Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 22, 2011 erstellt
Beschreibung:
We provide a modeling framework for banks' business planning under Basel III. For this purpose, we write banks' planning as formal optimization problem where Basel III - minimum requirements/ratios enter as constraints. We analyze the effect of Basel III on the 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