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Título:
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A Capital Adequacy Buffer Model
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Autores:
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Allen, David E. ;
McAleer, Michael ;
Powell, Robert J. ;
Singh, Abhay K.
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Tipo de documento:
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texto impreso
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Fecha de publicación:
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2013-10
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = No publicado
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Materia = Ciencias Sociales: Economía: Econometría
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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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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En línea:
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https://eprints.ucm.es/id/eprint/22757/1/1333.pdf
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