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

pan, lingyao (2014): A counter cyclical adjustment on the economic capital measurement of listed commercial banks.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Economic capital; Top-down method; Pro-cyclicality; Counter cyclical adjustment
• Subjects: C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling; G - Financial Economics > G2 - Financial Institutions and Services

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