TY  - RPRT
AU  - Allen, David E.
AU  - McAleer, Michael
AU  - Powell, Robert J.
AU  - Singh, Abhay K.
PY  - 2013
UR  - https://hdl.handle.net/20.500.14352/41503
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...
LA  - eng
KW  - : Credit risk
KW  - Capital buffer
KW  - Distance to default
KW  - Conditional value at risk
KW  - Capital adequacy buffer model.
TI  - A Capital Adequacy Buffer Model
TY  - technical report
VL  - 2013
ER  -