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A Capital Adequacy Buffer Model
Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
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 …
Persistent link: https://www.econbiz.de/10011255629
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A Capital Adequacy Buffer Model
Allen, David Edmund; McAleer, Michael; Powell, Robert J.; … - Facultad de Ciencias Económicas y Empresariales, … - 2013
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 …
Persistent link: https://www.econbiz.de/10010778714
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A Capital Adequacy Buffer Model
Allen, David; McAleer, Michael - 2013
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 …
Persistent link: https://www.econbiz.de/10010326171
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A Capital Adequacy Buffer Model
Allen, David; McAleer, Michael; Powell, Robert; Singh, Abhay - Department of Economics and Finance, College of … - 2013
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 …
Persistent link: https://www.econbiz.de/10010907446
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A capital adequacy buffer model
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
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 …
Persistent link: https://www.econbiz.de/10010224793
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Volatility Spillovers from the US to Australia and China across the GFC
Allen, David E.; McAleer, Michael; Powell, R.J.; Singh, A.K. - 2013
the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th …
Persistent link: https://www.econbiz.de/10010326245
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Risk spillovers in returns for Chinese and international tourists to Taiwan
Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018
abandon its development strategy of focusing only on a single market, namely China, and to be pro-active in encouraging visits …
Persistent link: https://www.econbiz.de/10011813417
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Risk Spillovers in Returns for Chinese and International Tourists to Taiwan
Chang, Chia-Lin - 2018
abandon its development strategy of focusing only on a single market, namely China, and to be pro-active in encouraging visits …
Persistent link: https://www.econbiz.de/10012923309
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The impact of China on stock returns and volatility in the Taiwan tourism industry
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10010191310
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Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2014
__Abstract__ This note discusses some aspects of the paper by Hu and Tsay (2014), “Principal Volatility Component Analysis”. The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of...
Persistent link: https://www.econbiz.de/10011149300