A counter cyclical adjustment on the economic capital measurement of listed commercial banks

Lingyao Pan

MPRA Paper from University Library of Munich, Germany

Abstract: With the implementation of the "Basel III", banks need more capital to cover risks. The changing rules of capital will be different from the previous. Taking Morgan as an example, a top-down method is used to calculate its economic capital. Then, by comparing with the reported economic capital, the result shows Morgan has considered pro-cyclicality and made a great counter cyclical adjustment. In order to provide regulatory authority a reasonable method to know well the risk of commercial banks, the top-down economic capital measure model is counter cyclical modified.

Keywords: Economic capital; Top-down method; Pro-cyclicality; Counter cyclical adjustment (search for similar items in EconPapers)
JEL-codes: C6 G2 (search for similar items in EconPapers)
Date: 2014-01-10
New Economics Papers: this item is included in nep-ban
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