Anchoring countercyclical capital buffer in Basel III
Contribuinte(s) |
Lin, Chien-Ting Shih-Cheng Lee Doan, Minh Phuong (Daisy) |
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Data(s) |
01/10/2015
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Resumo |
This thesis proposes two top-down approch frameworks to assess the Basel III countercyclical capital buffer. The empirical results demonstrate that sovereign sector distance-to-default and market illiquidity are more suitable indicator for guiding the decision of the buffer during both build-up and release phase than the official indicator, credit-to-GDP ratio. The findings in this thesis are important to help safeguard the globe financial system. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Deakin University, Faculty of Business & Law, Department of Finance |
Relação |
http://dro.deakin.edu.au/eserv/DU:30085493/chen-agreement-2016.pdf http://dro.deakin.edu.au/eserv/DU:30085493/chen-anchoringcountercyclical-2016A.pdf |
Direitos |
The Author. All Rights Reserved |
Palavras-Chave | #Basel III #banking regulatlion #sovereign distance-to-default #market illiquidity #credit-to-GDP ratio |
Tipo |
Thesis |