Allen, David E.McAleer, MichaelPowell, Robert J.Singh, Abhay K.2023-06-192023-06-192013-10https://hdl.handle.net/20.500.14352/41503JEL 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.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.engAtribución-NoComercial 3.0 Españahttps://creativecommons.org/licenses/by-nc/3.0/es/technical reporthttps://www.ucm.es/icaeopen access: Credit riskCapital bufferDistance to defaultConditional value at riskCapital adequacy buffer model.Econometría (Economía)5302 Econometría