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A Capital Adequacy Buffer Model

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Allen, David E. and McAleer, Michael and Powell, Robert J. and Singh, Abhay K. (2013) A Capital Adequacy Buffer Model. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 33, 2013, ] (Unpublished)

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Official URL: http://eprints.ucm.es/22757/


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Abstract

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.


Item Type:Working Paper or Technical Report
Additional Information:

JEL Classification: G01, G21, G28
The authors wish to thank the Australian Research Council, Edith Cowan University Faculty of Business and Law Strategic Research Fund, and the National Science Council, Taiwan, for financial assistance.

Uncontrolled Keywords:: Credit risk, Capital buffer, Distance to default, Conditional value at risk, Capital adequacy buffer model.
Subjects:Social sciences > Economics > Econometrics
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2013
Number:33
ID Code:22757
Deposited On:15 Oct 2013 12:04
Last Modified:16 Feb 2016 09:43

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