Optimal loan portfolio under regulatory and internal constraints
Makoto Okawara and Akihiko Takahashi
| Year of publication: |
2023
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|---|---|
| Authors: | Okawara, Makoto ; Takahashi, Akihiko |
| Published in: |
International journal of financial engineering. - Singapore [u.a.] : World Scientific, ISSN 2424-7944, ZDB-ID 2832512-6. - Vol. 10.2023, 4, Art.-No. 2350027, p. 1-44
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| Subject: | constrained optimization | economic capital | granularity adjustment | Regulatory capital | risk appetite framework (RAF) | Theorie | Theory | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord | Kreditrisiko | Credit risk | Bankrisiko | Bank risk | Mathematische Optimierung | Mathematical programming |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786323500275 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014444676