Bank Portfolio and Risk Management - Bibliography
Authors
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Default Probabilities in a corporate bank portfolio: A logistic model approach, Sjur Westgaard, Nico Van Der Wijst, 2001
Portfolio Management of Default Risk
Stephen Kealhofer, 1998
A multi-period bank portfolio management program
J. H. May, N. Ravi, R. S. Thorn and S. Sankaranarayanan
Mathematical Modelling
Volume 9, Issue 7, 1987, Pages 521-531
Mathematical Modelling
Volume 9, Issue 7, 1987, Pages 521-531
Abstract
We describe a bank portfolio management program based on the complete Markowitz model, which explicitly treats risk due to unanticipated fluctuations in interest rate. Our program takes into account both inter-temporal and intra-temporal covariance. The major result of this approach is that, for the same expected return, our model yields a portfolio with significantly smaller risk than that determined by an index model. For the same risk level, our method yields a portfolio with higher expected yield. The model employs a rolling planning horizon, with time periods in the planning horizon of arbitrary length. A novelty in the model is that it permits inter-temporal transactions in the portfolio's securities by generating dummy securities to represent every possible transaction over the planning horizon. The output from the model consists of a list of portfolio strategies showing the expected after-tax return and the 1% worst case yield for each strategy. We also present an illustrative example, using real data from a large Pennsylvania bank, and compare the results from our model to the simpler variance-only and index models. The principles upon which the model is based are sufficiently general to allow the program to be expanded into a general asset-liability balance sheet management program.
Regulation of Bank Capital and Portfolio Risk, Michael Koen and Anthony Santomero, Wharton Working Paper, 1979.
An Empirical Model of Commercial Bank Portfolio Management, James L. Pierce, 1967
Bank Portfolio Allocation, Deposit Variability, and Availability Doctrine, Edward J Kane and Burton Malkiel,
Quarterly Journal of Economics, February 1965
A Model of Bank Portfolio Selection, Richard Porter, 1951
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