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Anchoring countercyclical capital buffer in Basel III

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thesis
posted on 2015-10-01, 00:00 authored by Zhisong Chen
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.

History

Pagination

iii, 127 pages : illustrations, tables, graphs

Open access

  • Yes

Material type

thesis

Resource type

thesis

Language

eng

Degree type

Research doctorate

Degree name

PhD

Copyright notice

The Author. All Rights Reserved

Editor/Contributor(s)

L Shih-Cheng Lee, C Lin, ( Doan

Faculty

Faculty of Business & Law

School

Department of Finance

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