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.

MoreLess

Year of publication:	2013-10-15
Authors:	Allen, David ; McAleer, Michael
Institutions:	Tinbergen Instituut
Subject:	Credit risk \| Capital buffer \| Distance to default \| Conditional value at risk \| Capital adequacy buffer model

More details

Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Tinbergen Institute Discussion Papers Number 13-168/III
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/10011255629