A Quality Index for Evaluating the Bank Capital Adequacy According to Basel I and II

Sapountzoglou Gerassimos
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Sapountzoglou Gerassimos: Athens University of Economics and Business, Department of Economics, Athens, Greece.

Stochastics and Quality Control, 2007, vol. 22, issue 2, 191-195

Abstract: This paper deals with a Markov process used for stochastic modeling of the international banking supervision related to the Basel's accords. A quality index reflecting the performance of a bank is proposed, which is based on the asymptotic behavior of the Markov process.

Keywords: Quality index; Markov process; International Banking Supervision; Bank Capital Adequacy (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:ecqcon:v:22:y:2007:i:2:p:191-195:n:4

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DOI: 10.1515/EQC.2007.191

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