Similar Search Results

How to make regulators and shareholders happy under Basel III

Schmaltz, Christian; Sebastian, Pokutta; Heidorn, Thomas; … - In: Journal of banking & finance 46 (2014), pp. 311-325

Persistent link: https://www.econbiz.de/10010468405

An integrated shortfall measure for Basel III

Torchiani, Ingo; Heidorn, Thomas; Schmaltz, Christian - 2017

We propose a new method for measuring how far away banks are from complying with a multi-ratio regulatory framework. We … suggest measuring the efforts a bank has to make to reach compliance as an additional portfolio which is derived from a … regulatory framework. Our method complements the descriptive reporting of individual shortfalls per ratio when monitoring banks …

Persistent link: https://www.econbiz.de/10011722654

A Linear Programming Model for Assessing Asset-Liability Management in Banks

Dash, Mihir - 2010

bank, considering the different bank management objectives and the legal, managerial and market constraints, for the … purpose of enhancing the value of the bank, providing liquidity, and mitigating interest rate risk (Gup and Brooks, 1993). An … on liquidity and statutory requirements. The model was applied to a sample of banks operating in India, resulting in a …

Persistent link: https://www.econbiz.de/10013148581

Analyzing Firm Performance in the Insurance Industry Using Frontier Efficiency and Productivity Methods

Cummins, J David - 2014

The objective of this paper is to discuss the use of modern frontier efficiency analysis to analyze firm performance in the insurance industry. The objective is to provide the foundations for insurance economists to use in adapting their research to incorporate the frontier efficiency approach....

Persistent link: https://www.econbiz.de/10013066707

Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization

Burgess, Nicholas - 2021

In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...

Persistent link: https://www.econbiz.de/10013213151

Optimal Securitization of Credit Portfolios via Impulse Control

Seydel, Roland C. - 2010

We study the optimal loan securitization policy of a commercial bank which is mainly engaged in lending activities. For …

Persistent link: https://www.econbiz.de/10013135270

A data-driven explainable case-based reasoning approach for financial risk detection

Li, Wei; Paraschiv, Florentina; Sermpinis, Georgios - 2021

The rapid development of artificial intelligence methods contributes to their wide applications for forecasting various financial risks in recent years. This study introduces a novel explainable case-based reasoning (CBR) approach without a requirement of rich expertise in financial risk....

Persistent link: https://www.econbiz.de/10012584957

Optimization of Constrained Liquidity Management

Tawfik, Maged - 2018

A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering expected cashflow gaps without violating regulatory and business constraints. Anticipated economic value loss, cashflow loss, and adverse market impact are the major drivers of...

Persistent link: https://www.econbiz.de/10012932264

LCR Optimization Under HQLA Caps

Tawfik, Maged - 2017

In this short technical note we present an efficient algorithm for the maximization of the Liquidity Cover Ratio (LCR) when lower level asset caps are activated. This algorithm acts by selecting the most efficient assets to remove from the pool of such assets in order to maximize the LCR without...

Persistent link: https://www.econbiz.de/10012944369

Finding an Optimal Approval Strategy in Credit Scoring System Using Genetic Algorithm

Roh, Hyunwoo; Kim, Youngwoo; Jeong, Seungwoo - 2023

The purpose of this study is to build a system that automatically generates an optimal strategy (AGOS) which can solve the business problem of maximizing the acceptance rate without taking more risks in loan approval process. This paper formulates the finding an optimal approval strategy of a...

Persistent link: https://www.econbiz.de/10014350326