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.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Acerbi, C. and Tasche, D., On the coherence of expected shortfall. Working paper (2001), can be downloaded from http://www.gloriamundLorg.
Artzner, Ph., Delbaen, F., Eber, J.-M., Heath, D. (1999): Coherent Measures of Risk, Mathematical Finance, Vol. 9, No.3, pp. 203–228.
Patrik, G., Bernegger, S., Ruegg, M.B. (1999): The use of risk adjusted capital to support business decision making, in: Casualty Actuarial Society (Hrsg.), Casualty Actuarial Society Forum, Spring 1999 Edition, Baltimore.
Pflug, G.Ch. (2000): Some Remarks on the Value-at-Risk and the ConditionalValue-at-Risk, in: Uryasev, S. (Ed.), Probabilistic Constrained Optimization: Methodology and Applications, Kluwer Academic Publishers, pp. 272–281.
Rockafellar, R. T. and Uryasev, S. (2000): Optimization of Conditional ValueAt-Risk, The Journal ofRisk, Vol. 2, No.4, pp. 21–51.
Rockafellar, R.T. and Uryasev, S. (2002): Conditional Value-at-Risk for General Loss Distributions, Journal ofBanking and Finance, 27/7.
Tasche, D. (1999): Risk Contributions and Performance Measurement, Working Paper, Technische Universitaet Muenchen.
Theiler, U. (2002): Optimization Approach for the Risk-Return-Management of the Bank Portfolio, Wiesbaden (In German).
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2003 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
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
Download citation
DOI: https://doi.org/10.1007/978-3-642-55537-4_54
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-00387-8
Online ISBN: 978-3-642-55537-4
eBook Packages: Springer Book Archive