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Applied Economics Letters Volume 23, 2016 - Issue 3
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Original Articles

A capital adequacy buffer model

D. E. AllenCentre for Applied Financial Studies, University of South Australia, Adelaide, South Australia, Australia;School of Mathematics and Statistics, University of Sydney, Sydney, NSW, AustraliaView further author information
,
M. McAleerEconometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, Rotterdam, The NetherlandsView further author information
,
R. J. PowellSchool of Business, Edith Cowan University, Joondalup, Western Australia, AustraliaCorrespondence[email protected]
View further author information
&
A. K. SinghSchool of Business, Edith Cowan University, Joondalup, Western Australia, AustraliaView further author information
Pages 175-179 | Published online: 03 Aug 2015

References

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  • Bharath, S., and T. Shumway. 2008. “Forecasting Default with the Merton Distance-To-Default Model.” The Review of Financial Studies 21: 1339–1369. doi:10.1093/rfs/hhn044.
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  • Ibáñez-Hernándeza, F. J., M. Peña-Cerezo, and A. Araujo. 2015. “Countercyclical Capital Buffers: Credit-To-GDP Ratio versus Credit Growth.” Applied Economics Letters 22: 385–390. doi:10.1080/13504851.2014.946174.
  • Kretzschmar, G., A. J. McNeil, and A. Kirchner. 2010. “Integrated Models of Capital Adequacy – Why Banks Are Undercapitalised.” Journal of Banking & Finance 34: 2838–2850. doi:10.1016/j.jbankfin.2010.02.028.
  • Merton, R. 1974. “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.” Journal of Finance 29: 449–470.
  • Moody’s Analytics. 2015. “History of KMV.” Accessed 6 March 2015. http://www.moodysanalytics.com/About-Us/History/KMV-History.aspx.
  • Sharpe, W. F. 1964. “Capital Asset Prices – A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance 19: 425–442.
  • Weber, R. F. 2010. “New Governance, Financial Regulation, and Challenges to Legitimacy: The Example of the Internal Models Approach to Capital Adequacy Regulation.” Administrative Law Review 62: 783–872.
  • Woo, S. P. 2012. “Stress Before Consumption: A Proposal to Reform Agency Ratings.” European Law Journal 18: 62–82. doi:10.1111/eulj.2012.18.issue-1.

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