Measuring Real Capital Adequacy in Extreme Economic Conditions： An Examination of the Swiss Banking Sector  

作　　者：David E. Allen Robert Powell 

机构地区：[1]Edith Cowan University, Australia

出　　处：《Journal of Modern Accounting and Auditing》2011年第6期541-554,共14页现代会计与审计（英文版）

摘　　要：The global financial crisis （GFC） has placed the creditworthiness of banks under intense scrutiny. In particular, capital adequacy has been called into question. Current capital requirements make no allowance for capital erosion caused by movements in the market value of assets. This paper examines default probabilities of Swiss banks under extreme conditions using structural modeling techniques. Conditional Value at Risk （CVaR） and Conditional Probability of Default （CPD） techniques are used to measure capital erosion. Significant increase in Probability of Default （PD） is found during the GFC period. The market asset value based approach indicates a much higher PD than external ratings indicate. Capital adequacy recommendations are formulated which distinguish between real and nominal capital based on asset fluctuations.

关 键 词：real capital financial crisis conditional value at risk credit risk BANKS probability of default capital adequacy 

分 类 号：F832[经济管理—金融学] F275