tailieunhanh - OCCASIONAL PAPER SERIES NO 64 / JULY 2007: THE USE OF PORTFOLIO CREDIT RISK MODELS IN CENTRAL BANKS

The debate is also reflected in the efforts to reform the regulatory environment in response to the current financial crisis. Brunnermeier et al. (2008) also conceptually distinguish between a regulatory and a market based notion of bank capital. When examining the roots of the crisis, Greenlaw et al. (2008) argue that banks’ active management of their capital structures in relation to internal value at risk, rather than regulatory constraints, was a key destabilising factor. Finally, since the patterns of banks’ capital structure line up with those uncovered for firms, our results reflect back on corporate finance findings | EUROPEAN CENTRAL BANK EUROSYSTEM OCCASIONAL PAPER SERIES NO 64 JULY 2007 THE USE OF PORTFOLIO CREDIT RISK MODELS IN CENTRAL BANKS Task Force of the Market Operations Committee of the European System of Central Banks EUROPEAN CENTRAL BANK EUROSYSTEM OCCASIONAL PAPER SERIES NO 64 I JULY 2007 THE USE OF PORTFOLIO CREDIT RISK MODELS IN CENTRAL BANKS Task Force of the Market Operations Committee of the European System of Central Banks In 2007 all ECB publications feature a motif taken from the 20 banknote. This paper can be downloaded without charge from http or from the Social Science Research Network electronic library at http abstract_id 977355. European Central Bank 2007 Address Kaiserstrasse 29 60311 Frankfurt am Main Germany Postal address Postfach 16 03 19 60066 Frankfurt am Main Germany Telephone 49 69 1344 0 Website http Fax 49 69 1344 6000 Telex 411 144 ecb d All rights reserved. Any reproduction publication or reprint in the form of a different publication whether printed or produced electronically in whole or in part is permitted only with the explicit written authorisation of the ECB or the author s . The views expressed in this paper do not necessarily reflect those of the European Central Bank. ISSN 1607-1484 print ISSN 1725-6534 online