A Counter Cyclical Adjustment on the Economic Capital Measurement of Listed Commercial Banks

DOI

10.2991/ieesasm-17.2018.52How to use a DOI?

Keywords

Economic capital; Top-down perspective; Pro-cyclicality; Counter cyclical adjustment JEL classification: C6, G2

Abstract

With the implementation of the "Basel III", banks need more capital to cover comprehensive risks. The changing statutes of capital will be different from the previous. Taking Morgan as an example, a method of economic capital measurement from top to bottom is used to calculate Morgan's economic capital. The result shows Morgan has considered pro-cyclicality and made a great counter cyclical adjustment by comparing with the reported economic capital. In order to provide a reasonable method to grasp the economic capital for the bank supervision department, the top-down economic capital measure model is counter cyclical modified.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Lingyao Pan
PY  - 2018/01
DA  - 2018/01
TI  - A Counter Cyclical Adjustment on the Economic Capital Measurement of Listed Commercial Banks
BT  - Proceedings of the 2017 5th International Education, Economics, Social Science, Arts, Sports and Management Engineering Conference (IEESASM 2017)
PB  - Atlantis Press
SP  - 250
EP  - 255
SN  - 2352-5398
UR  - https://doi.org/10.2991/ieesasm-17.2018.52
DO  - 10.2991/ieesasm-17.2018.52
ID  - Pan2018/01
ER  -