A Capital Adequacy Buffer Model

David Allen, Robert Powell and Abhay Singh

No EI 2013-32, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

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.

Keywords: credit risk; capital buffer; distance to default; conditional value at risk; Capital adequacy buffer model (search for similar items in EconPapers)
JEL-codes: G01 G21 G28 (search for similar items in EconPapers)
Date: 2013-10-01
New Economics Papers: this item is included in nep-ban, nep-cba and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: A capital adequacy buffer model (2016)
Working Paper: A Capital Adequacy Buffer Model (2013)
Working Paper: A Capital Adequacy Buffer Model (2013)
Working Paper: A Capital Adequacy Buffer Model (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:50131

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