A Capital Adequacy Buffer Model
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 distan...
| Autores: | , , , |
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 2013 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/41503 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/41503 |
| Access Level: | acceso abierto |
| Palabra clave: | : Credit risk Capital buffer Distance to default Conditional value at risk Capital adequacy buffer model. Econometría (Economía) 5302 Econometría |
| Sumario: | 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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