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 investigates the performance of different models of value at risk. We include several methods (parametric, historical simulation, Monte Carlo, and extreme value theory) and some models to compute the conditional variance. We analyze several international stock indexes and examine two...

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,...