RT Report
T1 A Capital Adequacy Buffer Model
A1 Allen, David E.
A1 McAleer, Michael
A1 Powell, Robert J.
A1 Singh, Abhay K.
AB 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.
YR 2013
FD 2013-10
LK https://hdl.handle.net/20.500.14352/41503
UL https://hdl.handle.net/20.500.14352/41503
LA eng
NO JEL Classification: G01, G21, G28The 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.
DS Docta Complutense
RD 10 abr 2025