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
Strategies simulation in an aggregate bank model
β Scribed by Marisa Bedoni
- Publisher
- Elsevier Science
- Year
- 1987
- Tongue
- English
- Weight
- 400 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0377-2217
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