This paper investigates the Estimating Function method in the context of ACD modelling and appraises the properties of these estimates. A simulation study is conducted to demonstrate that these estimates are more efficient than the corresponding ML and QML estimates.

This paper investigates the impact of extreme fluctuations in bank asset values on the capital adequacy and default probabilities (PD) of Japanese Banks. We apply quantile regression analysis to the Merton structural credit model to measure how capital adequacy and PDs fluctuate over a 10 year...

The objective of this paper is to determine how relative market and credit risk changes among European sectors during times of extreme market fluctuations. Ten sectors comprising the S&P Euro index are compared prior to and during the Global Financial Crisis (GFC). Market risk is measured using...

There is now a massive literature on both the GARCH family of risk models and the related Auto-Conditional Duration (ACD) models used for modeling the stochastic timing of trades or price changes in finance market microstructure research. Both have their origins in Engle (1982) and Bollerslev...

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...