Template-type: ReDIF-Paper 1.0
Author-Name: David E. Allen
Author-Email: d.allen@ecu.edu.au
Author-Person: pal66
Author-Workplace-Name: School of Accounting, Finance and Economics Edith Cowan University, Australia.
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of Economic Research, 
	Kyoto University. 
Author-Name: Robert J. Powell 
Author-Workplace-Name: School of Accounting, Finance and Economics, Edith Cowan University
Author-Name: Abhay K. Singh
Author-Workplace-Name: School of Accounting, Finance and Economics, Edith Cowan University
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.
Note: The authors wish to thank the Australian Research Council, Edith Cowan University Faculty of Business and Law Strategic Research 
	Fund, and the National Science Council, Taiwan, for financial assistance. 

Length: 15 pages 
Creation-Date: 2013 
Number: 2013-33 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1333.txt
File-URL: https://eprints.ucm.es/id/eprint/22757/1/1333.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1333