Optimal Bank Planning Under Basel III Regulations

Sebastian Pokutta () and Christian Schmaltz ()
Additional contact information
Sebastian Pokutta: Universität Erlangen-Nürnberg, Postal: Universität Erlangen-Nürnberg, Department Mathematik, Lehrstuhl für Wirtschaftsmathematik, Am Weichselgarten 9, 91058 Erlangen, http://www.am.uni-erlangen.de/optimization/edom/team/pokutta-sebastian/prof-dr-sebastian-pokutta.html
Christian Schmaltz: Aarhus University, Postal: Department of Economics and Business - Business Studies, Fuglesangs Allé 4, 8210, Aarhus V, Denmark, http://pure.au.dk/portal/en/persons/id(5e44c0b5-2533-4023-9494-85a297bdce53).html

Journal of Financial Transformation, 2012, vol. 34, 165-174

Abstract: We provide a modeling framework for banks’ business planning under Basel III. For this purpose, we write banks’ planning as a formal optimization problem where Basel III minimum requirements/ratios enter as constraints. The linear program provides dual variables that are interpreted as compliance cost for each Basel III ratio. We analyze the effects of Basel III on banks’ product mix for a simplified, deterministic two-product case. In what follows, we generalize the model by incorporating parameter uncertainty, adjustment cost, multiple time steps, and products.

Keywords: Bank regulation; Basel III; Linear Programming (search for similar items in EconPapers)
JEL-codes: G28 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:jofitr:1511

Access Statistics for this article

Journal of Financial Transformation is currently edited by Prof. Shahin Shojai

More articles in Journal of Financial Transformation from Capco Institute 77 Water Street, 10th Floor, New York NY 10005.
Bibliographic data for series maintained by Prof. Shahin Shojai ( this e-mail address is bad, please contact ).