Reduced-form capital optimisation
A linear approximation to an allocation technique provides a solution for banks’ capital managment
CLICK HERE TO VIEW THE PDF
Yadong Li, Dimitri Offengenden and Jan Burgy formulate banks’ capital optimisation problem as a classic mean-variance optimisation by leveraging an accurate linear approximation to the Shapely allocation of a max cost function. This reduced-form formulation admits an analytical solution to the optimal allocation of the leveraged balance sheet and risk-weighted assets among a bank’s business units, which maximises the bank’s return on capital
Since the financial
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Banking
Risk Management
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
Receive this by email