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| Author: | Clare, A. |
| Title: | The CAMP, the APT and a contingent calims model of a securities house |
| Journal: | Journal of Business Finance and Accounting
1995 : DEC, VOL. 22:8, p. 1147-1168 |
| Index terms: | ACCOUNTING SECURITIES CONTINGENCY THEORY |
| Language: | eng |
| Abstract: | The UK regulatory authorities are currently using risk-based rules for UK securities firms, where the amount of capital required to be held is an increasing function of the preceived riskiness of the firm's balance sheet. to implement such a risk-based system, regulators need to know the extent to which balance sheey changes can affect the probability that a securities house will fail. The model presented in this paper provides a framework for analyzing the effects of controlled changes in asset quality and leverage on the overall risk profile on a securities firm, incorporating both the APT and the CAPM. |
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