10 Pages Posted: 23 Aug 2011
Date Written: August 22, 2011
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.
Keywords: Basel3, bank planning, bank optimization
JEL Classification: G21
Suggested Citation: Suggested Citation
Schmaltz, Christian and Pokutta, Sebastian, Optimal Bank Planning Under Basel III Regulations (August 22, 2011). Available at SSRN: https://ssrn.com/abstract=1914800 or http://dx.doi.org/10.2139/ssrn.1914800
By Peter Went