A Capital Adequacy Buffer Model

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.

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Year of publication:	2013
Authors:	Allen, David ; McAleer, Michael
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Credit risk \| Capital buffer \| Distance to default \| Conditional value at risk \| Capital adequacy buffer model

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Series:	Tinbergen Institute Discussion Paper ; 13-168/III
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	775181757 [GVK] hdl:10419/87189 [Handle] RePEc:dgr:uvatin:20130168 [RePEc]
Classification:	G01 - Financial Crises ; G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation
Source:	EconStor

Persistent link: https://www.econbiz.de/10010326171