Abstract
Efficient credit portfolio management is a key success factor of bank management. Discussions of the new capital adequacy proposals by the Basle Committee on Banking Supervision enlighten the necessity to consider the credit risk management both from the internal and the regulatory point of view. We introduce an optimization approach for the credit portfolio that maximizes expected returns subject to internal and regulatory risk constraints. With a simplified bank portfolio we examine the impact of the regulatory risk limitation rules on the optimal solutions.
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Theiler, U., Bugera, V., Revenko, A., Uryasev, S. (2003). Regulatory Impacts on Credit Portfolio Management. In: Leopold-Wildburger, U., Rendl, F., Wäscher, G. (eds) Operations Research Proceedings 2002. Operations Research Proceedings 2002, vol 2002. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-55537-4_54
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DOI: https://doi.org/10.1007/978-3-642-55537-4_54
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-00387-8
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