Fat-Tails and their (Un)Happy Endings (Record no. 156691)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02498nam a22004334a 4500 |
| 001 - CONTROL NUMBER | |
| control field | WPIEA2011082 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | IMF |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190405174950.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cn||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 020129s2011 dcu o i00 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1455226068 : |
| Terms of availability | 18.00 USD |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9781455226061 |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 1018-5941 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.5089/9781455226061.001 |
| Source of number or code | doi |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (IMF)WPIEA2011082 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | DcWaIMF |
| Language of cataloging | eng |
| 110 2# - MAIN ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | International Monetary Fund. |
| 245 10 - TITLE STATEMENT | |
| Title | Fat-Tails and their (Un)Happy Endings |
| Medium | [electronic resource] : |
| Remainder of title | Correlation Bias and its Implications for Systemic Risk and Prudential Regulation. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Washington, D.C. : |
| Name of publisher, distributor, etc | International Monetary Fund, |
| Date of publication, distribution, etc | 2011. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (21 p.) |
| 490 1# - SERIES STATEMENT | |
| Series statement | IMF Working Papers; Working Paper ; |
| Volume number/sequential designation | No. 11/82 |
| 520 3# - SUMMARY, ETC. | |
| Summary, etc | The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim holders' preferred degree of asset correlation in portfolios held by the firm. Using the copula capital structure model, it is shown that the correlation bias shifts shareholder preferences towards highly correlated assets, making financial institutions more prone to fail and increasing systemic risk given interconnectedness in the financial system. The implications for systemic risk and prudential regulation are assessed under the prism of Basel III, and potential solutions involving changes to the prudential framework and corporate governance are suggested. |
| 588 ## - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Description based on print version record. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Basel III |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Copula Capital Structure Model |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Corporate Finance and Governance: Government Policy and Regulation |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Correlation Bias |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Probability |
| Source of heading or term | imf |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Prudential Regulation |
| Source of heading or term | imf |
| 651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME | |
| Geographic name | Belgium |
| Source of heading or term | imf |
| 651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME | |
| Geographic name | Canada |
| Source of heading or term | imf |
| 651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME | |
| Geographic name | Japan |
| Source of heading or term | imf |
| 651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME | |
| Geographic name | United Kingdom |
| Source of heading or term | imf |
| 651 #7 - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME | |
| Geographic name | United States |
| Source of heading or term | imf |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print Version: |
| Title | Fat-Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation |
| Place, publisher, and date of publication | Washington, D.C. : International Monetary Fund, 2011. |
| International Standard Book Number | 9781455226061 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | IMF Working Papers; Working Paper ; |
| Volume number/sequential designation | No. 11/82 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://elibrary.imf.org/view/IMF001/11771-9781455226061/11771-9781455226061/11771-9781455226061.xml">http://elibrary.imf.org/view/IMF001/11771-9781455226061/11771-9781455226061/11771-9781455226061.xml</a> |
| Public note | IMF e-Library |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://www.imfbookstore.org/IMFORG/9781455226061">http://www.imfbookstore.org/IMFORG/9781455226061</a> |
| Public note | IMF Book Store |
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