On meeting capital requirements with a chance-constrained optimization model
Abstract
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 deterministic convex counterpart of capital to risk asset ratio chance constraint. We pursue the scope of analyzing our model under the worst-case scenario i.e....
Paper Details
Title
On meeting capital requirements with a chance-constrained optimization model
Published Date
Apr 22, 2016
Journal
Volume
5
Issue
1
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