Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules

DOI10.1007/S10436-020-00358-0MaRDI QIDQ2174177zbMATH OpenOpenAlexWikidataFDO

Authors Vincenzo Russo, Valentina Lagasio, Marina Brogi, Frank J. Fabozzi

Publication date 20 April 2020

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-020-00358-0

zbMATH Keywords

Basel III rulescredit default swapglobal systemically important financial institutionsMerton modelprobability of breaching

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• The pricing of options and corporate liabilities

Cited in

(4)

• Systemic risk measurement: bucketing global systemically important banks
• Basel III and asset securitization
• Continuous-time stochastic modelling of capital adequacy ratios for banks
• Extracting implied volatilities from bank bonds

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