A Counter Cyclical Adjustment on the Economic Capital Measurement of Listed Commercial Banks

摘要

With the implementation of the "Basel III", banks need more capital to cover comprehensive risks. The changing statutes of capital will be different from the previous. Taking Morgan as an example, a method of economic capital measurement from top to bottom is used to calculate Morgan's economic capital. The result shows Morgan has considered pro-cyclicality and made a great counter cyclical adjustment by comparing with the reported economic capital. In order to provide a reasonable method to grasp the economic capital for the bank supervision department, the top-down economic capital measure model is counter cyclical modified.