Merton Model and Capital Measurement in Commercial Banks: A Case Study of Selected Emerging Countries in Southeast Asia

被引：1

作者：

Janvisloo Alizadeh M. ^{[1
]}

Sherafatian-Jahromi R. ^{[2
]}

机构：

[1] Department of Credit, Tejarat Bank, Emem Street, Urmia, West Azerbaijan Province

[2] Department of Tourism Management, Allameh Tabatabai University, Tehran

来源：

Asia-Pacific Financial Markets | 2017年 / 24卷 / 3期

关键词：

Adequate capital; Commercial banks; Default risk; Merton model;

D O I：

10.1007/s10690-017-9229-y

中图分类号：

学科分类号：

摘要：

Following the implementation of Basel III criteria concerning the supervision of banks capital, this paper attempts to examine the competence of Merton-type probability of default as an indicator for measuring optimal capital in commercial banks of five Southeast Asian emerging economies. The estimated default risk changes are consistent with the changes in market value of banks’ asset in countries studied. Using a forward-looking approach, the banks required capital has been measured to reach a hypothetical level of probability of default as an accepted level by policy makers. Empirical results show that the banks had to increase their current capital in order to reduce the risk of bankruptcy in crisis times. The findings of this study refer evidently to the efficiency of Merton-type default risk to estimate the adequate capital and to use in micro and macro-prudential studies or stress tests on commercial banks. © 2017, Springer Japan KK.

引用

页码：169 / 191

页数：22

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