A Capital Adequacy Buffer Model
| dc.contributor.author | Allen, David E. | |
| dc.contributor.author | McAleer, Michael | |
| dc.contributor.author | Powell, Robert J. | |
| dc.contributor.author | Singh, Abhay K. | |
| dc.date.accessioned | 2023-06-19T23:53:24Z | |
| dc.date.available | 2023-06-19T23:53:24Z | |
| dc.date.issued | 2013-10 | |
| dc.description | JEL Classification: G01, G21, G28 The authors wish to thank the Australian Research Council, Edith Cowan University Faculty of Business and Law Strategic Research Fund, and the National Science Council, Taiwan, for financial assistance. | |
| dc.description.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. | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | FALSE | |
| dc.description.status | unpub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/22757 | |
| dc.identifier.relatedurl | https://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/41503 | |
| dc.issue.number | 33 | |
| dc.language.iso | eng | |
| dc.page.total | 15 | |
| dc.relation.ispartofseries | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
| dc.rights | Atribución-NoComercial 3.0 España | |
| dc.rights.accessRights | open access | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc/3.0/es/ | |
| dc.subject.keyword | : Credit risk | |
| dc.subject.keyword | Capital buffer | |
| dc.subject.keyword | Distance to default | |
| dc.subject.keyword | Conditional value at risk | |
| dc.subject.keyword | Capital adequacy buffer model. | |
| dc.subject.ucm | Econometría (Economía) | |
| dc.subject.unesco | 5302 Econometría | |
| dc.title | A Capital Adequacy Buffer Model | |
| dc.type | technical report | |
| dc.volume.number | 2013 | |
| dcterms.references | Bank for International Settlements. (2011). Basel III: A global regulatory framework for more resilient banks and banking systems - revised version June 2011. Retrieved 2 February 2013, from http://www.bis.org. Bank of England. (2008). Financial Stability Report, October. (24). Bharath, S. T., & Shumway, T. (2008). Forecasting default with the merton distance-to-default model. The Review of Financial Studies, 21(3), 1339-1369. Bucher, M., Diemo, D., & Hauck, A. (2013). Business cycles, bank credit and crises. Economics Letters, 120(2), 229-231. Chan-Lau, J., & Sy, A. (2006). Distance-to-default in banking: A bridge too far: IMF working paper WP06/215. Crosbie, P., & Bohn, J. (2003). Modelling default risk. Retrieved 12 May 2013, from http://www.moodysanalytics.com/. European Central Bank. (2005). Financial Stability Review. Federal Reserve Bank. (2012). The new face of bank capital. Financial Update, 25(3). Federal Reserve Bank. (2013). U.S. Federal Reserve statistical release. Charge-off and delinquency rates. Gapen, G., Gray, D., Lim, C., & Xiao. (2004). The contingent claims approach to corporate vulnerability analysis: Estimating default risk and economy-wide risk transfer: International Monetary Fund WP/04/121. Kealhofer, S., & Bohn, J. R. (1993). Portfolio Management of Default Risk. Retrieved 11 June 2009, from www.moodysanalytics.com. Kretzschmar, G., McNeil, A. J., & Kirchner, A. (2010). Integrated models of capital adequacy – Why banks are undercapitalised. Journal of Banking and Finance, 34(12), 2838-2850. Merton, R. (1974). On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29, 449-470. Moody's Analytics. (2013). History of KMV. http://www.moodysanalytics.com/About-Us/History/KMV-History.aspx. Sharpe, W. F. (1964). Capital Asset Prices - A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3). Vassalou, M., & Xing, Y. (2004). Default risk in equity returns. Journal of Finance, 59, 831-868. Weber, R. F. (2010). New governance, financial regulation, and challenges to legitimacy: The example of the internal models approach to capital adequacy regulation. Administrative Law Review, 62(3), 783-872. Woo, S. P. (2012). Stress before consumption: A proposal to reform agency ratings. European law Journal(1), 62-82. | |
| dspace.entity.type | Publication |
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