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

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  • pan, lingyao

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.

Suggested Citation

  • pan, lingyao, 2014. "A counter cyclical adjustment on the economic capital measurement of listed commercial banks," MPRA Paper 58822, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:58822
    as

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    File URL: https://mpra.ub.uni-muenchen.de/58822/1/MPRA_paper_58822.pdf
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    References listed on IDEAS

    as
    1. David Miles & Jing Yang & Gilberto Marcheggiano, 2013. "Optimal Bank Capital," Economic Journal, Royal Economic Society, vol. 123(567), pages 1-37, March.
    2. Rafael Repullo & Javier Suarez, 2013. "The Procyclical Effects of Bank Capital Regulation," The Review of Financial Studies, Society for Financial Studies, vol. 26(2), pages 452-490.
    3. George Zanjani, 2010. "An Economic Approach to Capital Allocation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(3), pages 523-549, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Economic capital; Top-down method; Pro-cyclicality; Counter cyclical adjustment;
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • G2 - Financial Economics - - Financial Institutions and Services

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