Continuous-time stochastic modelling of capital adequacy ratios for banks

DOI10.1002/ASMB.609MaRDI QIDQ3439736zbMATH OpenOpenAlexFDO

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

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)

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