Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

video

Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

sound

Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Persian Version

Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

View:

4
Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Download:

1
Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Cites:

Information Journal Paper

Title

Economic Capital Evaluation Using two Approaches of Structural Models: Taking Fluctuating Asset Correlations into Account Versus Classical Merton Model

Pages

  177-186

Abstract

 The financial crisis has become one of the most important challenges for financial institutions. To overcome this challenge, financial institutions must have an accurate estimate of the risks involved and maintain adequate capital to protect the bank. In recent years, in the international community, economic capital, as the appropriate capital to cover unexpected loss, has become a more accurate criterion for estimating the required capital to deal with risks. In this paper, we estimate economic capital of a selected bank portfolio which includes publicly traded companies using Monte Carlo simulation with two approaches of structural models. The first approach is to use the random matrix method in order to take fluctuating asset correlations into account and the second one is the classical Merton method which does not take into account the fluctuations of correlations. The results show that the bank ‘s risk will be significantly underestimated if the classical Merton approach is used.

Cites

  • No record.
  • References

  • No record.
  • Cite

    Related Journal Papers

  • No record.
  • Related Seminar Papers

  • No record.
  • Related Plans

  • No record.
  • Recommended Workshops






    Move to top
    telegram sharing button
    whatsapp sharing button
    linkedin sharing button
    twitter sharing button
    email sharing button
    email sharing button
    email sharing button
    sharethis sharing button