2013-10-01
A Capital Adequacy Buffer Model
Publication
Publication
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.
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| Tinbergen Institute | |
| hdl.handle.net/1765/50286 | |
| Tinbergen Institute Discussion Paper Series | |
| Tinbergen Institute Discussion Paper Series | |
| Organisation | Erasmus School of Economics |
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Allen, D., McAleer, M., Powell, R., & Singh, A. (2013). A Capital Adequacy Buffer Model (No. TI 13-168/III). Tinbergen Institute Discussion Paper Series (pp. 1–18). Retrieved from http://hdl.handle.net/1765/50286 |
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