.

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 H. Kupiec
Federal Deposit Insurance Corporation (FDIC)
Downloads 263 (84,081)
Citation 2

Abstract:

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

8.

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 H. Kupiec
Federal Deposit Insurance Corporation (FDIC)
Downloads 225 (107,135)
Citation 1

Abstract:

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

9.

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 H. Kupiec and Carlos D. Ramirez
Federal Deposit Insurance Corporation (FDIC) and George Mason University - Department of Economics
Downloads 224 (103,031)
Citation 3

Abstract:

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

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 H. Kupiec
Federal Deposit Insurance Corporation (FDIC)
Downloads 214 (112,391)
Citation 1

Abstract:

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 H. Kupiec
Federal Deposit Insurance Corporation (FDIC)
Downloads 198 (122,712)
Citation 5

Abstract:

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

12.

A Generalized Single Common Factor Model of Portfolio Credit Risk

FDIC Center for Financial Research Working Paper Series
Posted: 02 Jul 2007
Paul H. Kupiec
Federal Deposit Insurance Corporation (FDIC)

Abstract:

Credit risk measurement, portfolio credit risk, portfolio loss distribution

13.

Basel II: A Case for Recalibration

FDIC Center for Financial Resarch Working Paper No. 2006-13
Posted: 05 Nov 2006
Paul H. Kupiec
Federal Deposit Insurance Corporation (FDIC)

Abstract:

credit risk measurement, credit risk capital allocation, Basel II

14.

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 H. Kupiec and David B. Nickerson
Federal Deposit Insurance Corporation (FDIC) and Ryerson University, TGSM

Abstract:

capital regulation, government sponsored enterprise, housing

15.

The Use of Bank Trading Risk Models for Regulatory Capital Purposes

Posted: 25 Aug 1998
Paul H. Kupiec and James M. O'Brien
Federal Deposit Insurance Corporation (FDIC) and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section

Abstract:

16.

Noise Traders, Excess Volatility, and a Securities Transactions Tax

FEDS Paper Number: 95-26
Posted: 25 Aug 1998
Paul H. Kupiec
Federal Deposit Insurance Corporation (FDIC)

Abstract:

17.

A Pre-Commitment Approach to Capital Requirements for Market Risk

Posted: 24 Aug 1998
Paul H. Kupiec and James M. O'Brien
Federal Deposit Insurance Corporation (FDIC) and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section

Abstract:

18.

Recent Developments in Bank Capital Regulation; Regulation of Market Risks

FEDS Paper Number 95-51
Posted: 05 Jul 1998
Paul H. Kupiec and James M. O'Brien
Federal Deposit Insurance Corporation (FDIC) and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section

Abstract:

19.

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 H. Kupiec and A. Patricia White
Federal Deposit Insurance Corporation (FDIC) and Government of the United States of America - Division of Research and Statistics

Abstract:

Techniques for Verifying the Accuracy of Risk Measurement Models

THE J. OF DERIVATIVES, Vol. 3 No. 2, Winter 1995
Posted: 09 Jan 1996
Paul H. Kupiec
Federal Deposit Insurance Corporation (FDIC)

Abstract:

Techniques for Verifying the Accuracy of Risk Measurement Models

FEDS Paper Number: 95-24
Posted: 13 Sep 1995
Paul H. Kupiec
Federal Deposit Insurance Corporation (FDIC)

Abstract: