Template-Type: ReDIF-Paper 1.0
Author-Name: Allen, D.E.
Author-Name-Last: Allen
Author-Name-First: David
Author-Name: Powell, R.J.
Author-Name-Last: Powell
Author-Name-First: Robert
Author-Name: Singh, A.K.
Author-Name-Last: Singh
Author-Name-First: Abhay
Title: A Capital Adequacy Buffer Model
Abstract: __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.
Creation-Date: 2013-10-01
File-URL: https://repub.eur.nl/pub/50131/EI-2013-32-1-.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2013-32
Classification-JEL: G01, G21, G28
Keywords: credit risk, capital buffer, distance to default, conditional value at risk, Capital adequacy buffer model
Handle: RePEc:ems:eureir:50131