Cao, Jin; Chollete, Loran - Handelshøgskolen, Universitetet i Stavanger - 2014
We present a framework for modelling optimum capital adequacy in a dynamic banking context. We combine the (static) capital adequacy framework of Repullo (2013) with a dynamic banking model similar to that of Corbae and D`Erasmo (2014), with the extra feature that the probability of systemic...