An optimal investment strategy in bank management

作者：Witbooi Peter J^*; van Schalkwyk Garth J; Muller Grant E

来源：Mathematical Methods in the Applied Sciences, 2011, 34(13): 1606-1617.

DOI：10.1002/mma.1467

• Basel II Capital Accord
• capital adequacy ratio
• risk-weighted assets
• equity allocation strategy

This paper considers the application of stochastic optimization theory to asset and capital adequacy management in banking. The Basel II Capital Accord lays down regulations to control bank behaviour, and relies on regulatory ratios such as the capital adequacy ratio (CAR). In an attempt to address the problem of compliance to minimum CAR and under assumptions about retained earnings, loan-loss reserves, the market and shareholder-bank owner relationships, we construct a continuous-time model of the Basel II CAR which is computed from the total risk-weighted assets (TRWAs) and bank capital in a stochastic setting. In particular, we derive an optimal equity allocation strategy for the bank and monitor the performance of the Basel II CAR under the allocation strategy.

• 出版日期2011-9-15