Title: Research on the Loan-decision Method based on Economic Capital Management System of Commercial Banks
Abstract: Based on the New Basel Capital Accord and CreditRisk+ model,we designed an economic capital management system for commercial banks. By using of the system,we can realize online real-time measurement of economic capital of any loan portfolio. The system also constructs the optimal commercial bank loan-decision model,which has the EVA as objective function and economic capital limitation as constraint. The system can be used to make loan-decision for commercial banks effectively on the constraint of economic capital.
Publication Year: 2010
Publication Date: 2010-01-01
Language: en
Type: article
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