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• W1689296287 abstract "This paper applies quantile regression to a structural credit model to investigate the impact of extreme bank asset value fluctuations on capital adequacy and default probabilities (PD) of Japanese Banks. Quantile regression allows modelling of the extreme quantiles of a distribution which allows measurement of capital and PDs at the most extreme points of an economic downturn, when banks are most likely to fail. Outcomes are compared to traditional structural measures. We find highly significant variances in capital adequacy and default probabilities between quantiles, and show how these variances can assist banks and regulators in calculating capital buffers to sustain banks through volatile times." @default.
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• W1689296287 date "2011-01-01" @default.
• W1689296287 modified "2023-09-26" @default.
• W1689296287 title "Japanese banks: tail risk and capital buffers" @default.
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