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论文类型：期刊论文

发表时间：2016-04-22

发表刊物：SPRINGERPLUS

收录刊物：SCIE、PubMed、SSCI、Scopus

卷号：5

期号：1

页面范围：500

ISSN号：2193-1801

关键字：Capital to risk asset ratio; Basel accord; CreditMetrics; Chance constraint

摘要：This paper deals with a capital to risk asset ratio chance-constrained optimization model in the presence of loans, treasury bill, fixed assets and non-interest earning assets. To model the dynamics of loans, we introduce a modified CreditMetrics approach. This leads to development of a deterministic convex counterpart of capital to risk asset ratio chance constraint. We pursue the scope of analyzing our model under the worst-case scenario i.e. loan default. The theoretical model is analyzed by applying numerical procedures, in order to administer valuable insights from a financial outlook. Our results suggest that, our capital to risk asset ratio chance-constrained optimization model guarantees banks of meeting capital requirements of Basel III with a likelihood of 95 % irrespective of changes in future market value of assets.