Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87189
Authors: 
Allen, David
McAleer, Michael
Year of Publication: 
2013
Series/Report no.: 
Tinbergen Institute Discussion Paper 13-168/III
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.
Subjects: 
Credit risk
Capital buffer
Distance to default
Conditional value at risk
Capital adequacy buffer model
JEL: 
G01
G21
G28
Document Type: 
Working Paper

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