Bank Valuation and Its Connections with the Subprime Mortgage Crisis and Basel II Capital Accord
المؤلفون المشاركون
Fouche, C. H.
Mukuddem-Petersen, J.
Petersen, Mark A.
Senosi, M. C.
المصدر
Discrete Dynamics in Nature and Society
العدد
المجلد 2008، العدد 2008 (31 ديسمبر/كانون الأول 2008)، ص ص. 1-44، 44ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2009-03-10
دولة النشر
مصر
عدد الصفحات
44
التخصصات الرئيسية
الملخص EN
The ongoing subprime mortgage crisis (SMC) and implementation of Basel II Capital Accord regulation have resulted in issues related to bank valuation and profitability becoming more topical.
Profit is a major indicator of financial crises for households, companies, and financial institutions.
An SMC-related example of this is the U.S.
bank, Wachovia Corp., which reported major losses in the first quarter of 2007 and eventually was bought by Citigroup in September 2008.
A first objective of this paper is to value a bank subject to Basel II based on premiums for market, credit, and operational risk.
In this case, we investigate the discrete-time dynamics of banking assets, capital, and profit when loan losses and macroeconomic conditions are explicitly considered.
These models enable us to formulate an optimal bank valuation problem subject to cash flow, loan demand, financing, and balance sheet constraints.
The main achievement of this paper is bank value maximization via optimal choices of loan rate and supply which leads to maximal deposits, provisions for deposit withdrawals, and bank profitability.
The aforementioned loan rates and capital provide connections with the SMC.
Finally, OECD data confirms that loan loss provisioning and profitability are strongly correlated with the business cycle.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Fouche, C. H.& Mukuddem-Petersen, J.& Petersen, Mark A.& Senosi, M. C.. 2009. Bank Valuation and Its Connections with the Subprime Mortgage Crisis and Basel II Capital Accord. Discrete Dynamics in Nature and Society،Vol. 2008, no. 2008, pp.1-44.
https://search.emarefa.net/detail/BIM-494975
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Fouche, C. H.…[et al.]. Bank Valuation and Its Connections with the Subprime Mortgage Crisis and Basel II Capital Accord. Discrete Dynamics in Nature and Society No. 2008 (2008), pp.1-44.
https://search.emarefa.net/detail/BIM-494975
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Fouche, C. H.& Mukuddem-Petersen, J.& Petersen, Mark A.& Senosi, M. C.. Bank Valuation and Its Connections with the Subprime Mortgage Crisis and Basel II Capital Accord. Discrete Dynamics in Nature and Society. 2009. Vol. 2008, no. 2008, pp.1-44.
https://search.emarefa.net/detail/BIM-494975
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-494975
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر