On meeting capital requirements with a chance-constrained optimization model
This paper deals with a capital to risk asset ratio chance-constrained optimization model in the presence of loans, treasury bill, fixed assets and non-interest earning assets. To model the dynamics of loans, we introduce a modified CreditMetrics approach. This leads to development of a deterministi...
| Main Authors: | , , |
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| Format: | Online |
| Language: | English |
| Published: |
Springer International Publishing
2016
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| Online Access: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4840157/ |