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Optimization strategies in credit portfolio management

✍ Scribed by Benjamin Ivorra; Bijan Mohammadi; Angel Manuel Ramos


Publisher
Springer US
Year
2007
Tongue
English
Weight
276 KB
Volume
43
Category
Article
ISSN
0925-5001

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An optimal investment strategy in bank m
✍ Peter J. Witbooi; Garth J. van Schalkwyk; Grant E. Muller πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 192 KB

This paper considers the application of stochastic optimization theory to asset and capital adequacy management in banking. The Basel II Capital Accord lays down regulations to control bank behaviour, and relies on regulatory ratios such as the capital adequacy ratio (CAR). In an attempt to address