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A Quality Index for Evaluating the Bank Capital Adequacy According to Basel I and II
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Gerassimos Sapountzoglou
Published/Copyright:
March 11, 2010
Abstract
This paper deals with a Markov process used for stochastic modeling of the international banking supervision related to the Basel's accords. A quality index reflecting the performance of a bank is proposed, which is based on the asymptotic behavior of the Markov process.
Published Online: 2010-03-11
Published in Print: 2007-October
© Heldermann Verlag
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Keywords for this article
Quality index;
Markov process;
International Banking Supervision;
Bank Capital Adequacy
Articles in the same Issue
- Estimation on a GAR(1) Process by the EM Algorithm
- Point and Interval Estimation for the Lifetime Distribution of a k-Unit Parallel System Based on Progressively Type-II Censored Data
- A Note on the Distribution of Bousquet
- A Quality Index for Evaluating the Bank Capital Adequacy According to Basel I and II
- Reliability Test Plans for Series Systems in the Presence of Covariates
- Multivariate Information in Univariate Control Charts
- A Note on the Moments of Random Variables
- A Heuristic Approach for Constrained Redundancy Optimization in Multi-state Systems
- Reliability Computation of Moranda's Geometric Software Reliability Model
- Economic Design of A Modified Variable Sample Size and Sampling Interval Chart
- Gamma Frailty Regression Models in Mixture Distributions
- A Truncated Bivariate t Distribution
