Browsing by Subject "Capital adequacy ratio"
Now showing items 1-2 of 2
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Optimal asset allocation and capital adequacy management strategies for Basel III compliant banks
(University of the Western Cape, 2015)In this thesis we study a range of related commercial banking problems in discrete and continuous time settings. The first problem is about a capital allocation strategy that optimizes the expected future value of a commercial ... -
Stochastic modelling in bank management and optimization of bank asset allocation
(2009)The Basel Committee published its proposals for a revised capital adequacy framework(the Basel II Capital Accord) in June 2006. One of the main objectives of this framework is to improve the incentives for state-of-the-art ...