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...

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Detalles Bibliográficos
Autores principales: Atta Mills, Ebenezer Fiifi Emire, Yu, Bo, Gu, Lanlan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2016
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4840157/
https://www.ncbi.nlm.nih.gov/pubmed/27186464
http://dx.doi.org/10.1186/s40064-016-2110-z

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4840157/
https://www.ncbi.nlm.nih.gov/pubmed/27186464
http://dx.doi.org/10.1186/s40064-016-2110-z

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