A Capital Adequacy Buffer Model
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- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "A Capital Adequacy Buffer Model," Documentos de Trabajo del ICAE 2013-33, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David Allen & Michael McAleer, 2013. "A Capital Adequacy Buffer Model," Tinbergen Institute Discussion Papers 13-168/III, Tinbergen Institute.
- David Allen & Michael McAleer & Robert Powell & Abhay Singh, 2013. "A Capital Adequacy Buffer Model," Working Papers in Economics 13/35, University of Canterbury, Department of Economics and Finance.
References listed on IDEAS
- Merton, Robert C, 1974.
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- Sreedhar T. Bharath & Tyler Shumway, 2008. "Forecasting Default with the Merton Distance to Default Model," Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1339-1369, May.
- Kretzschmar, Gavin & McNeil, Alexander J. & Kirchner, Axel, 2010. "Integrated models of capital adequacy - Why banks are undercapitalised," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2838-2850, December.
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- repec:taf:apeclt:v:25:y:2018:i:4:p:258-263 is not listed on IDEAS
More about this item
Keywordscredit risk; capital buffer; distance to default; conditional value at risk; Capital adequacy buffer model;
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-01-17 (All new papers)
- NEP-BAN-2014-01-17 (Banking)
- NEP-CBA-2014-01-17 (Central Banking)
- NEP-RMG-2014-01-17 (Risk Management)
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