Allen, David Edmund; McAleer, Michael; Powell, Robert J.; … - Facultad de Ciencias Económicas y Empresariales, … - 2013
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 …