Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2013-10-15
Number: 13-168/III
Author-Name: David Allen
Author-Workplace-Name: University of South Australia, and University of Sydney, Australia
Author-Name: Michael McAleer
Author-Workplace-Name: National Tsing Hua University Taiwan,
Title: A Capital Adequacy Buffer Model
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.
Classification-JEL: G01, G21, G28
Keywords: Credit risk, Capital buffer, Distance to default, Conditional value at risk, Capital adequacy buffer model
File-Url: https://papers.tinbergen.nl/13168.pdf
File-Format: application/pdf
File-Size: 284379 bytes
Handle: RePEc:tin:wpaper:20130168