value, and a risk measure, this paper develops a semi-parametric model for estimating the critical level of bank risk at …In moral hazard models, bank shareholders have incentives to transfer wealth from the deposit insurer - that is …, maximize put option value - by pursuing riskier strategies. For safe banks with large charter value, however, the risk …

Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk … exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently …