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...

This study provides an overview of the characteristics of stockholdings of foreign and local investors in terms of firm sizes, price levels and liquidity. There are four key findings. First, the IDX is a highly concentrated market and foreign investors dominate the ownership of high market...

Purpose – The purpose of this paper is to evaluate two different asset selection methodologies and further examine these by forming optimal portfolios. Design/methodology/approach – This paper deals with the problem of portfolio formation, broadly in two steps: asset selection and asset...