Ford, Guy; Sundmacher, Maike; Daly, Kevin James; … - Macquarie University; University of Western Sydney; … - 2005
All banks must hold capital equal to the minimum regulatory requirement. However, in many cases the level of regulatory … capital diverges from the actual (economic) capital held by banks. A bank's actual capital is typically linked to a target … credit rating, which is in turn determined by the probability of default. If actual capital held by the bank is allocated …