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Anchoring countercyclical capital buffer in Basel III

Chen, Zhisong 2015, Anchoring countercyclical capital buffer in Basel III, PhD thesis, Department of Finance, Deakin University.

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Title Anchoring countercyclical capital buffer in Basel III
Author Chen, Zhisong
Institution Deakin University
School Department of Finance
Faculty Faculty of Business & Law
Degree type Research doctorate
Degree name PhD
Thesis advisor Lin, Chien-Ting
Shih-Cheng Lee
Doan, Minh Phuong (Daisy)
Date submitted 2015-10
Keyword(s) Basel III
banking regulatlion
sovereign distance-to-default
market illiquidity
credit-to-GDP ratio
Summary 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.
Language eng
Field of Research 149999 Economics not elsewhere classified
Socio Economic Objective 970114 Expanding Knowledge in Economics
Description of original iii, 127 pages : illustrations, tables, graphs
Copyright notice ┬ęThe Author. All Rights Reserved
Free to Read? Yes
Persistent URL http://hdl.handle.net/10536/DRO/DU:30085493

Document type: Thesis
Collections: Higher degree theses (full text)
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Created: Wed, 17 Aug 2016, 15:24:13 EST by Prue Plummer

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.