| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089583 | Journal of Banking & Finance | 2013 | 4 Pages |
Abstract
⺠This paper studies the maximum leverage ratio rule for capital adequacy. ⺠We derive the leverage ratio consistent with an alpha probability of insolvency. ⺠We show that leverage ratio and a value-at-risk rules control for the same risks. ⺠We argue that leverage ratio rules are intuitive and easy to compare across firms.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Robert Jarrow,