Modellanalytische Bilanzstrukturoptimierung unter Rendite-/Risiko-Kriterien im Rahmen des Dualen Steuerungsmodells
Year: 2003
Author: Wöhle, Claudia B.
Credit and Capital Markets – Kredit und Kapital, Vol. 36 (2003), Iss. 1 : pp. 82–119
Abstract
Model-based Balance-Sheet Structure Analysis Optimised in Terms of Yield/Risk Criteria within the Framework of the Dual Management Model
The very concept of modern bank management is closely linked to an integrated risk/return strategy approach considering the risk taking capacity of the bank related to selected risk scenarios. For putting this concept into practice the dual management approach is the applicable framework to coordinate individual decisions about customer contracts with the requirements of the bank as a whole. The article at hand is about a deterministic model optimizing the risk-related return for the bank as a whole in two steps. In the first step the profit of customer business is maximized using a linear programming model under consideration of riskrelated restrictions. In the second step the structure of the balance sheet is optimized by adding whole sale business with the intention to optimize the risk-related return for the bank as a whole.
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.36.1.82
Credit and Capital Markets – Kredit und Kapital, Vol. 36 (2003), Iss. 1 : pp. 82–119
Published online: 2003-01
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 38
Author Details
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