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Optimally Solving Banks' Legacy Problems

Segura, Anatoli - 2019

banks with legacy problems. Non-performing loans (NPLs) with low and risky returns create a debt overhang that induces bank … lending but, as they force bank owners to absorb losses, can also make them prefer the bank being resolved. For severe legacy …

Persistent link: https://www.econbiz.de/10012864905

Optimally Solving Banks’ Legacy Problems

Segura, Anatoli; Suárez, Javier - 2021

Persistent link: https://www.econbiz.de/10013315059

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

Optimising a Mining Portfolio Using CVaR

Allen, David E. - 2012

The mining industry can be extremely volatile during times of economic downturn. We compare extreme risk in mining share portfolios from each of the world's seven leading mining areas using Conditional Value at Risk (CVaR) which measures those risks beyond traditional Value at Risk (VaR)...

Persistent link: https://www.econbiz.de/10013113404

Integrated risk return optimization approach for the bank portfolio

Theiler, Ursula A. - In: Finance India : the quarterly journal of Indian … 17 (2003) 4, pp. 1467-1473

Persistent link: https://www.econbiz.de/10002390671

Design of risk weights

Glasserman, Paul; Kang, Wanmo - In: Operations research 62 (2014) 6, pp. 1204-1220

Persistent link: https://www.econbiz.de/10010471872

Systemically important banks : a permutation test approach

Frattarolo, Lorenzo; Parpinel, Francesca; Pizzi, Claudio - 2016

Persistent link: https://www.econbiz.de/10011636612

On central branch/reinsurance risk networks : exact results and heuristics

Avram, Florin; Loke, Sooie-Hoe - In: Risks : open access journal 6 (2018) 2, pp. 1-11

Modeling the interactions between a reinsurer and several insurers, or between a central management branch (CB) and several subsidiary business branches, or between a coalition and its members, are fascinating problems, which suggest many interesting questions. Beyond two dimensions, one cannot...

Persistent link: https://www.econbiz.de/10011866341

Optimal Network Compression

Amini, Hamed - 2020

formulation is presented for different levels of network compression or rerouting allowed from the initial inter-bank network. We …

Persistent link: https://www.econbiz.de/10012825191

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 …-liability management of different bank groups, in terms of its implications on profitability, liquidity, and interest rate sensitivity …

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