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Contents
Contributors ix
Introduction 3
1 Capital Regulation for Position Risk in Banks, Securities Firms,
and Insurance Companies 15
Richard Herring and Til Schuermann
2 Capital Adequacy in Insurance and Reinsurance 87
Scott E. Harrington
3 Consolidated Capital Regulation for Financial Conglomerates 123
Howell E. Jackson
4 Using a Mandatory Subordinated Debt Issuance Requirement
to Set Regulatory Capital Requirements for Bank Credit Risks 146
Paul Kupiec
5 No Pain, No Gain? Effecting Market Discipline via ‘‘Reverse
Convertible Debentures’’ 171
Mark J. Flannery
6 The Use of Internal Models: Comparison of the New Basel Credit
Proposals with Available Internal Models for Credit Risk 197
Michel Crouhy, Dan Galai, and Robert Mark
7 Sizing Operational Risk and the Effect of Insurance: Implications
for the Basel II Capital Accord 258
Andrew P. Kuritzkes and Hal S. Scott
8 Enforcement of Risk-Based Capital Rules 284
Philip A. Wellons
Index 331
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