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 work compares the accuracy of different measures of Value at Risk (VaR) of fixed income portfolios calculated on the basis of different multi-factor empirical models of the term structure of interest rates (TSIR). There are three models included in the comparison: (1) regression models, (2)...

En este trabajo se compara la precisión de diferentes medidas de Valor en Riesgo (VaR) en carteras de renta fija calculadas a partir de diferentes modelos empíricos multifactoriales de la estructura temporal de los tipos de interés (ETTI). Los modelos incluidos en la comparativa son tres: (1)...

We show how the term structure of volatilities for zero-cupon interest rates from the Spanish secondary debt market can be explained by a reduced number of factors. This factor representation can be used to produce time series volatilities across the whole term structure. As an alternative,...