In this paper, we examine the risk characteristics and capital adequacy of hedge funds using Value-at-Risk (based on Extreme Value Theory) as the criterion for measuring risk and estimating capital requirements. Using extensive data on nearly thirteen hundred live and dead hedge funds, we find that the vast majority of funds are adequately capitalized. In addition, a large fraction of hedge fun...

In this paper, we investigate the short-run and long-run macroeconomic effects of bank net worth and capital adequacy regulations. In general, capital adequacy regulations work as a stabilizer in the sense that they reduce the macroeconomic effects of negative productivity shocks. In addition, strengthening of the regulations increases the long-run capital stock, although it may lead the econom...

This paper adopts a two-stage data envelopment analysis to explore the impacts of financial development and bank operating scale on bank efficiencies. The sample comprises unbalanced panel data of 32 Taiwanese listed domestic commercial banks over the period 1998 to 2013. Empirical results show that pure technical efficiency is positively related to financial development, whereas the effect of ...

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model, which measures distance to default, and the timeless capital asset pricing model (CAPM) which measures additional ret...

Penelitian ini bertujuan untuk mengetahui pengaruh tingkat Kesehatan bank terhadap kinerja keuangan ROA pada yang terdaftar di Bursa Efek Indonesia periode 2015-2020 dengan Metode RGEC (Risk Profile, Good Corporate Governance, Earnings, dan Capital) dimana dalam penelitian, Rasio Risk Profile diproksikan NPL (Non Performing Loan) LDR (Loan to Deposit Ratio), Governance GCG, Earnings NIM (Net In...

This study investigated capital adequacy and Deposit Money Bank's (DMB) Return on Asset (ROA) in Nigeria which the effect of to asset ratio bank's profit margin relationship between solvency turnover was examined. The population comprised deposit money banks listed floor Stock Exchange as at 2021. Sample bank selected Zenith Plc, Guaranty Trust Bank Plc (GTB), First Limited, Access United for A...