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
Authors:	Abad, Pilar ; Benito, Sonia ; Granero, Miguel Angel Sánchez ; López, Carmen
Institutions:	Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
Subject:	Value at Risk \| Parametric model \| Skewness t-Generalised Distribution \| GARCH Model \| Risk Management \| Loss function

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Extent:	application/pdf
Series:	Documentos de Trabajo del ICAE.
Type of publication:	Book / Working Paper
Notes:	This work has been funded by the Spanish Ministerio de Ciencia y Tecnología (ECO2009-10398/ECON and ECO2011-23959). Number 2013-40 21 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010862566