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...

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Detalhes bibliográficos
Autores: Allen, David E., McAleer, Michael, Powell, Robert J., Singh, Abhay K.
Tipo de documento: relatório científico
Data de publicação:2013
País:España
Recursos:Universidad Complutense de Madrid (UCM)
Repositório:Docta Complutense
Idioma:inglês
OAI Identifier:oai:docta.ucm.es:20.500.14352/41503
Acesso em linha:https://hdl.handle.net/20.500.14352/41503
Access Level:Acceso aberto
Palavra-chave:: Credit risk
Capital buffer
Distance to default
Conditional value at risk
Capital adequacy buffer model.
Econometría (Economía)
5302 Econometría
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oai_identifier_str oai:docta.ucm.es:20.500.14352/41503
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network_name_str España
repository_id_str
spelling A Capital Adequacy Buffer ModelAllen, David E.McAleer, MichaelPowell, Robert J.Singh, Abhay K.: Credit riskCapital bufferDistance to defaultConditional value at riskCapital adequacy buffer model.Econometría (Economía)5302 EconometríaIn 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.Universidad Complutense de Madrid20132013-10-0120132013-10-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/41503reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Atribución-NoComercial 3.0 Españahttps://creativecommons.org/licenses/by-nc/3.0/es/info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/415032026-06-02T12:44:21Z
dc.title.none.fl_str_mv A Capital Adequacy Buffer Model
title A Capital Adequacy Buffer Model
spellingShingle A Capital Adequacy Buffer Model
Allen, David E.
: Credit risk
Capital buffer
Distance to default
Conditional value at risk
Capital adequacy buffer model.
Econometría (Economía)
5302 Econometría
title_short A Capital Adequacy Buffer Model
title_full A Capital Adequacy Buffer Model
title_fullStr A Capital Adequacy Buffer Model
title_full_unstemmed A Capital Adequacy Buffer Model
title_sort A Capital Adequacy Buffer Model
dc.creator.none.fl_str_mv Allen, David E.
McAleer, Michael
Powell, Robert J.
Singh, Abhay K.
author Allen, David E.
author_facet Allen, David E.
McAleer, Michael
Powell, Robert J.
Singh, Abhay K.
author_role author
author2 McAleer, Michael
Powell, Robert J.
Singh, Abhay K.
author2_role author
author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv : Credit risk
Capital buffer
Distance to default
Conditional value at risk
Capital adequacy buffer model.
Econometría (Economía)
5302 Econometría
topic : Credit risk
Capital buffer
Distance to default
Conditional value at risk
Capital adequacy buffer model.
Econometría (Economía)
5302 Econometría
description 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.
publishDate 2013
dc.date.none.fl_str_mv 2013
2013-10-01
2013
2013-10-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/41503
url https://hdl.handle.net/20.500.14352/41503
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial 3.0 España
https://creativecommons.org/licenses/by-nc/3.0/es/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial 3.0 España
https://creativecommons.org/licenses/by-nc/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,811543

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