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External research report . 2013
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External research report . 2013
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A Capital Adequacy Buffer Model

descriptionPublicationkeyboard_double_arrow_right External research report 01 Jan 2013 Spain English
Authors: Allen, David E.; McAleer, Michael; Powell, Robert J.; Singh, Abhay K.;

handle: 20.500.14352/41503

A Capital Adequacy Buffer Model

Abstract

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.

Country
Spain
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Keywords

Capital buffer, Conditional value at risk, 5302 Econometría, Econometría (Economía), : Credit risk, Capital adequacy buffer model., Distance to default

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
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Average
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