Continuous-time stochastic modelling of capital adequacy ratios for banks

DOI10.1002/ASMB.609zbMATH Open1126.60053OpenAlexW2163862709MaRDI QIDQ3439736FDOQ3439736

Authors: C. H. Fouche, Janine Mukuddem-Petersen, Mark A. Petersen 

Publication date: 29 May 2007

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.609

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zbMATH Keywords

stochastic systemsbankcapital adequacy ratio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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Cited In (15)

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• Title not available (Why is that?)
• Maximizing banking profit on a random time interval
• Capital adequacy and risk management in banking industry
• A conditional equity risk model for regulatory assessment
• An optimal investment strategy in bank management
• Optimal mortgage loan securitization and the subprime crisis
• A Quality Index for Evaluating the Bank Capital Adequacy According to Basel I and II
• A dynamic model of bank valuation
• Minimizing banking risk in a Lévy process setting
• Optimizing asset and capital adequacy management in banking
• An optimal investment strategy and multiperiod deposit insurance pricing model for commercial banks
• Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord
• Capital Buffers in a Quantitative Model of Banking Industry Dynamics
• Bank management via stochastic optimal control

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