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How to make regulators and shareholders happy under Basel III

Schmaltz, Christian; Sebastian, Pokutta; Heidorn, Thomas; … - In: Journal of banking & finance 46 (2014), pp. 311-325

Persistent link: https://www.econbiz.de/10010468405

A critical evaluation of the sensitivity of a bank's balance sheet to change when optimizing for capital requirements under Basel

Cronje, F.; Rooyen, J. H. van - In: Corporate ownership & control : international … 11 (2013/14) 1, pp. 102-116

Persistent link: https://www.econbiz.de/10011327510

Capital requirements and optimal investment with solvency probability constraints

Asimit, Alexandru V.; Badescu, Alexandru M.; Siu, Tak Kuen - In: IMA journal of management mathematics 26 (2015) 4, pp. 345-375

Persistent link: https://www.econbiz.de/10011515664

Minimizing Basel III capital requirements with unconditional coverage constraint

Kleinknecht, Manuel; Wing Lon Ng - In: Intelligent systems in accounting finance and … 22 (2015) 4, pp. 263-281

Persistent link: https://www.econbiz.de/10011536590

Regulatory impacts on credit portfolio management

Theiler, Ursula; Bugera, Vladimir; Revenko, Alla; … - In: Operations research proceedings 2002 : selected papers …, (pp. 335-340). 2003

Persistent link: https://www.econbiz.de/10001752031

Optimization of Post-Scoring Classification and Impact on Regulatory Capital for Low Default Portfolios

Genest, Benoit - 2015

After the crisis of 2008, new regulatory requirements have emerged with supervisors strengthening their position in terms of requirements to meet IRBA standards. Low Default Portfolios (LDP) present specific characteristics that raise challenges for banks when building and implementing credit...

Persistent link: https://www.econbiz.de/10013026280

Pension fund's illiquid assets allocation under liquidity and capital requirements

Broeders, Dirk; Jansen, Kristy A. E.; Werker, Bas J. M. - In: Journal of pension economics and finance : JPEF 20 (2021) 1, pp. 102-124

Persistent link: https://www.econbiz.de/10012404062

Optimal loan portfolio under regulatory and internal constraints

Okawara, Makoto; Takahashi, Akihiko - In: International journal of financial engineering 10 (2023) 4, pp. 1-44

Persistent link: https://www.econbiz.de/10014444676

Optimal loan portfolio under regulatory and internal constraints

Okawara, Makoto; Takahashi, Akihiko - 2023

Persistent link: https://www.econbiz.de/10014289142

Semi-metric portfolio optimization : a new algorithm reducing simultaneous asset shocks

James, Nick; Menzies, Max; Chan, Jennifer - In: Econometrics : open access journal 11 (2023) 1, pp. 1-33

between time series' structural breaks. Then, we build on the classical portfolio optimization theory of Markowitz and use …

Persistent link: https://www.econbiz.de/10014281489

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