A Capital Adequacy Buffer Model

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model, which measures distance to default, and the timeless capital asset pricing model (CAPM) which measures additional returns to compensate for additional share price risk.

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Year of publication:	2013-10-16
Authors:	Allen, David ; McAleer, Michael ; Powell, Robert ; Singh, Abhay
Institutions:	Department of Economics and Finance, College of Business and Economics
Subject:	Credit risk \| Capital buffer \| Distance to default \| Conditional value at risk \| Capital adequacy buffer model

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Extent:	application/pdf
Series:	Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	13 pages
Classification:	G01 - Financial Crises ; G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010907446