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

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  • Sapountzoglou Gerassimos

    (Athens University of Economics and Business, Department of Economics, Athens, Greece.)

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.

Suggested Citation

  • Sapountzoglou Gerassimos, 2007. "A Quality Index for Evaluating the Bank Capital Adequacy According to Basel I and II," Stochastics and Quality Control, De Gruyter, vol. 22(2), pages 191-195, January.
    • Handle: RePEc:bpj:ecqcon:v:22:y:2007:i:2:p:191-195:n:4
    DOI: 10.1515/EQC.2007.191
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    References listed on IDEAS

    as
    1. Mr. Sunil Sharma & Mr. Ralph Chami & Mr. Mohsin S. Khan, 2003. "Emerging Issues in Banking Regulation," IMF Working Papers 2003/101, International Monetary Fund.
    2. Richard Podpiera, 2006. "Does Compliance with Basel Core Principles Bring Any Measurable Benefits?," IMF Staff Papers, Palgrave Macmillan, vol. 53(2), pages 1-5.
    3. Mr. Paul H. Kupiec, 2001. "The New Basel Capital Accord: The Devil Is in the (Calibration) Details," IMF Working Papers 2001/113, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

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