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Bank loan pricing, profitability and their connections with Basil II


Marketed By :  VDM Verlag Dr. Müller   Sold By :  Kamal Books International  
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  • Product Description

In keeping with the main theme of this thesis, we simulate the financial indices ROE and ROA that are two measures of bank profitability. We further discuss optimization with power utility where we show the convergence of the Markov Chain Approximation Method (MCAM) and the impact of varying the model parameters in the form of loan loss severity, and loan loss frequency. We investigate the connections between the banking models and Basel II capital accord as well as the current sub-prime mortgage crises. As way of conclusion, we provide remarks about the main issues discussed in the thesis and speculate about future research directions.

Product Specifications
SKU :COC93777
AuthorAaron Tau and Prof M A Peterson
Number of Pages184
Publishing Year2011-07-25T00:00:00.000
Edition1 st
Book TypeStochastics
Country of ManufactureIndia
Product BrandVDM Verlag Dr. Müller
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-08-14 00:00:00
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