From: Optimal equity capital requirements for large Swiss banks
Parameter | Description | Value |
---|---|---|
R f | Risk-free money market rate | 1% |
\( \widehat{b} \) | Slope coefficient of M-M regression (2001Q2-2015Q2) | 0.01754 |
\( {\beta}_t^{\mathrm{Corp}} \) | Swiss corporate companies | 1.1 |
Tier1, C con | Leverage ratio: Basel III Tier1 Look-through to Basel II Tier1 | 0.713 |
Tier1, B con | Leverage ratio: Basel III Tier1 Look-through to Book Equity | 0.676 |
CET1, Ccon | Leverage ratio: Basel III CET1 Look-through to Basel II Tier1 | 0.556 |
CET1, B con | Leverage ratio: Basel III CET1 Look-through to Book Equity | 0.481 |